Aggressive Momentum Small-Value Core

Asset Allocation

Position	Category/Sector	Target Weight
SPMO Invesco S&P 500 Momentum ETF	Momentum, S&P 500	70%
AVDV Avantis International Small Cap Value ETF	Foreign Small & Mid Cap Equities	20%
IUSG iShares Core S&P U.S. Growth ETF	Large Cap Growth Equities	10%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Aggressive Momentum Small-Value Core, 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 year.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Aggressive Momentum Small-Value Core	1.90%	1.41%	20.68%	20.40%	38.95%	36.41%	20.53%	—
Portfolio components:
AVDV Avantis International Small Cap Value ETF	0.26%	-2.93%	13.22%	16.29%	40.16%	26.61%	13.33%	—
IUSG iShares Core S&P U.S. Growth ETF	0.63%	-0.22%	10.45%	9.87%	28.98%	26.13%	14.85%	17.55%
SPMO Invesco S&P 500 Momentum ETF	2.50%	2.83%	24.29%	22.86%	39.53%	40.28%	23.06%	20.38%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Sep 27, 2019, Aggressive Momentum Small-Value Core's average daily return is +0.08%, while the average monthly return is +1.70%. At this rate, an investment would double in approximately 3.4 years.

Historically, 66% of months were positive and 34% were negative. The best month was Apr 2026 with a return of +16.0%, while the worst month was Mar 2020 at -11.3%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 2 months.

On a daily basis, Aggressive Momentum Small-Value Core closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +10.4%, while the worst single day was Mar 16, 2020 at -13.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.93%	1.34%	-6.59%	15.99%	10.35%	-2.28%							20.68%
2025	4.43%	-0.21%	-5.11%	2.58%	10.17%	6.35%	2.51%	2.05%	4.11%	0.70%	-0.13%	0.35%	30.63%
2024	3.84%	9.20%	4.26%	-4.71%	7.00%	5.48%	-0.56%	3.23%	1.86%	-0.83%	5.62%	-1.38%	37.32%
2023	1.89%	-3.82%	1.76%	2.56%	-4.78%	5.80%	2.76%	0.91%	-1.86%	-2.33%	9.05%	6.21%	18.59%
2022	-5.95%	-1.89%	2.99%	-8.22%	1.28%	-8.73%	7.95%	-3.58%	-8.00%	11.24%	5.11%	-3.07%	-12.49%
2021	-0.04%	0.12%	2.20%	5.22%	0.06%	4.95%	2.10%	3.92%	-4.37%	6.59%	-3.14%	3.18%	22.16%

Benchmark Metrics

Aggressive Momentum Small-Value Core has an annualized alpha of 6.32%, beta of 0.97, and R2 of 0.88 versus S&P 500 Index. Calculated based on daily prices since September 27, 2019.

This portfolio captured 110.60% of S&P 500 Index gains but only 86.67% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 6.32% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 0.97 and R2 of 0.88, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 6.32%

Beta: 0.97

R²: 0.88

Upside Capture: 110.60%

Downside Capture: 86.67%

Expense Ratio

Aggressive Momentum Small-Value Core has an expense ratio of 0.17%, 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.

AVDV

Avantis International Small Cap Value ETF

SPMO

Invesco S&P 500 Momentum ETF

IUSG

iShares Core S&P U.S. Growth ETF

Return for Risk

Risk / Return Rank

Aggressive Momentum Small-Value Core ranks 60 for risk / return — better than 60% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Aggressive Momentum Small-Value Core and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.34	1.94	+0.40
Sortino ratioReturn per unit of downside risk	3.13	2.63	+0.51
Omega ratioGain probability vs. loss probability	1.43	1.35	+0.08
Calmar ratioReturn relative to maximum drawdown	3.67	2.59	+1.08
Martin ratioReturn relative to average drawdown	17.05	11.84	+5.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AVDV Avantis International Small Cap Value ETF	79	2.54	3.35	1.46	3.06	12.34
IUSG iShares Core S&P U.S. Growth ETF	56	1.80	2.43	1.32	2.23	9.40
SPMO Invesco S&P 500 Momentum ETF	71	2.13	2.81	1.39	3.13	12.02

Sharpe Ratio

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.

Aggressive Momentum Small-Value Core Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 2.34
5-Year: 1.14
All Time: 1.01

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 1.64 to 2.53, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

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

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Dividends

Dividend yield

Aggressive Momentum Small-Value Core provided a 1.09% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.09%	1.18%	1.26%	1.91%	1.91%	0.90%	1.31%	1.21%	0.87%	0.67%	1.51%	0.38%
Portfolio components:
AVDV Avantis International Small Cap Value ETF	2.81%	3.05%	4.31%	3.29%	3.17%	2.39%	1.67%	0.36%	0.00%	0.00%	0.00%	0.00%
IUSG iShares Core S&P U.S. Growth ETF	0.48%	0.53%	0.59%	1.12%	1.07%	0.59%	0.93%	1.64%	1.32%	1.28%	1.48%	1.29%
SPMO Invesco S&P 500 Momentum ETF	0.69%	0.73%	0.48%	1.63%	1.66%	0.52%	1.27%	1.39%	1.05%	0.77%	1.94%	0.36%

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 Aggressive Momentum Small-Value Core. 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 Aggressive Momentum Small-Value Core was 32.76%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.

The current Aggressive Momentum Small-Value Core drawdown is 5.89%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-32.76%Mar 2020	1mo 2d	3mo 29d	5mo 1dFeb 2020 - Jul 2020
Bear market2022	-24.03%Sep 2022	8mo 24d	1y 2mo	1y 11moJan 2022 - Dec 2023
2025 selloff2025	-18.06%Apr 2025	1mo 23d	1mo 4d	2mo 27dFeb 2025 - May 2025
2024 correction2024	-11.92%Aug 2024	25d	1mo 19d	2mo 14dJul 2024 - Sep 2024
2026 correction2026	-10.67%Mar 2026	1mo 2d	10d	1mo 12dFeb 2026 - Apr 2026

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 3 assets, with an effective number of assets of 1.85, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.06	1.07	1.06	1.06

The portfolio has a diversification ratio of 1.06, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

Aggressive Momentum Small-Value Core correlation to the S&P 500 Index

Aggressive Momentum Small-Value Core has a 0.89 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (All Time) Calculated using the full available price history since Sep 27, 2019	0.90

Benchmark Correlations

Correlation vs. S&P 500 Index. IUSG has the highest benchmark correlation at 0.96, while AVDV has the lowest at 0.71.

AVDV

0.71

SPMO

0.85

IUSG

0.96

Portfolio Correlations

Correlation vs. Aggressive Momentum Small-Value Core. SPMO has the highest portfolio correlation at 0.98, while AVDV has the lowest at 0.71.

AVDV

0.71

IUSG

0.91

SPMO

0.98

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	AVDV	SPMO	IUSG
AVDV	1.00	0.59	0.62
SPMO	0.59	1.00	0.88
IUSG	0.62	0.88	1.00

The correlation results are calculated based on daily price changes starting from Sep 27, 2019

Diversification Analysis

Find what Aggressive Momentum Small-Value Core is missing

See which holdings overlap, where Aggressive Momentum Small-Value Core is concentrated, and which low-correlation assets could fill the gaps.

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