Mo
Gathering data
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Mo, 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
The earliest data available for this chart is Dec 2, 2015, corresponding to the inception date of QMOM
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| Mo | 24.67% | 1.79% | 6.17% | 31.30% | 14.99% | N/A |
| Portfolio components: | ||||||
SPMO Invesco S&P 500® Momentum ETF | 47.91% | 2.49% | 18.92% | 57.54% | 20.47% | N/A |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 39.36% | 5.43% | 15.20% | 50.34% | 17.52% | N/A |
IDMO Invesco S&P International Developed Momentum ETF | 14.49% | -2.04% | 1.11% | 22.46% | 12.01% | 9.52% |
MFTFX Arrow Managed Futures Stragegy Fund | 4.20% | -1.27% | -14.29% | -2.33% | 6.97% | 4.33% |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | -4.73% | 3.50% | -5.09% | -1.18% | 4.41% | 2.29% |
Monthly Returns
The table below presents the monthly returns of Mo, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.81% | 9.61% | 4.10% | -3.99% | 2.85% | 0.78% | 0.39% | 1.37% | 1.28% | -2.30% | 24.67% | ||
| 2023 | 0.19% | -0.80% | -2.23% | 1.87% | -1.85% | 5.55% | 1.16% | -1.09% | -1.13% | -2.92% | 6.10% | 5.16% | 9.89% |
| 2022 | -3.40% | 0.15% | 5.26% | -3.24% | 1.76% | -6.59% | 4.32% | 0.37% | -4.26% | 9.42% | 0.92% | -2.74% | 0.85% |
| 2021 | 2.28% | -0.64% | -1.25% | 3.88% | -1.13% | 2.12% | -0.43% | 3.42% | -1.90% | 6.26% | -4.86% | 2.28% | 9.91% |
| 2020 | 2.39% | -6.01% | -7.89% | 9.23% | 6.11% | 2.18% | 6.54% | 4.29% | -1.44% | -3.15% | 9.07% | 6.11% | 28.88% |
| 2019 | 6.39% | 3.29% | 2.82% | 1.48% | -1.52% | 4.45% | 2.06% | 1.34% | -3.73% | -0.25% | 3.21% | 0.98% | 22.10% |
| 2018 | 7.15% | -4.65% | -2.21% | 0.68% | 1.50% | -0.67% | 1.23% | 3.67% | 0.97% | -10.27% | -1.50% | -4.32% | -9.12% |
| 2017 | 1.98% | 2.45% | -0.42% | 0.53% | 0.47% | 0.41% | 3.21% | 0.34% | 1.94% | 5.61% | 2.28% | 0.88% | 21.38% |
| 2016 | -4.97% | 2.21% | 4.57% | -0.01% | 0.94% | 0.19% | 3.76% | -1.04% | 0.91% | -4.51% | -0.30% | 1.18% | 2.50% |
| 2015 | -4.66% | -4.66% |
Expense Ratio
Mo features an expense ratio of 0.64%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Mo is 40, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SPMO Invesco S&P 500® Momentum ETF | 3.40 | 4.38 | 1.61 | 4.57 | 19.03 |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 2.75 | 3.61 | 1.45 | 1.85 | 19.91 |
IDMO Invesco S&P International Developed Momentum ETF | 1.59 | 2.14 | 1.28 | 2.23 | 9.38 |
MFTFX Arrow Managed Futures Stragegy Fund | -0.30 | -0.26 | 0.97 | -0.26 | -0.51 |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | -0.29 | -0.34 | 0.96 | -0.10 | -0.39 |
Dividends
Dividend yield
Mo provided a 0.84% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.84% | 2.82% | 8.52% | 1.04% | 1.23% | 3.65% | 2.09% | 1.58% | 2.28% | 1.73% | 1.44% | 0.43% |
| Portfolio components: | ||||||||||||
SPMO Invesco S&P 500® Momentum ETF | 0.44% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 0.00% | 0.00% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.63% | 0.87% | 1.59% | 0.13% | 0.08% | 0.01% | 0.05% | 0.13% | 0.33% | 0.01% | 0.00% | 0.00% |
IDMO Invesco S&P International Developed Momentum ETF | 2.28% | 2.89% | 3.66% | 1.81% | 1.64% | 2.10% | 3.27% | 3.08% | 2.18% | 2.52% | 2.18% | 1.70% |
MFTFX Arrow Managed Futures Stragegy Fund | 0.00% | 11.76% | 41.05% | 2.31% | 0.00% | 20.02% | 7.84% | 2.12% | 9.36% | 1.20% | 0.00% | 0.00% |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | 0.00% | 0.00% | 13.31% | 1.09% | 3.91% | 2.19% | 0.10% | 2.54% | 0.00% | 6.87% | 7.17% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Mo. 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 Mo was 25.02%, occurring on Mar 23, 2020. Recovery took 75 trading sessions.
The current Mo drawdown is 1.00%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -25.02% | Feb 20, 2020 | 23 | Mar 23, 2020 | 75 | Jul 9, 2020 | 98 |
| -20.16% | Jan 29, 2018 | 229 | Dec 24, 2018 | 122 | Jun 20, 2019 | 351 |
| -14.04% | Feb 16, 2021 | 15 | Mar 8, 2021 | 156 | Oct 18, 2021 | 171 |
| -12.6% | Dec 3, 2015 | 47 | Feb 10, 2016 | 114 | Jul 25, 2016 | 161 |
| -12.42% | Nov 17, 2021 | 158 | Jul 6, 2022 | 300 | Sep 14, 2023 | 458 |
Volatility
Volatility Chart
The current Mo volatility is 3.90%, 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.
Diversification
Asset Correlations Table
| PQTAX | MFTFX | IDMO | SPMO | QMOM | |
|---|---|---|---|---|---|
| PQTAX | 1.00 | 0.59 | -0.02 | -0.00 | 0.03 |
| MFTFX | 0.59 | 1.00 | 0.13 | 0.15 | 0.17 |
| IDMO | -0.02 | 0.13 | 1.00 | 0.57 | 0.53 |
| SPMO | -0.00 | 0.15 | 0.57 | 1.00 | 0.70 |
| QMOM | 0.03 | 0.17 | 0.53 | 0.70 | 1.00 |