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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Donoghue Forlines Momentum Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Donoghue Forlines Momentum Fund (MOJOX) has returned 11.81% so far this year and 41.89% over the past 12 months.
Donoghue Forlines Momentum Fund
- 1D
- -1.90%
- 1M
- -6.16%
- YTD
- 11.81%
- 6M
- 17.35%
- 1Y
- 41.89%
- 3Y*
- 23.87%
- 5Y*
- 11.39%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 3, 2017, MOJOX's average daily return is +0.04%, while the average monthly return is +0.88%. At this rate, your investment would double in approximately 6.6 years.
Historically, 66% of months were positive and 34% were negative. The best month was Feb 2024 with a return of +11.3%, while the worst month was Mar 2020 at -16.4%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, MOJOX closed higher 51% of trading days. The best single day was Apr 9, 2025 with a return of +8.4%, while the worst single day was Apr 4, 2025 at -6.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 10.87% | 7.47% | -6.16% | 11.81% | |||||||||
| 2025 | 6.80% | -2.23% | -7.25% | 1.01% | 8.60% | 5.67% | 0.50% | -0.43% | 4.24% | 4.07% | -0.35% | 1.20% | 22.91% |
| 2024 | 3.02% | 11.25% | 2.93% | -5.48% | 5.05% | 1.79% | 0.00% | 1.90% | -0.28% | -0.62% | 6.90% | -4.99% | 22.29% |
| 2023 | 6.10% | -1.23% | 0.48% | -1.99% | -0.58% | 7.60% | 2.54% | -0.35% | -4.70% | -4.00% | 9.01% | 5.87% | 19.10% |
| 2022 | -10.89% | -0.95% | 1.14% | -4.33% | 0.72% | -4.67% | 5.08% | -1.70% | -4.28% | 0.19% | 2.66% | -7.41% | -22.78% |
| 2021 | 4.68% | 7.70% | 3.00% | 4.71% | 1.55% | 0.24% | 1.77% | 2.61% | -6.31% | 5.51% | -2.65% | 3.60% | 28.86% |
Benchmark Metrics
Donoghue Forlines Momentum Fund has an annualized alpha of 2.16%, beta of 0.66, and R² of 0.58 versus S&P 500 Index. Calculated based on daily prices since January 04, 2017.
- This fund participated in 80.68% of S&P 500 Index downside but only 75.58% of its upside — more exposed to losses than it benefited from rallies.
- This fund generated an annualized alpha of 2.16% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.66 indicates this fund moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.16%
- Beta
- 0.66
- R²
- 0.58
- Upside Capture
- 75.58%
- Downside Capture
- 80.68%
Expense Ratio
MOJOX has a high expense ratio of 2.00%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
MOJOX ranks 92 for risk / return — in the top 92% of mutual funds 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.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Donoghue Forlines Momentum Fund (MOJOX) and compare them to a chosen benchmark (S&P 500 Index).
| MOJOX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.94 | 0.90 | +1.04 |
Sortino ratioReturn per unit of downside risk | 2.49 | 1.39 | +1.11 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.21 | +0.16 |
Calmar ratioReturn relative to maximum drawdown | 3.34 | 1.40 | +1.94 |
Martin ratioReturn relative to average drawdown | 15.26 | 6.61 | +8.65 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore MOJOX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Donoghue Forlines Momentum Fund provided a 23.99% dividend yield over the last twelve months, with an annual payout of $3.73 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $3.73 | $3.73 | $0.30 | $0.00 | $0.00 | $0.00 | $0.00 | $0.56 | $0.58 | $0.52 |
Dividend yield | 23.99% | 26.83% | 2.13% | 0.00% | 0.00% | 0.00% | 0.00% | 5.49% | 5.78% | 4.75% |
Monthly Dividends
The table displays the monthly dividend distributions for Donoghue Forlines Momentum Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.73 | $3.73 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.30 | $0.30 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2021 | $0.00 | $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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Donoghue Forlines Momentum Fund. 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 Donoghue Forlines Momentum Fund was 28.85%, occurring on Jun 11, 2020. Recovery took 145 trading sessions.
The current Donoghue Forlines Momentum Fund drawdown is 7.67%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.85% | Jan 17, 2020 | 101 | Jun 11, 2020 | 145 | Jan 7, 2021 | 246 |
| -25.32% | Nov 17, 2021 | 280 | Dec 28, 2022 | 288 | Feb 22, 2024 | 568 |
| -22.5% | Feb 19, 2025 | 35 | Apr 8, 2025 | 56 | Jun 30, 2025 | 91 |
| -11.23% | Jan 29, 2018 | 190 | Oct 26, 2018 | 306 | Jan 16, 2020 | 496 |
| -9.49% | Jul 17, 2024 | 14 | Aug 5, 2024 | 48 | Oct 11, 2024 | 62 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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