MOJOX vs. GTAIX

Last updated Jun 24, 2026

MOJOX (Donoghue Forlines Momentum Fund) and GTAIX (Donoghue Forlines Tactical Allocation Fund) are both Tactical Allocation funds from Donoghue Forlines LLC. Over the past 5 years, MOJOX returned 15.99%/yr vs 7.31%/yr for GTAIX. A 0.80 correlation means they provide meaningful diversification when combined. MOJOX charges 2.00%/yr vs 1.20%/yr for GTAIX.

Performance

MOJOX vs. GTAIX - Performance Comparison

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

Returns By Period

In the year-to-date period, MOJOX achieves a 43.41% return, which is significantly higher than GTAIX's 14.77% return.

MOJOX

• 1D: 1.22%
• 1M: 7.62%
• YTD: 43.41%
• 6M: 41.15%
• 1Y: 60.93%
• 3Y*: 34.08%
• 5Y*: 15.99%
• 10Y*: —

GTAIX

• 1D: 0.38%
• 1M: 2.98%
• YTD: 14.77%
• 6M: 14.11%
• 1Y: 24.03%
• 3Y*: 15.65%
• 5Y*: 7.31%
• 10Y*: —

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

MOJOX vs. GTAIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MOJOX Donoghue Forlines Momentum Fund	43.41%	22.91%	22.29%	19.10%	-22.78%	28.86%	-1.95%	8.66%	-1.96%
GTAIX Donoghue Forlines Tactical Allocation Fund	14.77%	13.49%	8.39%	15.59%	-14.49%	9.25%	-0.10%	16.08%	-8.93%

Correlation

The correlation between MOJOX and GTAIX is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (All Time) Calculated using the full available price history since Apr 6, 2018	0.80

The correlation between MOJOX and GTAIX shifts across timeframes, from 0.80 (all time) to 0.90 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

MOJOX vs. GTAIX — Risk / Return Rank

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

MOJOX

MOJOX Risk / Return Rank: 92
MOJOX Sharpe Ratio Rank: 94
MOJOX Sortino Ratio Rank: 85
MOJOX Omega Ratio Rank: 83
MOJOX Calmar Ratio Rank: 98
MOJOX Martin Ratio Rank: 98

GTAIX

GTAIX Risk / Return Rank: 92
GTAIX Sharpe Ratio Rank: 92
GTAIX Sortino Ratio Rank: 90
GTAIX Omega Ratio Rank: 86
GTAIX Calmar Ratio Rank: 95
GTAIX Martin Ratio Rank: 96

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. GTAIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Donoghue Forlines Momentum Fund (MOJOX) and Donoghue Forlines Tactical Allocation Fund (GTAIX). 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	GTAIX	Difference
Sharpe ratio: Return per unit of total volatility	3.02	2.86	+0.16
Sortino ratio: Return per unit of downside risk	3.74	4.10	-0.36
Omega ratio: Gain probability vs. loss probability	1.51	1.55	-0.04
Calmar ratio: Return relative to maximum drawdown	7.65	5.45	+2.20
Martin ratio: Return relative to average drawdown	28.97	22.76	+6.20

MOJOX vs. GTAIX - Sharpe Ratio Comparison

The current MOJOX Sharpe Ratio is 3.02, which is comparable to the GTAIX Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of MOJOX and GTAIX, 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. GTAIX - Drawdown Comparison

The maximum MOJOX drawdown since its inception was -28.85%, which is greater than GTAIX's maximum drawdown of -24.25%. Use the drawdown chart below to compare losses from any high point for MOJOX and GTAIX.

Drawdown Indicators

	MOJOX	GTAIX	Difference
Max Drawdown Largest peak-to-trough decline	-28.85%	-24.25%	-4.60%
Max Drawdown (1Y) Largest decline over 1 year	-8.15%	-4.51%	-3.64%
Max Drawdown (3Y) Largest decline over 3 years	-22.50%	-11.89%	-10.61%
Max Drawdown (5Y) Largest decline over 5 years	-25.32%	-19.43%	-5.89%
Current Drawdown Current decline from peak	0.00%	-0.08%	+0.08%
Average Drawdown Average peak-to-trough decline	-7.81%	-4.79%	-3.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.15%	1.08%	+1.07%

Volatility

MOJOX vs. GTAIX - Volatility Comparison

Donoghue Forlines Momentum Fund (MOJOX) has a higher volatility of 8.26% compared to Donoghue Forlines Tactical Allocation Fund (GTAIX) at 3.35%. This indicates that MOJOX's price experiences larger fluctuations and is considered to be riskier than GTAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MOJOX	GTAIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.26%	3.35%	+4.91%
Volatility (6M) Calculated over the trailing 6-month period	17.12%	7.24%	+9.88%
Volatility (1Y) Calculated over the trailing 1-year period	20.67%	8.61%	+12.06%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.75%	10.79%	+6.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.22%	11.51%	+4.71%

MOJOX vs. GTAIX - Expense Ratio Comparison

MOJOX has a 2.00% expense ratio, which is higher than GTAIX's 1.20% expense ratio.

Dividends

MOJOX vs. GTAIX - Dividend Comparison

MOJOX's dividend yield for the trailing twelve months is around 18.70%, more than GTAIX's 4.81% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
GTAIX Donoghue Forlines Tactical Allocation Fund	4.81%	5.82%	3.38%	2.69%	1.65%	2.35%	0.82%	1.77%	1.92%	0.00%
MOJOX Donoghue Forlines Momentum Fund	18.70%	26.83%	2.13%	0.00%	0.00%	0.00%	0.00%	5.49%	5.78%	4.75%

Frequently Asked Questions

Can I hold both MOJOX and GTAIX in my portfolio?

With a correlation of 0.90, MOJOX and GTAIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, MOJOX or GTAIX?

MOJOX has higher volatility (8.26%) compared to GTAIX (3.35%). In terms of maximum drawdown, MOJOX dropped -28.85% vs GTAIX's -24.25%.

Which has better risk-adjusted returns?

MOJOX currently has the higher Sharpe Ratio (3.02 vs 2.86), 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.