Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
VFMO Vanguard U.S. Momentum Factor ETF | Momentum, Mid Cap Blend Equities | 100% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Vanguard Momentum Factor , 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 | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio Vanguard Momentum Factor | 1.43% | 5.36% | 24.95% | 23.27% | 46.40% | 26.89% | 13.91% | — |
| Portfolio components: | ||||||||
VFMO Vanguard U.S. Momentum Factor ETF | 1.43% | 5.36% | 24.95% | 23.27% | 46.40% | 26.89% | 13.91% | — |
Monthly Returns
Based on dividend-adjusted daily data since Feb 15, 2018, Vanguard Momentum Factor 's average daily return is +0.07%, while the average monthly return is +1.36%. At this rate, an investment would double in approximately 4.3 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +14.7%, while the worst month was Mar 2020 at -15.8%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Vanguard Momentum Factor closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.6%, while the worst single day was Mar 16, 2020 at -13.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.60% | 3.43% | -5.53% | 13.58% | 4.03% | 2.49% | 24.95% | ||||||
| 2025 | 5.08% | -4.29% | -8.05% | 0.45% | 7.90% | 5.27% | 1.32% | 3.59% | 6.01% | 2.65% | -2.23% | -0.37% | 17.39% |
| 2024 | 2.20% | 9.18% | 3.37% | -6.22% | 5.75% | 0.33% | 3.85% | 1.50% | 1.83% | 0.60% | 10.02% | -7.48% | 26.14% |
| 2023 | 4.05% | -2.34% | -2.58% | -0.97% | 0.43% | 8.59% | 3.22% | -3.45% | -6.03% | -5.08% | 11.89% | 9.33% | 16.25% |
| 2022 | -8.96% | 1.27% | 3.26% | -8.43% | 2.35% | -9.58% | 8.36% | -0.39% | -7.64% | 12.87% | 2.14% | -6.00% | -12.84% |
| 2021 | 5.27% | 5.65% | -1.01% | 2.73% | 1.41% | 2.02% | -1.96% | 3.39% | -3.32% | 6.71% | -3.72% | 1.14% | 19.16% |
Benchmark Metrics
Vanguard Momentum Factor has an annualized alpha of 2.19%, beta of 1.08, and R2 of 0.77 versus S&P 500 Index. Calculated based on daily prices since February 15, 2018.
- This portfolio captured 107.49% of S&P 500 Index gains but only 97.74% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 2.19% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.08 and R2 of 0.77, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 2.19%
- Beta
- 1.08
- R²
- 0.77
- Upside Capture
- 107.49%
- Downside Capture
- 97.74%
Expense Ratio
Vanguard Momentum Factor has an expense ratio of 0.13%, which is considered low. 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
Vanguard Momentum Factor ranks 60 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Vanguard Momentum Factor 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 | 2.01 | 1.86 | +0.14 |
| Sortino ratioReturn per unit of downside risk | 2.61 | 2.53 | +0.08 |
| Omega ratioGain probability vs. loss probability | 1.34 | 1.34 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 4.04 | 2.53 | +1.51 |
| Martin ratioReturn relative to average drawdown | 15.06 | 11.37 | +3.69 |
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 |
|---|---|---|---|---|---|---|
VFMO Vanguard U.S. Momentum Factor ETF | 72 | 2.01 | 2.61 | 1.34 | 4.04 | 15.06 |
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Dividends
Dividend yield
Vanguard Momentum Factor provided a 0.62% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.62% | 0.82% | 0.72% | 0.89% | 1.72% | 0.81% | 0.45% | 1.22% | 0.70% |
| Portfolio components: | |||||||||
VFMO Vanguard U.S. Momentum Factor ETF | 0.62% | 0.82% | 0.72% | 0.89% | 1.72% | 0.81% | 0.45% | 1.22% | 0.70% |
Monthly Dividends
The table below shows the monthly dividends paid by this portfolio.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.00 | $0.23 | ||||||
| 2025 | $0.00 | $0.00 | $0.31 | $0.00 | $0.00 | $0.56 | $0.00 | $0.00 | $0.35 | $0.00 | $0.00 | $0.35 | $1.57 |
| 2024 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.32 | $0.00 | $0.00 | $0.27 | $0.00 | $0.00 | $0.44 | $1.19 |
| 2023 | $0.00 | $0.00 | $0.36 | $0.00 | $0.00 | $0.28 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.37 | $1.17 |
| 2022 | $0.00 | $0.00 | $0.36 | $0.00 | $0.00 | $0.56 | $0.00 | $0.00 | $0.49 | $0.00 | $0.00 | $0.56 | $1.97 |
| 2021 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.26 | $0.00 | $0.00 | $0.50 | $1.07 |
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 Vanguard Momentum Factor . 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 Vanguard Momentum Factor was 36.77%, occurring on Mar 23, 2020. Recovery took 90 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -36.77%Mar 2020 | 1mo 2d | 4mo 9d | 5mo 11dFeb 2020 - Jul 2020 |
Rate-hike selloffLate 2018 | -27.21%Dec 2018 | 3mo 20d | 12mo 1d | 1y 3moSep 2018 - Dec 2019 |
Bear market2022 | -25.80%Sep 2022 | 10mo 21d | 1y 4mo | 2y 2moNov 2021 - Feb 2024 |
2025 selloff2025 | -24.40%Apr 2025 | 4mo 12d | 4mo 6d | 8mo 18dNov 2024 - Aug 2025 |
2024 correction2024 | -12.18%Aug 2024 | 19d | 1mo 15d | 2mo 4dJul 2024 - Sep 2024 |
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 1 assets, with an effective number of assets of 1.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.00 | 1.00 | 1.00 | 1.00 |
The portfolio has a diversification ratio of 1.00, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Vanguard Momentum Factor correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.85 |
Correlation (All Time) Calculated using the full available price history since Feb 15, 2018 | 0.84 |
Find what Vanguard Momentum Factor is missing
See which holdings overlap, where Vanguard Momentum Factor is concentrated, and which low-correlation assets could fill the gaps.
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