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Buffered Momentum MiniMacro
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Buffered Momentum MiniMacro

Currency in USD · Last updated May 23, 2025

took out CLIP

Asset Allocation

FJUL 40%LQDW 15%GLD 10%SPMO 25%SDS 2.5%SVOL 5%VXX 2.5%AlternativesAlternativesBondBondCommodityCommodityEquityEquityVolatilityVolatility
PositionCategory/SectorTarget Weight
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July		Options Trading
40%
GLD
SPDR Gold Trust		Precious Metals, Gold
10%
LQDW
iShares Investment Grade Corporate Bond Buywrite Strategy ETF		Corporate Bonds
15%
SDS
ProShares UltraShort S&P500		Leveraged Equities, Leveraged
2.50%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
25%
SVOL
Simplify Volatility Premium ETF		Volatility, Actively Managed
5%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN		Volatility
2.50%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Aug 23, 2022, corresponding to the inception date of LQDW

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-0.67%10.48%-1.79%10.08%14.60%10.64%
Buffered Momentum MiniMacro5.41%5.55%4.75%14.76%N/AN/A
Portfolio components:
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July		0.32%6.04%-0.14%8.75%N/AN/A
SPMO
Invesco S&P 500® Momentum ETF		8.82%13.78%8.39%27.34%21.41%N/A
GLD
SPDR Gold Trust		25.18%-0.18%21.32%40.51%13.18%10.12%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN		20.31%-19.42%20.41%18.85%-52.16%N/A
SVOL
Simplify Volatility Premium ETF		-7.62%16.19%-9.80%-6.90%N/AN/A
SDS
ProShares UltraShort S&P500		-3.17%-15.45%0.17%-19.31%-27.72%-25.06%
LQDW
iShares Investment Grade Corporate Bond Buywrite Strategy ETF		2.87%0.85%2.87%5.74%N/AN/A
*Annualized

Monthly Returns

The table below presents the monthly returns of Buffered Momentum MiniMacro, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.88%0.12%-2.19%1.05%3.54%5.41%
20241.71%4.05%2.80%-1.90%3.17%2.44%0.94%1.97%1.89%0.07%2.17%-0.98%19.76%
20232.50%-2.67%2.44%1.09%-1.56%3.48%1.57%-0.21%-1.92%-0.59%4.71%3.04%12.21%
2022-2.20%-4.80%4.48%3.24%-2.03%-1.62%

Expense Ratio

Buffered Momentum MiniMacro has an expense ratio of 0.53%, 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.

SDS
ProShares UltraShort S&P500
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July
SVOL
Simplify Volatility Premium ETF
GLD
SPDR Gold Trust
LQDW
iShares Investment Grade Corporate Bond Buywrite Strategy ETF
SPMO
Invesco S&P 500® Momentum ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 90, Buffered Momentum MiniMacro is among the top 10% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Buffered Momentum MiniMacro is 9090
Overall Rank
The Sharpe Ratio Rank of Buffered Momentum MiniMacro is 9191
Sharpe Ratio Rank
The Sortino Ratio Rank of Buffered Momentum MiniMacro is 8989
Sortino Ratio Rank
The Omega Ratio Rank of Buffered Momentum MiniMacro is 9191
Omega Ratio Rank
The Calmar Ratio Rank of Buffered Momentum MiniMacro is 8787
Calmar Ratio Rank
The Martin Ratio Rank of Buffered Momentum MiniMacro is 8989
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July		0.660.991.160.652.67
SPMO
Invesco S&P 500® Momentum ETF		1.111.631.231.384.98
GLD
SPDR Gold Trust		2.132.651.344.3110.98
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN		0.221.151.140.240.55
SVOL
Simplify Volatility Premium ETF		-0.20-0.030.99-0.21-0.81
SDS
ProShares UltraShort S&P500		-0.46-0.430.94-0.29-0.98
LQDW
iShares Investment Grade Corporate Bond Buywrite Strategy ETF		1.101.541.231.223.80

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.

Buffered Momentum MiniMacro Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: 1.46
  • All Time: 1.49

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 0.47 to 0.99, 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 Buffered Momentum MiniMacro compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Buffered Momentum MiniMacro provided a 3.70% dividend yield over the last twelve months.

TTM2024202320222021202020192018201720162015
Portfolio3.70%3.52%4.26%2.67%0.36%0.33%0.39%0.29%0.19%0.49%0.09%
Portfolio components:
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF		0.49%0.48%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%
GLD
SPDR Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SVOL
Simplify Volatility Premium ETF		18.56%16.79%16.37%18.32%4.65%0.00%0.00%0.00%0.00%0.00%0.00%
SDS
ProShares UltraShort S&P500		7.65%7.89%5.77%0.35%0.00%0.55%1.84%1.28%0.09%0.00%0.00%
LQDW
iShares Investment Grade Corporate Bond Buywrite Strategy ETF		16.35%15.74%19.28%8.85%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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 Buffered Momentum MiniMacro. 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 Buffered Momentum MiniMacro was 9.09%, occurring on Apr 8, 2025. Recovery took 23 trading sessions.

The current Buffered Momentum MiniMacro drawdown is 1.26%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.09%Feb 20, 202534Apr 8, 202523May 12, 202557
-7.92%Aug 26, 202222Sep 27, 202287Feb 1, 2023109
-3.62%Feb 2, 202326Mar 10, 202316Apr 3, 202342
-3.42%Sep 15, 202313Oct 3, 202330Nov 14, 202343
-2.84%Jul 17, 202416Aug 7, 20246Aug 15, 202422

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 3.86, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCGLDLQDWVXXSVOLSPMOFJULSDSPortfolio
^GSPC1.000.150.34-0.720.730.830.97-1.000.91
GLD0.151.000.27-0.040.090.100.16-0.160.35
LQDW0.340.271.00-0.290.360.250.34-0.340.42
VXX-0.72-0.04-0.291.00-0.84-0.63-0.720.72-0.61
SVOL0.730.090.36-0.841.000.630.72-0.730.67
SPMO0.830.100.25-0.630.631.000.79-0.830.89
FJUL0.970.160.34-0.720.720.791.00-0.970.90
SDS-1.00-0.16-0.340.72-0.73-0.83-0.971.00-0.91
Portfolio0.910.350.42-0.610.670.890.90-0.911.00
The correlation results are calculated based on daily price changes starting from Aug 24, 2022