Aggressive: High-Beta Momentum + Defense Core

Asset Allocation

Position	Category/Sector	Target Weight
VDE Vanguard Energy ETF	Energy Equities	30%
PSI Invesco Semiconductors ETF	Semiconductors, Technology Equities	30%
SPMO Invesco S&P 500 Momentum ETF	Momentum, S&P 500	20%
PPA Invesco Aerospace & Defense ETF	Aerospace & Defense, Industrials Equities	10%
XMMO Invesco S&P MidCap Momentum ETF	Momentum, Mid Cap Growth Equities	10%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Aggressive: High-Beta Momentum + Defense Core, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every year.

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Returns By Period

As of Jun 6, 2026, the Aggressive: High-Beta Momentum + Defense Core returned 44.95% Year-To-Date and 22.71% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Aggressive: High-Beta Momentum + Defense Core	2.79%	1.79%	44.95%	42.84%	75.34%	35.75%	25.83%	22.71%
Portfolio components:
PPA Invesco Aerospace & Defense ETF	-0.43%	1.28%	8.41%	11.71%	25.14%	28.15%	17.94%	17.28%
PSI Invesco Semiconductors ETF	5.16%	0.48%	93.40%	86.01%	182.03%	52.78%	30.45%	33.31%
SPMO Invesco S&P 500 Momentum ETF	2.50%	2.83%	24.29%	22.86%	39.53%	40.28%	23.06%	20.38%
VDE Vanguard Energy ETF	1.27%	3.82%	31.33%	29.93%	44.64%	16.98%	20.26%	9.47%
XMMO Invesco S&P MidCap Momentum ETF	0.46%	-0.10%	19.66%	19.51%	31.14%	29.91%	15.72%	19.50%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 13, 2015, Aggressive: High-Beta Momentum + Defense Core's average daily return is +0.09%, while the average monthly return is +1.80%. At this rate, an investment would double in approximately 3.2 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +17.5%, while the worst month was Mar 2020 at -19.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Aggressive: High-Beta Momentum + Defense Core closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +11.4%, while the worst single day was Mar 16, 2020 at -13.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	11.00%	5.96%	-0.27%	16.07%	7.20%	-0.69%							44.95%
2025	3.68%	-2.98%	-4.73%	-4.24%	7.61%	8.91%	1.68%	2.98%	5.23%	3.37%	-0.26%	0.93%	23.32%
2024	0.89%	8.73%	6.21%	-3.40%	5.17%	2.95%	-1.24%	0.47%	-0.19%	-1.33%	7.16%	-3.79%	22.78%
2023	5.97%	-2.24%	1.64%	-2.42%	-0.20%	8.14%	5.06%	-0.28%	-3.36%	-6.04%	8.01%	7.19%	22.11%
2022	-1.58%	3.43%	4.54%	-7.10%	7.83%	-13.63%	10.91%	-1.96%	-9.44%	16.69%	4.98%	-4.85%	5.68%
2021	2.59%	9.73%	2.72%	1.74%	2.71%	4.23%	-2.80%	0.94%	1.06%	7.60%	-0.41%	2.88%	37.68%

Benchmark Metrics

Aggressive: High-Beta Momentum + Defense Core has an annualized alpha of 6.94%, beta of 1.13, and R2 of 0.79 versus S&P 500 Index. Calculated based on daily prices since October 13, 2015.

This portfolio captured 130.59% of S&P 500 Index gains but only 95.05% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 6.94% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.13 and R2 of 0.79, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 6.94%

Beta: 1.13

R²: 0.79

Upside Capture: 130.59%

Downside Capture: 95.05%

Expense Ratio

Aggressive: High-Beta Momentum + Defense Core has an expense ratio of 0.31%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

PPA

Invesco Aerospace & Defense ETF

PSI

Invesco Semiconductors ETF

XMMO

Invesco S&P MidCap Momentum ETF

SPMO

Invesco S&P 500 Momentum ETF

VDE

Vanguard Energy ETF

Return for Risk

Risk / Return Rank

Aggressive: High-Beta Momentum + Defense Core ranks 95 for risk / return — in the top 95% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Aggressive: High-Beta Momentum + Defense Core and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	3.90	1.94	+1.96
Sortino ratioReturn per unit of downside risk	4.54	2.63	+1.92
Omega ratioGain probability vs. loss probability	1.66	1.35	+0.31
Calmar ratioReturn relative to maximum drawdown	10.77	2.59	+8.18
Martin ratioReturn relative to average drawdown	41.82	11.84	+29.97
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
PPA Invesco Aerospace & Defense ETF	40	1.32	1.94	1.23	1.84	5.29
PSI Invesco Semiconductors ETF	96	4.64	4.35	1.60	11.84	42.10
SPMO Invesco S&P 500 Momentum ETF	71	2.13	2.81	1.39	3.13	12.02
VDE Vanguard Energy ETF	71	2.21	2.83	1.35	3.80	10.98
XMMO Invesco S&P MidCap Momentum ETF	64	1.63	2.29	1.29	3.75	15.23

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Aggressive: High-Beta Momentum + Defense Core Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 3.90
5-Year: 1.17
10-Year: 0.99
All Time: 0.96

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.64 to 2.53, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Aggressive: High-Beta Momentum + Defense Core compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Aggressive: High-Beta Momentum + Defense Core provided a 0.97% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.97%	1.23%	1.20%	1.60%	1.84%	1.49%	1.89%	1.61%	1.57%	1.18%	1.47%	1.28%
Portfolio components:
PPA Invesco Aerospace & Defense ETF	0.39%	0.42%	0.61%	0.67%	0.83%	0.59%	0.88%	0.95%	0.90%	0.67%	1.70%	1.41%
PSI Invesco Semiconductors ETF	0.05%	0.10%	0.15%	0.40%	0.61%	0.14%	0.21%	0.52%	0.83%	0.21%	0.68%	0.16%
SPMO Invesco S&P 500 Momentum ETF	0.69%	0.73%	0.48%	1.63%	1.66%	0.52%	1.27%	1.39%	1.05%	0.77%	1.94%	0.36%
VDE Vanguard Energy ETF	2.39%	3.11%	3.23%	3.34%	3.65%	4.13%	4.76%	3.42%	3.35%	2.90%	2.31%	3.17%
XMMO Invesco S&P MidCap Momentum ETF	0.62%	0.78%	0.34%	0.80%	1.43%	0.41%	0.61%	0.60%	0.19%	0.21%	0.22%	0.64%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Aggressive: High-Beta Momentum + Defense Core. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Aggressive: High-Beta Momentum + Defense Core was 40.88%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.

The current Aggressive: High-Beta Momentum + Defense Core drawdown is 6.69%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-40.88%Mar 2020	2mo 2d	7mo 21d	9mo 23dJan 2020 - Nov 2020
Rate-hike selloffLate 2018	-25.61%Dec 2018	2mo 21d	7mo 2d	9mo 23dOct 2018 - Jul 2019
2025 selloff2025	-24.73%Apr 2025	2mo 16d	2mo 25d	5mo 11dJan 2025 - Jul 2025
Bear market2022	-19.66%Sep 2022	3mo 20d	1mo 16d	5mo 6dJun 2022 - Nov 2022
2016 correction2016	-17.83%Feb 2016	2mo 11d	3mo 21d	6mo 2dDec 2015 - Jun 2016

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 4.17, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.36	1.24	1.23	1.21	1.21

The portfolio has a diversification ratio of 1.21, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Aggressive: High-Beta Momentum + Defense Core correlation to the S&P 500 Index

Aggressive: High-Beta Momentum + Defense Core has a 0.71 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since Oct 13, 2015	0.83

Benchmark Correlations

Correlation vs. S&P 500 Index. XMMO has the highest benchmark correlation at 0.80, while VDE has the lowest at 0.47.

0.47

0.72

0.75

0.78

0.80

Portfolio Correlations

Correlation vs. Aggressive: High-Beta Momentum + Defense Core. PSI has the highest portfolio correlation at 0.86, while VDE has the lowest at 0.69.

0.69

0.70

0.73

0.81

0.86

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	VDE	PPA	SPMO	PSI	XMMO
VDE	1.00	0.48	0.33	0.34	0.44
PPA	0.48	1.00	0.56	0.53	0.71
SPMO	0.33	0.56	1.00	0.65	0.72
PSI	0.34	0.53	0.65	1.00	0.71
XMMO	0.44	0.71	0.72	0.71	1.00

The correlation results are calculated based on daily price changes starting from Oct 13, 2015

Diversification Analysis

Find what Aggressive: High-Beta Momentum + Defense Core is missing

See which holdings overlap, where Aggressive: High-Beta Momentum + Defense Core is concentrated, and which low-correlation assets could fill the gaps.

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