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Buffered Momentum Gold Vol
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Buffered Momentum Gold Vol

Currency in USD · Last updated May 23, 2025

Asset Allocation

FJUL 50%GLD 20%SPMO 25%VXX 5%AlternativesAlternativesCommodityCommodityEquityEquityVolatilityVolatility
PositionCategory/SectorTarget Weight
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July		Options Trading
50%
GLD
SPDR Gold Trust		Precious Metals, Gold
20%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
25%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN		Volatility
5%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Jul 20, 2020, corresponding to the inception date of FJUL

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-0.67%10.48%-1.79%10.08%14.60%10.64%
Buffered Momentum Gold Vol8.43%5.36%7.75%19.92%N/AN/A
Portfolio components:
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July		0.32%7.26%0.27%8.56%N/AN/A
SPMO
Invesco S&P 500® Momentum ETF		8.82%16.74%8.45%27.59%21.41%N/A
GLD
SPDR Gold Trust		25.18%-2.57%22.89%37.71%13.18%10.12%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN		20.31%-22.33%15.63%20.52%-52.16%N/A
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.44%0.16%-1.11%2.62%3.13%8.43%
20241.55%4.38%3.58%-1.44%3.21%2.45%1.41%2.10%2.84%1.30%1.36%-0.93%23.92%
20232.39%-3.00%3.17%0.72%-1.91%3.16%1.82%-0.39%-2.57%0.24%4.85%3.23%11.95%
2022-2.29%0.60%2.83%-5.10%-1.17%-3.75%4.66%-2.91%-5.18%4.88%3.80%-2.25%-6.43%
20210.24%-2.29%-0.05%1.91%1.06%-0.16%1.74%1.22%-2.72%2.89%-0.61%1.40%4.55%
20202.13%3.41%-2.40%-1.69%2.18%2.80%6.45%

Expense Ratio

Buffered Momentum Gold Vol has an expense ratio of 0.58%, 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.

VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
FJUL
FT Cboe Vest U.S. Equity Buffer ETF - July
GLD
SPDR Gold Trust
SPMO
Invesco S&P 500® Momentum ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 96, Buffered Momentum Gold Vol is among the top 4% 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 Gold Vol is 9696
Overall Rank
The Sharpe Ratio Rank of Buffered Momentum Gold Vol is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of Buffered Momentum Gold Vol is 9696
Sortino Ratio Rank
The Omega Ratio Rank of Buffered Momentum Gold Vol is 9696
Omega Ratio Rank
The Calmar Ratio Rank of Buffered Momentum Gold Vol is 9595
Calmar Ratio Rank
The Martin Ratio Rank of Buffered Momentum Gold Vol is 9696
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		0.221.151.140.210.55

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 Gold Vol Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: 2.11
  • All Time: 1.10

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 Gold Vol 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 Gold Vol provided a 0.12% dividend yield over the last twelve months.

TTM2024202320222021202020192018201720162015
Portfolio0.12%0.12%0.41%0.42%0.13%0.32%0.35%0.26%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%

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 Gold Vol. 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 Gold Vol was 13.68%, occurring on Sep 26, 2022. Recovery took 298 trading sessions.

The current Buffered Momentum Gold Vol drawdown is 0.78%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.68%Mar 30, 2022124Sep 26, 2022298Dec 1, 2023422
-7.49%Feb 20, 202533Apr 7, 202518May 2, 202551
-5.68%Sep 3, 202014Sep 23, 202070Jan 4, 202184
-4.58%Feb 11, 202117Mar 8, 202182Jul 2, 202199
-4.17%Nov 15, 202151Jan 27, 202239Mar 24, 202290

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 4 assets, with an effective number of assets of 2.82, 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.
^GSPCGLDVXXSPMOFJULPortfolio
^GSPC1.000.13-0.710.850.950.81
GLD0.131.00-0.090.120.130.48
VXX-0.71-0.091.00-0.63-0.71-0.44
SPMO0.850.12-0.631.000.800.82
FJUL0.950.13-0.710.801.000.80
Portfolio0.810.48-0.440.820.801.00
The correlation results are calculated based on daily price changes starting from Jul 21, 2020