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Value and Momentum

Last updated Sep 21, 2024

Asset Allocation

AER 3.7%ARX.TO 3.7%AMWD 3.7%ASC 3.7%ASX 3.7%BBAR 3.7%BLX 3.7%BMA 3.7%CMRE 3.7%COOP 3.7%EDN 3.7%FDUS 3.7%FOR 3.7%FRO 3.7%GGAL 3.7%GPI 3.7%HOV 3.7%MHO 3.7%MPC 3.7%MTH 3.7%NRG 3.7%R 3.7%REVG 3.7%TMHC 3.7%TNK 3.7%TPH 3.7%UNM 3.7%EquityEquity
PositionCategory/SectorWeight
AER
AerCap Holdings N.V.		Industrials
3.70%
AMWD
American Woodmark Corporation		Consumer Cyclical
3.70%
ARX.TO
ARC Resources Ltd.		Energy
3.70%
ASC
Ardmore Shipping Corporation		Industrials
3.70%
ASX
ASE Technology Holding Co., Ltd.		Technology
3.70%
BBAR
Banco BBVA Argentina S.A.		Financial Services
3.70%
BLX
Banco Latinoamericano de Comercio Exterior, S.A		Financial Services
3.70%
BMA
Banco Macro S.A.		Financial Services
3.70%
CMRE
Costamare Inc.		Industrials
3.70%
COOP
Mr. Cooper Group Inc.		Financial Services
3.70%
EDN
Empresa Distribuidora y Comercializadora Norte Sociedad Anónima		Utilities
3.70%
FDUS
Fidus Investment Corporation		Financial Services
3.70%
FOR
Forestar Group Inc.		Real Estate
3.70%
FRO
Frontline Ltd.		Energy
3.70%
GGAL
Grupo Financiero Galicia S.A.		Financial Services
3.70%
GPI
Group 1 Automotive, Inc.		Consumer Cyclical
3.70%
HOV
Hovnanian Enterprises, Inc.		Consumer Cyclical
3.70%
MHO
M/I Homes, Inc.		Consumer Cyclical
3.70%
MPC
Marathon Petroleum Corporation		Energy
3.70%
MTH
Meritage Homes Corporation		Consumer Cyclical
3.70%
NRG
3.70%
R
3.70%
REVG
3.70%
TMHC
3.70%
TNK
3.70%
TPH
3.70%
UNM
3.70%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Value and 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%0.00%10.00%20.00%30.00%AprilMayJuneJulyAugustSeptember
23.20%
8.95%
Value and Momentum
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 1, 2013, corresponding to the inception date of ASC

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
Value and Momentum43.83%6.94%23.20%76.44%36.46%N/A
Portfolio components:
AER
AerCap Holdings N.V.		31.25%3.29%12.76%56.10%11.54%8.42%
ARX.TO
ARC Resources Ltd.		15.31%-7.80%-1.19%13.66%31.44%1.76%
AMWD
American Woodmark Corporation		0.82%-1.70%-6.48%28.32%2.05%9.57%
ASC
Ardmore Shipping Corporation		30.10%-4.20%10.65%45.27%23.81%6.60%
ASX
ASE Technology Holding Co., Ltd.		8.06%3.56%-9.45%35.76%21.75%13.60%
BBAR
Banco BBVA Argentina S.A.		158.47%25.53%63.53%202.27%30.26%3.43%
BLX
Banco Latinoamericano de Comercio Exterior, S.A		39.47%10.46%15.07%56.48%18.14%7.07%
BMA
Banco Macro S.A.		189.16%41.04%56.82%279.81%31.88%10.20%
CMRE
Costamare Inc.		42.67%6.65%31.71%61.35%24.16%1.54%
COOP
Mr. Cooper Group Inc.		39.31%0.10%20.05%70.30%50.91%12.04%
EDN
Empresa Distribuidora y Comercializadora Norte Sociedad Anónima		25.61%37.54%31.51%95.11%26.35%7.40%
FDUS
Fidus Investment Corporation		7.91%0.87%8.47%17.01%16.88%12.71%
FOR
Forestar Group Inc.		0.51%9.92%-9.85%25.15%10.18%6.50%
FRO
Frontline Ltd.		18.77%-4.18%1.72%34.43%30.61%21.07%
GGAL
Grupo Financiero Galicia S.A.		191.10%40.81%92.71%243.29%36.84%15.68%
GPI
Group 1 Automotive, Inc.		26.25%7.60%35.41%49.32%34.37%19.31%
HOV
Hovnanian Enterprises, Inc.		38.11%-9.81%47.39%111.43%64.68%8.47%
MHO
M/I Homes, Inc.		23.12%9.60%31.70%94.72%34.48%23.66%
MPC
Marathon Petroleum Corporation		12.41%-4.30%-17.09%9.28%27.84%18.22%
MTH
Meritage Homes Corporation		18.23%5.83%23.53%68.11%23.69%18.44%
NRG
71.60%6.40%31.09%131.73%20.80%N/A
R
29.21%5.57%28.68%44.23%26.93%N/A
REVG
80.32%-5.93%49.28%112.44%23.48%N/A
TMHC
30.97%7.05%16.14%62.11%22.32%N/A
TNK
13.01%1.75%-1.23%40.84%40.80%N/A
TPH
26.36%2.66%21.78%63.43%24.14%N/A
UNM
29.74%6.11%11.67%18.33%18.66%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.48%3.53%10.61%-1.26%10.58%-4.28%8.64%2.65%43.83%
202313.28%4.62%-3.64%2.47%0.11%19.64%6.89%-0.25%-4.71%-3.53%15.19%10.70%75.17%
2022-3.33%4.94%0.29%-4.20%9.48%-14.96%11.90%1.96%-6.47%12.69%9.66%-2.99%16.10%
20210.60%10.96%12.79%3.86%5.13%-3.73%-1.06%8.40%-0.13%0.35%-6.01%6.10%41.86%
2020-7.20%-11.07%-36.44%22.30%10.35%5.53%9.61%2.25%-2.81%-2.45%19.49%3.85%-1.51%
201916.88%-0.10%-3.59%5.82%-7.08%11.02%2.30%-11.86%13.93%6.33%4.02%6.60%48.83%
2018-0.17%-5.01%1.46%-1.24%-2.20%-5.62%0.98%-3.34%-3.01%-8.75%1.05%-12.85%-33.28%
2017-0.69%1.19%3.62%0.17%-2.57%4.85%-1.45%-0.84%7.31%4.13%3.06%2.72%23.18%

Expense Ratio

Value and Momentum 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.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Value and Momentum is 94, placing it in the top 6% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Value and Momentum is 9494
Value and Momentum
The Sharpe Ratio Rank of Value and Momentum is 9696Sharpe Ratio Rank
The Sortino Ratio Rank of Value and Momentum is 9393Sortino Ratio Rank
The Omega Ratio Rank of Value and Momentum is 8989Omega Ratio Rank
The Calmar Ratio Rank of Value and Momentum is 9898Calmar Ratio Rank
The Martin Ratio Rank of Value and Momentum is 9595Martin 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.

Value and Momentum
Sharpe ratio
The chart of Sharpe ratio for Value and Momentum, currently valued at 3.46, compared to the broader market-1.000.001.002.003.004.005.003.46
Sortino ratio
The chart of Sortino ratio for Value and Momentum, currently valued at 4.29, compared to the broader market-2.000.002.004.006.004.29
Omega ratio
The chart of Omega ratio for Value and Momentum, currently valued at 1.52, compared to the broader market0.801.001.201.401.601.801.52
Calmar ratio
The chart of Calmar ratio for Value and Momentum, currently valued at 7.41, compared to the broader market0.002.004.006.008.0010.007.41
Martin ratio
The chart of Martin ratio for Value and Momentum, currently valued at 23.02, compared to the broader market0.0010.0020.0030.0040.0023.02
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AER
AerCap Holdings N.V.		2.292.911.373.2616.96
ARX.TO
ARC Resources Ltd.		0.290.601.070.471.11
AMWD
American Woodmark Corporation		0.651.191.150.482.41
ASC
Ardmore Shipping Corporation		1.231.931.241.285.09
ASX
ASE Technology Holding Co., Ltd.		1.101.621.201.213.50
BBAR
Banco BBVA Argentina S.A.		3.393.611.442.7123.42
BLX
Banco Latinoamericano de Comercio Exterior, S.A		2.283.111.403.5311.06
BMA
Banco Macro S.A.		5.134.611.573.6032.74
CMRE
Costamare Inc.		1.812.481.301.316.66
COOP
Mr. Cooper Group Inc.		2.673.641.435.7319.00
EDN
Empresa Distribuidora y Comercializadora Norte Sociedad Anónima		1.452.241.261.135.95
FDUS
Fidus Investment Corporation		1.281.981.241.366.91
FOR
Forestar Group Inc.		0.561.061.140.781.54
FRO
Frontline Ltd.		0.871.431.161.363.25
GGAL
Grupo Financiero Galicia S.A.		4.534.321.533.2425.77
GPI
Group 1 Automotive, Inc.		1.302.011.242.685.33
HOV
Hovnanian Enterprises, Inc.		1.742.371.282.157.20
MHO
M/I Homes, Inc.		2.533.091.393.8910.85
MPC
Marathon Petroleum Corporation		0.360.671.090.370.72
MTH
Meritage Homes Corporation		1.802.561.322.608.18
NRG
4.114.471.626.7924.20
R
1.542.211.283.159.51
REVG
2.443.051.402.0315.40
TMHC
1.962.711.342.3910.02
TNK
1.031.651.191.293.15
TPH
1.962.791.332.3310.98
UNM
0.871.141.201.102.48

Sharpe Ratio

The current Value and Momentum Sharpe ratio is 3.46. 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 1.91 to 2.59, 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 Value and 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 Ratio1.002.003.004.005.00AprilMayJuneJulyAugustSeptember
3.46
2.32
Value and Momentum
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Value and Momentum granted a 3.43% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Value and Momentum3.43%3.21%2.59%1.52%2.82%2.12%2.96%2.16%3.30%2.32%1.85%1.44%
Portfolio components:
AER
AerCap Holdings N.V.		0.52%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ARX.TO
ARC Resources Ltd.		2.97%3.36%2.68%2.49%5.00%7.33%7.41%4.07%2.81%7.19%4.77%4.06%
AMWD
American Woodmark 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%
ASC
Ardmore Shipping Corporation		6.06%8.16%0.00%0.00%1.53%0.00%0.00%0.00%5.41%4.80%3.34%0.42%
ASX
ASE Technology Holding Co., Ltd.		3.20%5.98%7.64%3.85%2.33%2.87%14.14%4.46%6.23%7.12%4.42%4.58%
BBAR
Banco BBVA Argentina S.A.		13.56%5.14%5.21%0.00%0.00%4.69%2.04%1.00%2.86%0.00%0.15%0.00%
BLX
Banco Latinoamericano de Comercio Exterior, S.A		5.34%4.04%6.17%6.02%7.17%7.20%8.90%5.72%5.23%4.45%5.93%4.28%
BMA
Banco Macro S.A.		7.97%6.20%6.79%0.00%0.00%6.20%5.05%0.65%1.57%0.00%2.87%0.00%
CMRE
Costamare Inc.		3.19%4.42%10.31%3.29%4.68%4.07%8.83%8.45%16.78%10.69%6.11%5.73%
COOP
Mr. Cooper Group 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%
EDN
Empresa Distribuidora y Comercializadora Norte Sociedad Anónima		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FDUS
Fidus Investment Corporation		12.58%14.63%10.51%8.90%10.15%8.17%13.69%10.54%10.17%11.66%11.51%8.92%
FOR
Forestar Group 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%
FRO
Frontline Ltd.		8.58%14.31%1.24%0.00%25.72%0.78%0.00%6.54%14.77%1.67%0.00%0.00%
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%
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%
MPC
Marathon Petroleum Corporation		2.01%2.07%2.14%3.63%5.61%3.52%3.12%2.30%2.70%2.20%2.04%1.68%
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%
NRG
1.84%2.92%4.40%3.02%3.20%0.30%0.30%0.42%1.92%4.93%2.00%1.57%
R
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
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
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
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
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
2.64%3.07%3.07%4.76%4.97%3.74%3.34%1.57%1.75%2.10%1.78%1.57%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.73%
-0.19%
Value and Momentum
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Value and 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 Value and Momentum was 59.64%, occurring on Mar 18, 2020. Recovery took 216 trading sessions.

The current Value and Momentum drawdown is 1.73%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-59.64%Jan 16, 2018556Mar 18, 2020216Jan 20, 2021772
-18.47%Jun 7, 202222Jul 6, 202283Nov 1, 2022105
-14.15%Jun 9, 202129Jul 19, 202129Aug 27, 202158
-12.46%Oct 26, 202168Jan 27, 202282May 25, 2022150
-10.96%Mar 6, 202310Mar 17, 202354Jun 2, 202364

Volatility

Volatility Chart

The current Value and Momentum volatility is 7.18%, 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%AprilMayJuneJulyAugustSeptember
7.18%
4.31%
Value and 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.
EDNFROTNKNRGASCARX.TOASXFDUSBMAGGALBBARCOOPBLXCMREREVGHOVFORMPCGPIUNMAMWDMTHRMHOAERTMHCTPH
EDN1.000.070.100.170.100.140.170.140.490.500.520.190.170.150.160.140.170.140.130.180.130.160.160.150.210.160.16
FRO0.071.000.630.190.520.320.170.170.180.160.170.140.210.350.200.150.160.320.190.260.180.140.230.130.250.140.15
TNK0.100.631.000.190.590.300.160.190.190.180.180.170.240.390.210.160.170.360.210.320.190.140.250.160.280.150.15
NRG0.170.190.191.000.210.220.250.260.160.160.160.250.280.230.250.210.240.320.240.310.270.270.290.270.310.300.31
ASC0.100.520.590.211.000.300.180.190.200.190.190.190.240.370.250.180.170.350.250.330.190.160.260.150.290.160.16
ARX.TO0.140.320.300.220.301.000.250.220.220.220.210.240.220.350.260.170.200.460.260.320.240.200.330.190.320.200.22
ASX0.170.170.160.250.180.251.000.210.210.220.230.260.210.270.280.280.280.280.260.270.310.320.320.330.370.330.32
FDUS0.140.170.190.260.190.220.211.000.170.200.200.300.280.310.290.250.300.290.330.360.300.270.310.290.350.310.31
BMA0.490.180.190.160.200.220.210.171.000.870.830.200.270.240.230.170.220.270.190.280.200.190.230.190.290.210.22
GGAL0.500.160.180.160.190.220.220.200.871.000.850.200.260.240.230.200.230.250.190.270.210.210.240.210.290.220.23
BBAR0.520.170.180.160.190.210.230.200.830.851.000.220.270.230.240.180.210.260.200.290.210.210.240.200.290.220.23
COOP0.190.140.170.250.190.240.260.300.200.200.221.000.310.310.320.330.330.310.350.360.360.330.380.350.400.360.34
BLX0.170.210.240.280.240.220.210.280.270.260.270.311.000.340.360.240.290.370.360.450.340.280.400.280.430.300.31
CMRE0.150.350.390.230.370.350.270.310.240.240.230.310.341.000.350.230.280.410.340.400.300.270.400.290.440.290.28
REVG0.160.200.210.250.250.260.280.290.230.230.240.320.360.351.000.320.360.350.390.420.420.320.450.340.430.380.37
HOV0.140.150.160.210.180.170.280.250.170.200.180.330.240.230.321.000.450.250.380.270.480.620.370.640.360.620.61
FOR0.170.160.170.240.170.200.280.300.220.230.210.330.290.280.360.451.000.280.380.300.500.540.430.530.380.550.56
MPC0.140.320.360.320.350.460.280.290.270.250.260.310.370.410.350.250.281.000.370.510.350.290.470.290.460.310.31
GPI0.130.190.210.240.250.260.260.330.190.190.200.350.360.340.390.380.380.371.000.420.480.430.510.460.460.450.47
UNM0.180.260.320.310.330.320.270.360.280.270.290.360.450.400.420.270.300.510.421.000.380.290.500.280.530.320.33
AMWD0.130.180.190.270.190.240.310.300.200.210.210.360.340.300.420.480.500.350.480.381.000.560.510.590.440.590.57
MTH0.160.140.140.270.160.200.320.270.190.210.210.330.280.270.320.620.540.290.430.290.561.000.420.800.380.810.82
R0.160.230.250.290.260.330.320.310.230.240.240.380.400.400.450.370.430.470.510.500.510.421.000.420.540.430.45
MHO0.150.130.160.270.150.190.330.290.190.210.200.350.280.290.340.640.530.290.460.280.590.800.421.000.400.810.80
AER0.210.250.280.310.290.320.370.350.290.290.290.400.430.440.430.360.380.460.460.530.440.380.540.401.000.410.42
TMHC0.160.140.150.300.160.200.330.310.210.220.220.360.300.290.380.620.550.310.450.320.590.810.430.810.411.000.82
TPH0.160.150.150.310.160.220.320.310.220.230.230.340.310.280.370.610.560.310.470.330.570.820.450.800.420.821.00
The correlation results are calculated based on daily price changes starting from Jan 30, 2017