FVMOM-edit

Asset Allocation

Position	Category/Sector	Target Weight
ADANX AQR Diversified Arbitrage Fund Class N	Multistrategy	7.16%
AQMNX AQR Managed Futures Strategy Fund Class N	Systematic Trend	3.31%
BTAL AGFiQ US Market Neutral Anti-Beta Fund	Long-Short	0.37%
BTC-USD Bitcoin		0.39%
CTA Simplify Managed Futures Strategy ETF	Systematic Trend	2.67%
EEM iShares MSCI Emerging Markets ETF	Emerging Markets Diversified	3.59%
GLD SPDR Gold Shares	Gold, Precious Metals	8.01%
HGER Harbor Commodity All-Weather Strategy ETF	Commodities	4.05%
QLENX AQR Long-Short Equity N	Long-Short	6.64%
QMNNX AQR Equity Market Neutral Fund N	Equity Market Neutral	4.33%
QSPIX AQR Style Premia Alternative Fund	Multistrategy	3.29%
REMX VanEck Vectors Rare Earth/Strategic Metals ETF	Materials	0.76%
SDCI USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund	Commodities, Actively Managed	3.21%
SOXX iShares Semiconductor ETF	Semiconductors, Technology Equities	1.73%
TAN Invesco Solar ETF	Alternative Energy Equities	0.70%
TLT iShares 20+ Year Treasury Bond ETF	Government Bonds, Long-Term Bond	4.29%
URA Global X Uranium ETF	Commodity Producers Equities	0.63%
UUP Invesco DB US Dollar Index Bullish Fund	Currency	6.95%
VDC Vanguard Consumer Staples ETF	Consumer Staples Equities	3.11%
VDE Vanguard Energy ETF	Energy Equities	1.60%
VHT Vanguard Health Care ETF	Health & Biotech Equities	7.91%
VPU Vanguard Utilities ETF	Utilities Equities	3.09%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	20%
XAR SPDR S&P Aerospace & Defense ETF	Industrials Equities, Aerospace & Defense	1.21%
XBI SPDR S&P Biotech ETF	Health & Biotech Equities	1%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FVMOM-edit, 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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The earliest data available for this chart is Mar 8, 2022, corresponding to the inception date of CTA

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-4.18%	-3.84%	-1.98%	21.98%	16.86%	10.37%	12.29%
Portfolio FVMOM-edit	0.00%	-1.31%	4.55%	8.06%	23.86%	16.53%	—	—
Portfolio components:
VTI Vanguard Total Stock Market ETF	0.16%	-3.97%	-3.13%	-1.30%	24.10%	18.10%	10.66%	13.75%
SOXX iShares Semiconductor ETF	0.32%	-0.50%	12.84%	21.56%	100.62%	33.13%	19.27%	28.54%
XBI SPDR S&P Biotech ETF	0.32%	2.01%	5.77%	24.89%	65.64%	18.94%	-1.10%	9.28%
EEM iShares MSCI Emerging Markets ETF	-1.12%	-4.17%	3.44%	5.85%	34.87%	15.51%	3.38%	7.67%
XAR SPDR S&P Aerospace & Defense ETF	-0.14%	-9.57%	7.65%	7.96%	66.04%	30.77%	16.06%	18.38%
TAN Invesco Solar ETF	-2.52%	-0.04%	11.67%	19.29%	80.72%	-10.27%	-9.46%	10.39%
REMX VanEck Vectors Rare Earth/Strategic Metals ETF	0.42%	-9.16%	20.27%	23.41%	141.01%	4.05%	5.42%	10.51%
BTC-USD Bitcoin	0.01%	-7.96%	-23.54%	-45.31%	-19.57%	33.40%	2.82%	65.95%
VHT Vanguard Health Care ETF	-0.52%	-5.57%	-4.78%	2.27%	7.27%	5.91%	5.14%	9.64%
VDC Vanguard Consumer Staples ETF	0.55%	-4.61%	7.09%	6.89%	4.60%	7.52%	7.37%	7.77%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 9, 2022, FVMOM-edit's average daily return is +0.03%, while the average monthly return is +0.97%. At this rate, your investment would double in approximately 6.0 years.

Historically, 68% of months were positive and 32% were negative. The best month was Oct 2022 with a return of +4.3%, while the worst month was Sep 2022 at -5.1%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, FVMOM-edit closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +4.3%, while the worst single day was Apr 4, 2025 at -3.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.55%	3.00%	-2.57%	0.61%									4.55%
2025	3.18%	0.70%	-0.40%	-0.73%	2.17%	2.78%	1.04%	2.35%	3.77%	2.38%	1.48%	0.23%	20.56%
2024	0.96%	2.81%	3.89%	-0.87%	2.74%	0.31%	1.20%	1.22%	1.56%	-0.28%	2.76%	-1.71%	15.43%
2023	3.65%	-1.66%	0.84%	0.92%	-1.23%	3.38%	2.41%	-0.83%	-1.12%	-1.06%	4.03%	2.37%	12.06%
2022			1.63%	-2.15%	1.07%	-4.40%	2.86%	-1.59%	-5.12%	4.30%	4.09%	-1.79%	-1.61%

Benchmark Metrics

FVMOM-edit has an annualized alpha of 6.74%, beta of 0.43, and R² of 0.79 versus S&P 500 Index. Calculated based on daily prices since March 09, 2022.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (54.05%) than losses (36.96%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 6.74% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.43 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 6.74%

Beta: 0.43

R²: 0.79

Upside Capture: 54.05%

Downside Capture: 36.96%

Expense Ratio

FVMOM-edit has a high expense ratio of 1.12%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Top 10 holdings

QMNNX

AQR Equity Market Neutral Fund N

QLENX

AQR Long-Short Equity N

AQMNX

AQR Managed Futures Strategy Fund Class N

ADANX

AQR Diversified Arbitrage Fund Class N

BTAL

AGFiQ US Market Neutral Anti-Beta Fund

QSPIX

AQR Style Premia Alternative Fund

CTA

Simplify Managed Futures Strategy ETF

UUP

Invesco DB US Dollar Index Bullish Fund

EEM

iShares MSCI Emerging Markets ETF

SDCI

USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund

Return for Risk

Risk / Return Rank

FVMOM-edit ranks 96 for risk / return — in the top 96% 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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.54	0.88	+1.66
Sortino ratio Return per unit of downside risk	3.52	1.37	+2.15
Omega ratio Gain probability vs. loss probability	1.58	1.21	+0.37
Calmar ratio Return relative to maximum drawdown	5.28	1.39	+3.89
Martin ratio Return relative to average drawdown	18.70	6.43	+12.27
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
VTI Vanguard Total Stock Market ETF	52	0.94	1.47	1.22	1.53	7.16
SOXX iShares Semiconductor ETF	91	2.01	2.62	1.37	4.46	16.48
XBI SPDR S&P Biotech ETF	92	2.13	2.83	1.36	4.90	17.98
EEM iShares MSCI Emerging Markets ETF	76	1.59	2.16	1.32	2.38	8.92
XAR SPDR S&P Aerospace & Defense ETF	88	2.07	2.75	1.35	3.54	12.22
TAN Invesco Solar ETF	87	1.94	2.54	1.31	4.81	12.64
REMX VanEck Vectors Rare Earth/Strategic Metals ETF	94	2.76	3.16	1.40	5.52	16.39
BTC-USD Bitcoin	36	-0.44	-0.38	0.96	-1.12	-2.00
VHT Vanguard Health Care ETF	20	0.35	0.60	1.08	0.67	1.55
VDC Vanguard Consumer Staples ETF	19	0.35	0.61	1.07	0.51	1.24

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.

FVMOM-edit Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 2.54
All Time: 1.48

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 0.99 to 1.69, 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 FVMOM-edit 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

FVMOM-edit provided a 1.97% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.97%	2.07%	2.85%	5.60%	4.61%	2.13%	1.90%	1.60%	2.09%	2.38%	1.81%	2.20%
Portfolio components:
VTI Vanguard Total Stock Market ETF	1.16%	1.12%	1.27%	1.44%	1.66%	1.21%	1.42%	1.78%	2.04%	1.71%	1.92%	1.98%
SOXX iShares Semiconductor ETF	0.49%	0.57%	0.67%	0.78%	1.26%	0.64%	0.81%	1.23%	1.37%	0.90%	1.08%	1.29%
XBI SPDR S&P Biotech ETF	0.34%	0.37%	0.15%	0.02%	0.00%	0.04%	0.20%	0.00%	0.28%	0.24%	0.26%	0.61%
EEM iShares MSCI Emerging Markets ETF	2.15%	2.22%	2.43%	2.63%	2.50%	1.99%	1.45%	2.76%	2.24%	1.89%	1.89%	2.49%
XAR SPDR S&P Aerospace & Defense ETF	0.34%	0.40%	0.66%	0.54%	0.50%	0.83%	0.63%	0.75%	1.19%	0.76%	1.09%	2.31%
TAN Invesco Solar ETF	0.00%	0.00%	0.50%	0.09%	0.00%	0.00%	0.09%	0.30%	0.69%	1.77%	5.04%	1.60%
REMX VanEck Vectors Rare Earth/Strategic Metals ETF	1.46%	1.76%	2.56%	0.00%	1.56%	5.25%	0.81%	1.64%	12.43%	2.89%	2.23%	4.77%
BTC-USD Bitcoin	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VHT Vanguard Health Care ETF	1.72%	1.61%	1.53%	1.36%	1.33%	1.14%	1.21%	1.89%	1.38%	1.31%	1.45%	1.22%
VDC Vanguard Consumer Staples ETF	2.14%	2.26%	2.33%	2.65%	2.37%	2.14%	2.50%	2.44%	2.78%	2.52%	2.39%	2.55%

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 FVMOM-edit. 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 FVMOM-edit was 10.11%, occurring on Oct 2, 2022. Recovery took 249 trading sessions.

The current FVMOM-edit drawdown is 2.27%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-10.11%	Apr 21, 2022	165	Oct 2, 2022	249	Jun 8, 2023	414
-8.73%	Feb 20, 2025	48	Apr 8, 2025	42	May 20, 2025	90
-4.39%	Jul 17, 2024	20	Aug 5, 2024	18	Aug 23, 2024	38
-4.24%	Mar 3, 2026	28	Mar 30, 2026	—	—	—
-3.69%	Sep 15, 2023	21	Oct 5, 2023	46	Nov 20, 2023	67

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 25 assets, with an effective number of assets of 12.42, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

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

	Benchmark	CTA	AQMNX	TLT	QMNNX	QSPIX	GLD	BTC-USD	HGER	SDCI	QLENX	ADANX	UUP	VDC	VPU	VDE	URA	VHT	XBI	BTAL	REMX	TAN	SOXX	XAR	EEM	VTI	Portfolio
Benchmark	1.00	-0.11	-0.08	0.12	-0.14	-0.18	0.13	0.38	0.15	0.17	0.36	0.38	-0.28	0.47	0.42	0.33	0.53	0.64	0.58	-0.66	0.48	0.54	0.81	0.69	0.66	0.99	0.85
CTA	-0.11	1.00	0.37	-0.27	0.09	0.10	-0.01	-0.02	0.06	0.09	0.03	-0.08	0.19	-0.11	-0.09	0.03	-0.02	-0.13	-0.14	0.11	-0.04	-0.12	-0.07	-0.07	-0.10	-0.09	0.01
AQMNX	-0.08	0.37	1.00	-0.31	0.29	0.26	-0.03	-0.02	0.01	0.06	0.25	-0.10	0.21	-0.18	-0.10	0.02	0.03	-0.15	-0.15	0.09	-0.11	-0.14	-0.02	-0.05	-0.06	-0.05	0.06
TLT	0.12	-0.27	-0.31	1.00	-0.21	-0.16	0.21	0.03	-0.04	-0.07	-0.13	0.03	-0.28	0.18	0.24	-0.07	-0.01	0.18	0.16	-0.11	0.07	0.14	0.05	0.07	0.09	0.12	0.13
QMNNX	-0.14	0.09	0.29	-0.21	1.00	0.63	-0.07	-0.10	0.04	0.08	0.77	-0.10	0.14	-0.15	-0.11	0.14	-0.03	-0.13	-0.19	0.22	-0.17	-0.24	-0.16	-0.04	-0.13	-0.12	0.02
QSPIX	-0.18	0.10	0.26	-0.16	0.63	1.00	-0.15	-0.14	0.06	0.11	0.48	-0.04	0.16	-0.08	-0.10	0.15	-0.11	-0.14	-0.24	0.27	-0.19	-0.23	-0.18	-0.09	-0.17	-0.16	-0.02
GLD	0.13	-0.01	-0.03	0.21	-0.07	-0.15	1.00	0.12	0.51	0.34	0.06	0.10	-0.43	0.12	0.20	0.18	0.31	0.13	0.14	-0.13	0.28	0.15	0.12	0.17	0.31	0.14	0.39
BTC-USD	0.38	-0.02	-0.02	0.03	-0.10	-0.14	0.12	1.00	0.09	0.08	0.09	0.15	-0.17	0.15	0.15	0.12	0.26	0.21	0.26	-0.32	0.26	0.27	0.31	0.29	0.30	0.34	0.40
HGER	0.15	0.06	0.01	-0.04	0.04	0.06	0.51	0.09	1.00	0.78	0.14	0.15	-0.23	0.08	0.13	0.52	0.27	0.04	0.07	-0.13	0.31	0.19	0.12	0.14	0.29	0.13	0.39
SDCI	0.17	0.09	0.06	-0.07	0.08	0.11	0.34	0.08	0.78	1.00	0.18	0.13	-0.19	0.08	0.13	0.50	0.27	0.05	0.08	-0.16	0.32	0.20	0.15	0.17	0.28	0.17	0.40
QLENX	0.36	0.03	0.25	-0.13	0.77	0.48	0.06	0.09	0.14	0.18	1.00	0.07	-0.08	0.09	0.12	0.30	0.26	0.16	0.08	-0.11	0.11	0.04	0.22	0.28	0.23	0.32	0.42
ADANX	0.38	-0.08	-0.10	0.03	-0.10	-0.04	0.10	0.15	0.15	0.13	0.07	1.00	-0.09	0.24	0.22	0.27	0.23	0.31	0.33	-0.27	0.27	0.28	0.25	0.33	0.28	0.35	0.37
UUP	-0.28	0.19	0.21	-0.28	0.14	0.16	-0.43	-0.17	-0.23	-0.19	-0.08	-0.09	1.00	-0.24	-0.20	-0.10	-0.28	-0.25	-0.23	0.21	-0.33	-0.29	-0.21	-0.21	-0.44	-0.27	-0.32
VDC	0.47	-0.11	-0.18	0.18	-0.15	-0.08	0.12	0.15	0.08	0.08	0.09	0.24	-0.24	1.00	0.53	0.21	0.18	0.57	0.29	-0.07	0.20	0.23	0.17	0.33	0.26	0.43	0.47
VPU	0.42	-0.09	-0.10	0.24	-0.11	-0.10	0.20	0.15	0.13	0.13	0.12	0.22	-0.20	0.53	1.00	0.27	0.26	0.43	0.28	-0.12	0.24	0.32	0.19	0.38	0.28	0.40	0.49
VDE	0.33	0.03	0.02	-0.07	0.14	0.15	0.18	0.12	0.52	0.50	0.30	0.27	-0.10	0.21	0.27	1.00	0.33	0.22	0.18	-0.21	0.33	0.27	0.22	0.34	0.28	0.32	0.50
URA	0.53	-0.02	0.03	-0.01	-0.03	-0.11	0.31	0.26	0.27	0.27	0.26	0.23	-0.28	0.18	0.26	0.33	1.00	0.29	0.35	-0.41	0.49	0.40	0.44	0.49	0.51	0.50	0.57
VHT	0.64	-0.13	-0.15	0.18	-0.13	-0.14	0.13	0.21	0.04	0.05	0.16	0.31	-0.25	0.57	0.43	0.22	0.29	1.00	0.61	-0.27	0.29	0.35	0.35	0.43	0.37	0.59	0.59
XBI	0.58	-0.14	-0.15	0.16	-0.19	-0.24	0.14	0.26	0.07	0.08	0.08	0.33	-0.23	0.29	0.28	0.18	0.35	0.61	1.00	-0.51	0.37	0.46	0.45	0.48	0.43	0.57	0.52
BTAL	-0.66	0.11	0.09	-0.11	0.22	0.27	-0.13	-0.32	-0.13	-0.16	-0.11	-0.27	0.21	-0.07	-0.12	-0.21	-0.41	-0.27	-0.51	1.00	-0.45	-0.56	-0.65	-0.50	-0.54	-0.64	-0.50
REMX	0.48	-0.04	-0.11	0.07	-0.17	-0.19	0.28	0.26	0.31	0.32	0.11	0.27	-0.33	0.20	0.24	0.33	0.49	0.29	0.37	-0.45	1.00	0.56	0.43	0.42	0.58	0.46	0.53
TAN	0.54	-0.12	-0.14	0.14	-0.24	-0.23	0.15	0.27	0.19	0.20	0.04	0.28	-0.29	0.23	0.32	0.27	0.40	0.35	0.46	-0.56	0.56	1.00	0.49	0.44	0.56	0.53	0.51
SOXX	0.81	-0.07	-0.02	0.05	-0.16	-0.18	0.12	0.31	0.12	0.15	0.22	0.25	-0.21	0.17	0.19	0.22	0.44	0.35	0.45	-0.65	0.43	0.49	1.00	0.50	0.61	0.75	0.62
XAR	0.69	-0.07	-0.05	0.07	-0.04	-0.09	0.17	0.29	0.14	0.17	0.28	0.33	-0.21	0.33	0.38	0.34	0.49	0.43	0.48	-0.50	0.42	0.44	0.50	1.00	0.44	0.67	0.64
EEM	0.66	-0.10	-0.06	0.09	-0.13	-0.17	0.31	0.30	0.29	0.28	0.23	0.28	-0.44	0.26	0.28	0.28	0.51	0.37	0.43	-0.54	0.58	0.56	0.61	0.44	1.00	0.63	0.65
VTI	0.99	-0.09	-0.05	0.12	-0.12	-0.16	0.14	0.34	0.13	0.17	0.32	0.35	-0.27	0.43	0.40	0.32	0.50	0.59	0.57	-0.64	0.46	0.53	0.75	0.67	0.63	1.00	0.81
Portfolio	0.85	0.01	0.06	0.13	0.02	-0.02	0.39	0.40	0.39	0.40	0.42	0.37	-0.32	0.47	0.49	0.50	0.57	0.59	0.52	-0.50	0.53	0.51	0.62	0.64	0.65	0.81	1.00

The correlation results are calculated based on daily price changes starting from Mar 9, 2022

FVMOM-edit

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table