MOJOX vs. AVALX

Last updated Jun 26, 2026

MOJOX (Donoghue Forlines Momentum Fund) and AVALX (Aegis Value Fund) are both mutual funds - MOJOX is a Tactical Allocation fund managed by Donoghue Forlines LLC, while AVALX is a Small Cap Value Equities fund managed by Aegis. Over the past 5 years, MOJOX returned 14.89%/yr vs 20.33%/yr for AVALX. At a 0.45 correlation, their price movements are largely independent. MOJOX charges 2.00%/yr vs 1.50%/yr for AVALX.

Performance

MOJOX vs. AVALX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Donoghue Forlines Momentum Fund (MOJOX) and Aegis Value Fund (AVALX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MOJOX achieves a 39.02% return, which is significantly higher than AVALX's 10.28% return.

MOJOX

• 1D: -0.72%
• 1M: 2.01%
• YTD: 39.02%
• 6M: 36.14%
• 1Y: 55.70%
• 3Y*: 32.70%
• 5Y*: 14.89%
• 10Y*: —

AVALX

• 1D: -2.21%
• 1M: -8.46%
• YTD: 10.28%
• 6M: 9.76%
• 1Y: 47.01%
• 3Y*: 29.49%
• 5Y*: 20.33%
• 10Y*: 19.54%

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

MOJOX vs. AVALX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MOJOX Donoghue Forlines Momentum Fund	39.02%	22.91%	22.29%	19.10%	-22.78%	28.86%	-1.95%	8.66%	-3.03%	14.80%
AVALX Aegis Value Fund	10.28%	67.06%	8.29%	13.11%	10.50%	37.67%	18.89%	25.67%	-16.95%	17.37%

Correlation

The correlation between MOJOX and AVALX is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.48
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.45

Return for Risk

MOJOX vs. AVALX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MOJOX

MOJOX Risk / Return Rank: 90
MOJOX Sharpe Ratio Rank: 92
MOJOX Sortino Ratio Rank: 83
MOJOX Omega Ratio Rank: 81
MOJOX Calmar Ratio Rank: 98
MOJOX Martin Ratio Rank: 98

AVALX

AVALX Risk / Return Rank: 89
AVALX Sharpe Ratio Rank: 92
AVALX Sortino Ratio Rank: 82
AVALX Omega Ratio Rank: 82
AVALX Calmar Ratio Rank: 93
AVALX Martin Ratio Rank: 94

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.

MOJOX vs. AVALX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Donoghue Forlines Momentum Fund (MOJOX) and Aegis Value Fund (AVALX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	MOJOX	AVALX	Difference
Sharpe ratio: Return per unit of total volatility	2.65	2.68	-0.03
Sortino ratio: Return per unit of downside risk	3.35	3.31	+0.04
Omega ratio: Gain probability vs. loss probability	1.45	1.46	-0.01
Calmar ratio: Return relative to maximum drawdown	6.76	4.63	+2.13
Martin ratio: Return relative to average drawdown	25.46	17.84	+7.62

MOJOX vs. AVALX - Sharpe Ratio Comparison

The current MOJOX Sharpe Ratio is 2.65, which is comparable to the AVALX Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of MOJOX and AVALX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MOJOX vs. AVALX - Drawdown Comparison

The maximum MOJOX drawdown since its inception was -28.85%, smaller than the maximum AVALX drawdown of -73.72%. Use the drawdown chart below to compare losses from any high point for MOJOX and AVALX.

Drawdown Indicators

	MOJOX	AVALX	Difference
Max Drawdown Largest peak-to-trough decline	-28.85%	-73.72%	+44.87%
Max Drawdown (1Y) Largest decline over 1 year	-8.15%	-10.12%	+1.97%
Max Drawdown (3Y) Largest decline over 3 years	-22.50%	-13.59%	-8.91%
Max Drawdown (5Y) Largest decline over 5 years	-25.32%	-32.00%	+6.68%
Max Drawdown (10Y) Largest decline over 10 years	—	-48.34%	—
Current Drawdown Current decline from peak	-3.06%	-10.12%	+7.06%
Average Drawdown Average peak-to-trough decline	-7.80%	-10.93%	+3.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.16%	2.62%	-0.46%

Volatility

MOJOX vs. AVALX - Volatility Comparison

Donoghue Forlines Momentum Fund (MOJOX) has a higher volatility of 8.65% compared to Aegis Value Fund (AVALX) at 5.93%. This indicates that MOJOX's price experiences larger fluctuations and is considered to be riskier than AVALX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MOJOX	AVALX	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.65%	5.93%	+2.72%
Volatility (6M) Calculated over the trailing 6-month period	17.27%	13.55%	+3.72%
Volatility (1Y) Calculated over the trailing 1-year period	20.80%	17.53%	+3.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.78%	22.31%	-4.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.24%	22.18%	-5.94%

MOJOX vs. AVALX - Expense Ratio Comparison

MOJOX has a 2.00% expense ratio, which is higher than AVALX's 1.50% expense ratio.

Dividends

MOJOX vs. AVALX - Dividend Comparison

MOJOX's dividend yield for the trailing twelve months is around 19.30%, more than AVALX's 2.12% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AVALX Aegis Value Fund	2.12%	2.34%	7.07%	2.23%	0.16%	0.00%	6.62%	2.36%	6.18%	0.00%	1.45%	0.04%
MOJOX Donoghue Forlines Momentum Fund	19.30%	26.83%	2.13%	0.00%	0.00%	0.00%	0.00%	5.49%	5.78%	4.75%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MOJOX and AVALX in my portfolio?

MOJOX and AVALX have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MOJOX or AVALX?

MOJOX has higher volatility (8.65%) compared to AVALX (5.93%). In terms of maximum drawdown, MOJOX dropped -28.85% vs AVALX's -73.72%.

Which has better risk-adjusted returns?

AVALX currently has the higher Sharpe Ratio (2.68 vs 2.65), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.