MoVix
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | Corporate Bonds | 15% |
SPMO Invesco S&P 500® Momentum ETF | Large Cap Growth Equities | 60% |
SVOL Simplify Volatility Premium ETF | Volatility, Actively Managed | 15% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | Volatility | 10% |
Performance
Performance Chart
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The earliest data available for this chart is May 13, 2021, corresponding to the inception date of SVOL
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.67% | 10.48% | -1.79% | 10.08% | 14.60% | 10.64% |
| MoVix | 6.36% | 9.37% | 5.36% | 18.13% | N/A | N/A |
| Portfolio components: | ||||||
SPMO Invesco S&P 500® Momentum ETF | 8.82% | 16.74% | 8.45% | 27.59% | 21.41% | N/A |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | 20.31% | -22.33% | 15.63% | 20.52% | -52.16% | N/A |
SVOL Simplify Volatility Premium ETF | -7.62% | 20.35% | -9.51% | -7.14% | N/A | N/A |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 0.93% | 0.72% | 0.27% | 3.56% | -0.71% | 2.38% |
Monthly Returns
The table below presents the monthly returns of MoVix, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.40% | 0.32% | -4.72% | 2.73% | 4.76% | 6.36% | |||||||
| 2024 | 3.20% | 6.02% | 2.72% | -3.39% | 3.44% | 4.35% | 0.10% | 2.37% | 2.35% | 0.73% | 1.96% | -1.24% | 24.69% |
| 2023 | -0.73% | -3.42% | 1.38% | 0.47% | -3.91% | 2.41% | 0.26% | 1.06% | -0.60% | -1.66% | 4.94% | 4.32% | 4.18% |
| 2022 | -3.37% | -0.77% | 2.86% | -6.29% | -0.39% | -5.62% | 5.26% | -3.39% | -5.13% | 6.71% | 2.37% | -2.37% | -10.59% |
| 2021 | 1.61% | 3.99% | 1.61% | 1.67% | -2.82% | 3.03% | -1.09% | -0.21% | 7.87% |
Expense Ratio
MoVix has an expense ratio of 0.26%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 90, MoVix is among the top 10% 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.
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 | 1.11 | 1.63 | 1.23 | 1.38 | 4.98 |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | 0.22 | 1.15 | 1.14 | 0.22 | 0.55 |
SVOL Simplify Volatility Premium ETF | -0.20 | -0.03 | 0.99 | -0.21 | -0.81 |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 0.47 | 0.70 | 1.09 | 0.25 | 1.27 |
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Dividends
Dividend yield
MoVix provided a 3.76% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.76% | 3.47% | 4.03% | 4.24% | 1.36% | 1.16% | 1.33% | 1.18% | 0.93% | 1.67% | 0.74% | 0.51% |
| Portfolio components: | ||||||||||||
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% | 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% | 0.00% |
SVOL Simplify Volatility Premium ETF | 18.56% | 16.79% | 16.37% | 18.32% | 4.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.52% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% | 3.39% |
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 MoVix. 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 MoVix was 18.22%, occurring on Sep 26, 2022. Recovery took 359 trading sessions.
The current MoVix drawdown is 2.20%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -18.22% | Nov 9, 2021 | 221 | Sep 26, 2022 | 359 | Mar 1, 2024 | 580 |
| -10.17% | Feb 14, 2025 | 36 | Apr 7, 2025 | 25 | May 13, 2025 | 61 |
| -4.25% | Apr 8, 2024 | 18 | May 1, 2024 | 18 | May 28, 2024 | 36 |
| -4.24% | Jul 11, 2024 | 14 | Jul 30, 2024 | 4 | Aug 5, 2024 | 18 |
| -3.42% | Sep 8, 2021 | 19 | Oct 4, 2021 | 24 | Nov 5, 2021 | 43 |
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 2.41, 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
| ^GSPC | LQD | VXX | SVOL | SPMO | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.31 | -0.72 | 0.71 | 0.86 | 0.71 |
| LQD | 0.31 | 1.00 | -0.20 | 0.27 | 0.22 | 0.34 |
| VXX | -0.72 | -0.20 | 1.00 | -0.83 | -0.65 | -0.34 |
| SVOL | 0.71 | 0.27 | -0.83 | 1.00 | 0.65 | 0.46 |
| SPMO | 0.86 | 0.22 | -0.65 | 0.65 | 1.00 | 0.88 |
| Portfolio | 0.71 | 0.34 | -0.34 | 0.46 | 0.88 | 1.00 |