Value and Momentum

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 Every 3 months.

Based on dividend-adjusted daily data since Jan 30, 2017, Value and Momentum's average daily return is +0.10%, while the average monthly return is +2.06%. At this rate, your investment would double in approximately 2.8 years.

Historically, 61% of months were positive and 39% were negative. The best month was Apr 2020 with a return of +22.3%, while the worst month was Mar 2020 at -36.4%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Value and Momentum closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +13.9%, while the worst single day was Mar 16, 2020 at -19.1%.

Value and Momentum has an annualized alpha of 10.47%, beta of 1.13, and R² of 0.57 versus S&P 500 Index. Calculated based on daily prices since January 30, 2017.

• This portfolio captured 153.28% of S&P 500 Index gains and 108.10% of its losses — amplifying both gains and losses, but participating more in upside than downside.
• This portfolio generated an annualized alpha of 10.47% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
• With beta of 1.13 and R² of 0.57, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.

Value and Momentum has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Value and Momentum ranks 87 for risk / return — in the top 87% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Value and Momentum Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

• 1-Year: 1.72
• 5-Year: 1.50
• All Time: 0.84

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.01 to 1.70, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Value and Momentum compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Value and Momentum provided a 2.03% dividend yield over the last twelve months.

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.

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 59.87%, occurring on Mar 18, 2020. Recovery took 228 trading sessions.

The current Value and Momentum drawdown is 4.44%.

The chart below shows the rolling one-month volatility.