Asset Allocation
Find the right asset allocation for Mom
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Mom, 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 3 months.
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Returns By Period
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.05% | 0.74% | 7.18% | 8.28% | 16.02% | 17.51% | 10.93% | 13.07% | 8.07% |
Portfolio Mom | -0.01% | 2.38% | 6.94% | 9.61% | 15.41% | 11.02% | — | — | 9.43% |
| Portfolio components: | |||||||||
CTA Simplify Managed Futures Strategy ETF | -1.88% | 7.04% | 2.60% | 6.14% | 4.94% | 9.57% | — | — | 8.28% |
DBMF iMGP DBi Managed Futures Strategy ETF | -0.25% | 3.44% | 7.95% | 12.95% | 27.97% | 10.07% | 8.70% | — | 9.43% |
LVHD Franklin U.S. Low Volatility High Dividend Index ETF | 1.16% | 2.81% | 10.82% | 14.88% | 14.41% | 9.97% | 7.72% | 8.26% | 9.29% |
LVHI Franklin International Low Volatility High Dividend Index ETF | 0.62% | 4.43% | 14.52% | 17.54% | 32.37% | 21.88% | 16.64% | — | 11.63% |
SGOV iShares 0-3 Month Treasury Bond ETF | 0.03% | 0.30% | 1.80% | 2.04% | 3.85% | 4.65% | 3.64% | — | 2.96% |
SIXH 6 Meridian Hedged Equity-Index Option Strategy ETF | 0.70% | 1.82% | 10.01% | 12.63% | 15.33% | 13.52% | 9.81% | — | 11.40% |
VT Vanguard Total World Stock ETF | -0.07% | -0.42% | 6.83% | 9.97% | 18.89% | 17.84% | 10.27% | 12.23% | 8.75% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 8, 2022, Mom's average daily return is +0.04%, while the average monthly return is +0.76%. At this rate, an investment would double in approximately 7.6 years.
Historically, 72% of months were positive and 28% were negative. The best month was Feb 2026 with a return of +4.6%, while the worst month was Mar 2023 at -2.4%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, Mom closed higher 58% of trading days. The best single day was Apr 9, 2025 with a return of +2.4%, while the worst single day was Apr 4, 2025 at -2.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.99% | 4.61% | -2.12% | 2.43% | -0.46% | -0.33% | 2.28% | 9.61% | |||||
| 2025 | 1.58% | 0.94% | -0.11% | -0.79% | 0.62% | 1.09% | 0.80% | 1.78% | 1.66% | 0.58% | 1.56% | 0.59% | 10.77% |
| 2024 | 0.81% | 2.38% | 2.57% | 1.23% | 1.06% | 0.31% | 0.42% | 0.83% | 0.99% | -0.83% | 1.91% | -1.12% | 11.02% |
| 2023 | 0.58% | 0.06% | -2.42% | 1.71% | -0.64% | 2.14% | 1.34% | -0.78% | 1.00% | -1.04% | 1.22% | 0.80% | 3.94% |
| 2022 | 1.88% | 2.00% | 0.72% | -1.34% | 1.20% | 0.00% | -1.67% | 3.48% | 0.36% | -0.77% | 5.90% |
Benchmark Metrics
Mom has an annualized alpha of 6.35%, beta of 0.21, and R2 of 0.44 versus S&P 500 Index. Calculated based on daily prices since March 08, 2022.
- This portfolio captured 24.23% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -2.63%) - a profile typical of hedging or uncorrelated assets.
- Beta of 0.21 may look defensive, but with R2 of 0.44 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.44 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 6.35%
- Beta
- 0.21
- R²
- 0.44
- Upside Capture
- 24.23%
- Downside Capture
- -2.63%
Expense Ratio
Mom has an expense ratio of 0.44%, 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.
Return for Risk
Risk / Return Rank
Mom ranks 94 for risk / return — in the top 94% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Mom and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.89 | 1.31 | +1.58 |
| Sortino ratioReturn per unit of downside risk | 4.05 | 1.84 | +2.21 |
| Omega ratioGain probability vs. loss probability | 1.57 | 1.24 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | 4.27 | 1.82 | +2.45 |
| Martin ratioReturn relative to average drawdown | 16.13 | 7.79 | +8.33 |
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 |
|---|---|---|---|---|---|---|
CTA Simplify Managed Futures Strategy ETF | 15 | 0.20 | 0.41 | 1.05 | 0.20 | 0.57 |
DBMF iMGP DBi Managed Futures Strategy ETF | 91 | 2.21 | 2.91 | 1.45 | 4.59 | 15.59 |
LVHD Franklin U.S. Low Volatility High Dividend Index ETF | 58 | 1.39 | 2.10 | 1.24 | 2.35 | 5.80 |
LVHI Franklin International Low Volatility High Dividend Index ETF | 96 | 3.49 | 4.78 | 1.67 | 5.42 | 22.47 |
SGOV iShares 0-3 Month Treasury Bond ETF | 100 | 20.72 | 382.82 | 383.06 | 390.94 | 6,193.70 |
SIXH 6 Meridian Hedged Equity-Index Option Strategy ETF | 82 | 1.93 | 3.01 | 1.34 | 3.46 | 8.80 |
VT Vanguard Total World Stock ETF | 60 | 1.40 | 1.98 | 1.25 | 1.99 | 8.34 |
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Dividends
Dividend yield
Mom provided a 3.73% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.73% | 3.96% | 4.33% | 4.40% | 4.17% | 3.10% | 1.19% | 3.10% | 1.70% | 0.88% | 0.69% | 0.25% |
| Portfolio components: | ||||||||||||
CTA Simplify Managed Futures Strategy ETF | 4.73% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBMF iMGP DBi Managed Futures Strategy ETF | 5.03% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
LVHD Franklin U.S. Low Volatility High Dividend Index ETF | 3.16% | 3.35% | 4.23% | 3.55% | 3.30% | 2.56% | 3.27% | 3.30% | 3.82% | 3.33% | 2.48% | 0.00% |
LVHI Franklin International Low Volatility High Dividend Index ETF | 4.54% | 4.92% | 3.98% | 8.12% | 7.74% | 4.13% | 3.97% | 6.67% | 10.67% | 3.38% | 2.02% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SIXH 6 Meridian Hedged Equity-Index Option Strategy ETF | 1.83% | 2.23% | 1.55% | 2.04% | 2.06% | 1.65% | 1.10% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VT Vanguard Total World Stock ETF | 1.61% | 1.82% | 1.95% | 2.08% | 2.20% | 1.82% | 1.66% | 2.32% | 2.53% | 2.11% | 2.39% | 2.45% |
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 Mom. 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 Mom was 5.90%, occurring on Apr 8, 2025. Recovery took 57 trading sessions.
The current Mom drawdown is 0.01%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-5.90%Apr 2025 | 1mo 18d | 2mo 24d | 4mo 12dFeb 2025 - Jul 2025 | 2025 selloff2025 |
-5.01%Mar 2023 | 10d | 3mo 18d | 3mo 28dMar 2023 - Jul 2023 | — |
-3.61%Mar 2026 | 21d | 1mo 7d | 1mo 28dMar 2026 - Apr 2026 | — |
-3.54%Aug 2024 | 19d | 25d | 1mo 14dJul 2024 - Aug 2024 | — |
-3.32%Jun 2022 | 8d | 2mo 1d | 2mo 9dJun 2022 - Aug 2022 | Bear market2022 |
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 7 assets, with an effective number of assets of 5.56, 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 | All Time | |
|---|---|---|---|
Diversification Ratio | 1.67 | 1.62 | 1.71 |
The portfolio has a diversification ratio of 1.71, in line with the typical range across portfolios.
Mom correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.42 |
Correlation (3Y) Balances recent behavior with more history. | 0.55 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2022 | 0.60 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VT has the highest benchmark correlation at 0.96, while CTA has the lowest at -0.12.
Asset Correlations Table
Find what Mom is missing
See which holdings overlap, where Mom is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification