Value and Momentum 2
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
GGAL Grupo Financiero Galicia S.A. | Financial Services | 9.09% |
GPI Group 1 Automotive, Inc. | Consumer Cyclical | 9.09% |
HOV Hovnanian Enterprises, Inc. | Consumer Cyclical | 9.09% |
MHO M/I Homes, Inc. | Consumer Cyclical | 9.09% |
MTH Meritage Homes Corporation | Consumer Cyclical | 9.09% |
R Ryder System, Inc. | Industrials | 9.09% |
REVG REV Group, Inc. | Industrials | 9.09% |
TMHC Taylor Morrison Home Corporation | Consumer Cyclical | 9.09% |
TNK Teekay Tankers Ltd. | Energy | 9.09% |
TPH Tri Pointe Homes, Inc. | Consumer Cyclical | 9.09% |
UNM Unum Group | Financial Services | 9.09% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Value and Momentum 2, 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 Jan 27, 2017, corresponding to the inception date of REVG
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| Value and Momentum 2 | 44.96% | 5.77% | 33.37% | 83.47% | 43.92% | N/A |
| Portfolio components: | ||||||
GGAL Grupo Financiero Galicia S.A. | 191.10% | 40.81% | 92.71% | 243.29% | 37.67% | 15.68% |
GPI Group 1 Automotive, Inc. | 26.25% | 7.60% | 35.41% | 49.32% | 35.13% | 19.31% |
HOV Hovnanian Enterprises, Inc. | 38.11% | -9.81% | 47.39% | 111.43% | 66.26% | 8.47% |
MTH Meritage Homes Corporation | 18.23% | 5.83% | 23.53% | 68.11% | 24.20% | 18.44% |
R Ryder System, Inc. | 29.21% | 5.57% | 28.68% | 44.23% | 27.51% | 8.20% |
REVG REV Group, Inc. | 80.32% | -5.93% | 49.28% | 112.44% | 23.98% | N/A |
TMHC Taylor Morrison Home Corporation | 30.97% | 7.05% | 16.14% | 62.11% | 22.79% | 14.52% |
TNK Teekay Tankers Ltd. | 13.01% | 1.75% | -1.23% | 40.84% | 41.73% | 8.67% |
TPH Tri Pointe Homes, Inc. | 26.36% | 2.66% | 21.78% | 63.43% | 24.66% | 12.82% |
UNM Unum Group | 29.74% | 6.11% | 11.67% | 18.33% | 19.05% | 8.54% |
MHO M/I Homes, Inc. | 23.12% | 9.60% | 31.70% | 94.72% | 35.24% | 23.66% |
Monthly Returns
The table below presents the monthly returns of Value and Momentum 2, 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 | 3.75% | 1.61% | 8.42% | -1.71% | 8.72% | -5.07% | 19.40% | 2.50% | 44.96% | ||||
| 2023 | 17.70% | 6.52% | -1.05% | 3.25% | 0.47% | 18.99% | 5.37% | 0.61% | -5.79% | -7.23% | 16.16% | 17.66% | 93.90% |
| 2022 | -9.77% | 3.89% | -5.40% | -3.63% | 10.23% | -14.26% | 12.05% | -1.87% | -6.42% | 13.51% | 9.01% | -2.24% | 0.53% |
| 2021 | 7.78% | 8.86% | 23.99% | 7.25% | 4.41% | -11.16% | 2.26% | 3.53% | -2.04% | 2.05% | -1.87% | 7.61% | 61.78% |
| 2020 | -0.59% | -11.56% | -40.83% | 28.76% | 16.41% | 8.70% | 14.84% | 3.56% | 0.22% | -3.55% | 18.48% | -1.50% | 13.70% |
| 2019 | 18.29% | -1.25% | -2.98% | 10.17% | -7.51% | 10.80% | 3.32% | -7.63% | 21.77% | 9.30% | 3.00% | 1.80% | 70.39% |
| 2018 | -5.72% | -8.82% | -0.96% | -1.29% | -7.44% | -4.28% | -0.88% | -2.16% | -5.54% | -8.71% | 2.12% | -15.19% | -46.07% |
| 2017 | -1.01% | 0.42% | 0.74% | 1.40% | -0.18% | 4.19% | -5.32% | -3.00% | 10.82% | 8.45% | 6.99% | 1.12% | 26.12% |
Expense Ratio
Value and Momentum 2 has an expense ratio of 0.00%, indicating no management fees are charged. 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 risk-adjusted rank of Value and Momentum 2 is 88, placing it in the top 12% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
GGAL Grupo Financiero Galicia S.A. | 3.92 | 3.99 | 1.48 | 2.82 | 20.33 |
GPI Group 1 Automotive, Inc. | 1.45 | 2.19 | 1.26 | 3.00 | 6.02 |
HOV Hovnanian Enterprises, Inc. | 1.56 | 2.23 | 1.26 | 1.93 | 6.53 |
MTH Meritage Homes Corporation | 1.62 | 2.37 | 1.29 | 2.34 | 7.48 |
R Ryder System, Inc. | 1.62 | 2.30 | 1.29 | 3.33 | 10.17 |
REVG REV Group, Inc. | 2.48 | 3.08 | 1.40 | 2.07 | 15.84 |
TMHC Taylor Morrison Home Corporation | 1.68 | 2.40 | 1.29 | 2.07 | 8.83 |
TNK Teekay Tankers Ltd. | 1.30 | 1.95 | 1.23 | 1.63 | 3.98 |
TPH Tri Pointe Homes, Inc. | 1.76 | 2.56 | 1.30 | 2.11 | 10.06 |
UNM Unum Group | 0.90 | 1.17 | 1.20 | 1.13 | 2.61 |
MHO M/I Homes, Inc. | 2.36 | 2.95 | 1.37 | 3.64 | 10.17 |
Dividends
Dividend yield
Value and Momentum 2 granted a 2.25% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Value and Momentum 2 | 2.25% | 1.41% | 1.16% | 0.89% | 0.99% | 1.10% | 1.50% | 1.29% | 1.71% | 0.73% | 0.61% | 0.70% |
| Portfolio components: | ||||||||||||
GGAL Grupo Financiero Galicia S.A. | 5.09% | 6.49% | 4.62% | 0.68% | 0.87% | 1.89% | 1.31% | 0.18% | 0.30% | 0.32% | 0.23% | 0.35% |
GPI Group 1 Automotive, Inc. | 0.49% | 0.59% | 0.83% | 0.68% | 0.46% | 1.09% | 1.97% | 1.37% | 1.17% | 1.10% | 0.78% | 0.92% |
HOV Hovnanian Enterprises, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTH Meritage Homes Corporation | 1.24% | 0.62% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
R Ryder System, Inc. | 2.01% | 2.31% | 2.87% | 2.77% | 3.63% | 4.05% | 4.40% | 2.14% | 2.28% | 2.75% | 1.53% | 1.76% |
REVG REV Group, Inc. | 11.53% | 0.93% | 1.34% | 0.90% | 0.96% | 1.38% | 2.25% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% |
TMHC Taylor Morrison Home Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TNK Teekay Tankers Ltd. | 1.77% | 1.47% | 0.00% | 0.00% | 0.00% | 0.00% | 3.23% | 8.57% | 13.27% | 1.74% | 2.37% | 3.05% |
TPH Tri Pointe Homes, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
UNM Unum Group | 2.64% | 3.07% | 3.07% | 4.76% | 4.97% | 3.74% | 3.34% | 1.57% | 1.75% | 2.10% | 1.78% | 1.57% |
MHO M/I Homes, Inc. | 0.00% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Value and Momentum 2. 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 Value and Momentum 2 was 63.79%, occurring on Mar 18, 2020. Recovery took 169 trading sessions.
The current Value and Momentum 2 drawdown is 2.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -63.79% | Jan 12, 2018 | 548 | Mar 18, 2020 | 169 | Nov 16, 2020 | 717 |
| -24.22% | Dec 13, 2021 | 130 | Jun 17, 2022 | 114 | Nov 30, 2022 | 244 |
| -20.46% | Jun 2, 2021 | 33 | Jul 19, 2021 | 102 | Dec 10, 2021 | 135 |
| -16.08% | Sep 5, 2023 | 34 | Oct 20, 2023 | 29 | Dec 1, 2023 | 63 |
| -12.15% | May 16, 2024 | 36 | Jul 9, 2024 | 5 | Jul 16, 2024 | 41 |
Volatility
Volatility Chart
The current Value and Momentum 2 volatility is 7.98%, 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
| TNK | GGAL | UNM | REVG | GPI | R | HOV | MTH | MHO | TMHC | TPH | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| TNK | 1.00 | 0.18 | 0.32 | 0.21 | 0.21 | 0.25 | 0.16 | 0.14 | 0.16 | 0.15 | 0.15 |
| GGAL | 0.18 | 1.00 | 0.27 | 0.23 | 0.19 | 0.24 | 0.20 | 0.21 | 0.21 | 0.22 | 0.23 |
| UNM | 0.32 | 0.27 | 1.00 | 0.42 | 0.43 | 0.50 | 0.27 | 0.29 | 0.29 | 0.32 | 0.33 |
| REVG | 0.21 | 0.23 | 0.42 | 1.00 | 0.39 | 0.45 | 0.32 | 0.32 | 0.35 | 0.38 | 0.37 |
| GPI | 0.21 | 0.19 | 0.43 | 0.39 | 1.00 | 0.51 | 0.38 | 0.43 | 0.46 | 0.45 | 0.47 |
| R | 0.25 | 0.24 | 0.50 | 0.45 | 0.51 | 1.00 | 0.37 | 0.42 | 0.42 | 0.43 | 0.45 |
| HOV | 0.16 | 0.20 | 0.27 | 0.32 | 0.38 | 0.37 | 1.00 | 0.62 | 0.64 | 0.62 | 0.61 |
| MTH | 0.14 | 0.21 | 0.29 | 0.32 | 0.43 | 0.42 | 0.62 | 1.00 | 0.80 | 0.81 | 0.82 |
| MHO | 0.16 | 0.21 | 0.29 | 0.35 | 0.46 | 0.42 | 0.64 | 0.80 | 1.00 | 0.81 | 0.80 |
| TMHC | 0.15 | 0.22 | 0.32 | 0.38 | 0.45 | 0.43 | 0.62 | 0.81 | 0.81 | 1.00 | 0.82 |
| TPH | 0.15 | 0.23 | 0.33 | 0.37 | 0.47 | 0.45 | 0.61 | 0.82 | 0.80 | 0.82 | 1.00 |