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ETF Momentum
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Risk-Adjusted Performance
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Volatility
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ETF Momentum

Last updated Dec 24, 2024

Asset Allocation

FKRCX 6.7%C030.DE 6.7%XDDX.DE 6.7%QDVE.DE 6.7%XAIX.DE 6.7%XDEM.DE 6.7%ZPDJ.DE 6.7%TQQQ 6.7%CEMR.DE 6.7%QDVA.DE 6.7%SPMO 6.7%QDV5.DE 6.7%MAGS 6.7%USD 6.5%BITO 6.4%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
BITO
ProShares Bitcoin Strategy ETF		Technology Equities, Actively Managed, Blockchain
6.40%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		Europe Equities
6.70%
CEMR.DE
iShares Edge MSCI Europe Momentum Factor UCITS ETF		Europe Equities
6.70%
FKRCX
Franklin Gold and Precious Metals Fund		Precious Metals
6.70%
MAGS
Roundhill Magnificent Seven ETF		Technology Equities
6.70%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		Asia Pacific Equities
6.70%
QDVA.DE
iShares Edge MSCI USA Momentum Factor UCITS ETF		Large Cap Growth Equities
6.70%
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		Technology Equities
6.70%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
6.70%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
6.70%
USD
ProShares Ultra Semiconductors		Leveraged Equities, Leveraged
6.50%
XAIX.DE
Xtrackers Artificial Intelligence & Big Data UCITS ETF		Technology Equities
6.70%
XDDX.DE
Xtrackers DAX ESG Screened UCITS ETF 1D		Europe Equities
6.70%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		Global Equities
6.70%
ZPDJ.DE
SPDR MSCI Japan UCITS ETF		Japan Equities
6.70%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETF Momentum, 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 Quarterly

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.58%
9.23%
ETF Momentum
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 11, 2023, corresponding to the inception date of MAGS

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		25.25%0.08%9.66%25.65%13.17%11.11%
ETF Momentum39.73%-0.62%7.57%40.26%N/AN/A
Portfolio components:
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		-0.03%-3.67%-4.66%1.47%7.07%8.20%
XDDX.DE
Xtrackers DAX ESG Screened UCITS ETF 1D		9.25%2.05%3.99%9.73%7.11%6.34%
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		39.23%3.62%8.47%39.81%25.90%N/A
XAIX.DE
Xtrackers Artificial Intelligence & Big Data UCITS ETF		28.49%-0.33%9.15%29.44%20.32%N/A
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		30.81%-1.03%3.66%31.66%13.25%16.20%
ZPDJ.DE
SPDR MSCI Japan UCITS ETF		5.77%-1.11%-0.43%7.05%5.38%N/A
FKRCX
Franklin Gold and Precious Metals Fund		4.86%-19.46%-5.11%4.49%3.59%5.79%
TQQQ
ProShares UltraPro QQQ		70.13%9.06%15.70%71.31%32.75%35.46%
CEMR.DE
iShares Edge MSCI Europe Momentum Factor UCITS ETF		12.92%-0.74%-0.94%13.61%9.00%N/A
QDVA.DE
iShares Edge MSCI USA Momentum Factor UCITS ETF		32.73%-1.82%5.67%33.50%12.89%N/A
SPMO
Invesco S&P 500® Momentum ETF		47.97%1.07%10.68%49.00%19.67%N/A
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		10.36%-1.48%-3.99%11.70%12.72%N/A
USD
ProShares Ultra Semiconductors		154.69%6.13%-2.56%160.28%55.22%44.95%
MAGS
Roundhill Magnificent Seven ETF		69.69%11.21%26.33%69.46%N/AN/A
BITO
ProShares Bitcoin Strategy ETF		96.36%-11.42%39.06%87.66%N/AN/A
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.96%10.40%5.97%-5.06%8.19%5.14%-0.20%0.96%3.06%-0.72%5.64%39.73%
20230.97%3.62%7.09%3.55%-2.81%-5.69%-1.49%12.88%7.51%27.14%

Expense Ratio

ETF Momentum features an expense ratio of 0.43%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
USD
ProShares Ultra Semiconductors
Expense ratio chart for USD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
BITO
ProShares Bitcoin Strategy ETF
Expense ratio chart for BITO: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
FKRCX
Franklin Gold and Precious Metals Fund
Expense ratio chart for FKRCX: current value at 0.88% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.88%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)
Expense ratio chart for QDV5.DE: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
XAIX.DE
Xtrackers Artificial Intelligence & Big Data UCITS ETF
Expense ratio chart for XAIX.DE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
MAGS
Roundhill Magnificent Seven ETF
Expense ratio chart for MAGS: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist
Expense ratio chart for C030.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C
Expense ratio chart for XDEM.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
CEMR.DE
iShares Edge MSCI Europe Momentum Factor UCITS ETF
Expense ratio chart for CEMR.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
QDVA.DE
iShares Edge MSCI USA Momentum Factor UCITS ETF
Expense ratio chart for QDVA.DE: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF
Expense ratio chart for QDVE.DE: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
SPMO
Invesco S&P 500® Momentum ETF
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
ZPDJ.DE
SPDR MSCI Japan UCITS ETF
Expense ratio chart for ZPDJ.DE: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
XDDX.DE
Xtrackers DAX ESG Screened UCITS ETF 1D
Expense ratio chart for XDDX.DE: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETF Momentum is 73, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of ETF Momentum is 7373
Overall Rank
The Sharpe Ratio Rank of ETF Momentum is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of ETF Momentum is 7676
Sortino Ratio Rank
The Omega Ratio Rank of ETF Momentum is 7474
Omega Ratio Rank
The Calmar Ratio Rank of ETF Momentum is 6666
Calmar Ratio Rank
The Martin Ratio Rank of ETF Momentum is 6969
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.

Sharpe ratio
The chart of Sharpe ratio for ETF Momentum, currently valued at 2.27, compared to the broader market-6.00-4.00-2.000.002.004.002.272.07
The chart of Sortino ratio for ETF Momentum, currently valued at 2.93, compared to the broader market-6.00-4.00-2.000.002.004.006.002.932.76
The chart of Omega ratio for ETF Momentum, currently valued at 1.39, compared to the broader market0.400.600.801.001.201.401.601.801.391.39
The chart of Calmar ratio for ETF Momentum, currently valued at 3.05, compared to the broader market0.002.004.006.008.0010.0012.003.053.05
The chart of Martin ratio for ETF Momentum, currently valued at 12.36, compared to the broader market0.0010.0020.0030.0040.0050.0012.3613.27
ETF Momentum
^GSPC
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		0.110.271.040.150.44
XDDX.DE
Xtrackers DAX ESG Screened UCITS ETF 1D		0.831.211.151.233.28
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		2.192.881.383.0310.17
XAIX.DE
Xtrackers Artificial Intelligence & Big Data UCITS ETF		1.862.521.332.509.01
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		2.042.731.382.4910.64
ZPDJ.DE
SPDR MSCI Japan UCITS ETF		0.410.681.090.581.72
FKRCX
Franklin Gold and Precious Metals Fund		0.300.591.080.301.15
TQQQ
ProShares UltraPro QQQ		1.612.041.282.286.76
CEMR.DE
iShares Edge MSCI Europe Momentum Factor UCITS ETF		1.041.491.181.614.66
QDVA.DE
iShares Edge MSCI USA Momentum Factor UCITS ETF		2.032.751.372.7211.08
SPMO
Invesco S&P 500® Momentum ETF		2.803.631.503.8515.77
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		0.660.961.140.892.47
USD
ProShares Ultra Semiconductors		2.282.561.333.839.46
MAGS
Roundhill Magnificent Seven ETF		2.953.551.494.1213.29
BITO
ProShares Bitcoin Strategy ETF		1.632.291.273.156.81

The current ETF Momentum Sharpe ratio is 2.27. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.33 to 2.19, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of ETF Momentum with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.27
2.07
ETF Momentum
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF Momentum provided a 3.95% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio3.95%1.63%0.68%0.91%1.15%0.51%0.51%0.44%1.27%0.14%0.59%0.20%
Portfolio components:
C030.DE
Amundi DJ Switzerland Titans 30 UCITS ETF Dist		0.00%0.00%2.21%1.70%2.04%2.37%2.78%2.76%0.00%0.00%0.00%0.00%
XDDX.DE
Xtrackers DAX ESG Screened UCITS ETF 1D		2.69%3.34%5.35%2.05%3.14%2.81%2.34%2.16%1.40%1.06%3.78%1.97%
QDVE.DE
iShares S&P 500 Information Technology Sector UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XAIX.DE
Xtrackers Artificial Intelligence & Big Data UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XDEM.DE
Xtrackers MSCI World Momentum Factor UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.63%0.00%
ZPDJ.DE
SPDR MSCI Japan UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FKRCX
Franklin Gold and Precious Metals Fund		0.00%3.12%0.00%9.37%10.55%0.00%0.00%0.36%8.73%0.00%1.10%0.00%
TQQQ
ProShares UltraPro QQQ		1.18%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
CEMR.DE
iShares Edge MSCI Europe Momentum Factor UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QDVA.DE
iShares Edge MSCI USA Momentum Factor UCITS ETF		0.00%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		0.48%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%0.00%0.00%
QDV5.DE
iShares MSCI India UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USD
ProShares Ultra Semiconductors		0.10%0.10%0.30%0.00%0.22%1.03%1.35%0.55%7.11%0.63%3.44%0.98%
MAGS
Roundhill Magnificent Seven ETF		0.26%0.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BITO
ProShares Bitcoin Strategy ETF		56.81%15.14%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.

-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.86%
-1.91%
ETF Momentum
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF Momentum. 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 ETF Momentum was 14.39%, occurring on Aug 5, 2024. Recovery took 38 trading sessions.

The current ETF Momentum drawdown is 4.86%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.39%Jul 17, 202414Aug 5, 202438Sep 26, 202452
-11.37%Jul 20, 202371Oct 26, 202316Nov 17, 202387
-7.28%Mar 26, 202418Apr 19, 202418May 15, 202436
-5.13%Dec 17, 20243Dec 19, 2024———
-3.62%Oct 30, 20244Nov 4, 20242Nov 6, 20246

Volatility

Volatility Chart

The current ETF Momentum volatility is 5.38%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.38%
3.82%
ETF Momentum
Benchmark (^GSPC)
Portfolio components

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.
BITOFKRCXQDV5.DEC030.DEZPDJ.DEMAGSUSDSPMOXDDX.DEQDVE.DECEMR.DETQQQQDVA.DEXAIX.DEXDEM.DE
BITO1.000.150.150.160.110.200.210.220.190.130.220.230.210.200.23
FKRCX0.151.000.340.400.380.200.220.260.410.180.430.280.270.270.34
QDV5.DE0.150.341.000.370.430.310.290.320.400.260.430.360.350.370.40
C030.DE0.160.400.371.000.480.190.220.300.750.320.780.290.440.440.55
ZPDJ.DE0.110.380.430.481.000.350.340.340.550.390.580.410.450.500.59
MAGS0.200.200.310.190.351.000.730.650.310.570.320.890.450.550.48
USD0.210.220.290.220.340.731.000.680.320.640.350.830.530.560.54
SPMO0.220.260.320.300.340.650.681.000.330.500.440.760.610.500.61
XDDX.DE0.190.410.400.750.550.310.320.331.000.410.890.390.500.520.63
QDVE.DE0.130.180.260.320.390.570.640.500.411.000.460.650.800.880.77
CEMR.DE0.220.430.430.780.580.320.350.440.890.461.000.410.610.550.74
TQQQ0.230.280.360.290.410.890.830.760.390.650.411.000.560.640.58
QDVA.DE0.210.270.350.440.450.450.530.610.500.800.610.561.000.800.95
XAIX.DE0.200.270.370.440.500.550.560.500.520.880.550.640.801.000.82
XDEM.DE0.230.340.400.550.590.480.540.610.630.770.740.580.950.821.00
The correlation results are calculated based on daily price changes starting from Apr 12, 2023
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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