MOJOX vs. GUG
MOJOX (Donoghue Forlines Momentum Fund) and GUG (Guggenheim Active Allocation Fund) are both Tactical Allocation funds. Over the past 3 years, MOJOX returned 34.08%/yr vs 13.58%/yr for GUG. At a 0.34 correlation, their price movements are largely independent. MOJOX charges 2.00%/yr vs 3.86%/yr for GUG.
Performance
MOJOX vs. GUG - Performance Comparison
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Returns By Period
In the year-to-date period, MOJOX achieves a 43.41% return, which is significantly higher than GUG's 6.92% return.
MOJOX
- 1D
- 1.22%
- 1M
- 7.62%
- YTD
- 43.41%
- 6M
- 41.15%
- 1Y
- 60.93%
- 3Y*
- 34.08%
- 5Y*
- 15.99%
- 10Y*
- —
GUG
- 1D
- -0.13%
- 1M
- -1.34%
- YTD
- 6.92%
- 6M
- 7.06%
- 1Y
- 11.20%
- 3Y*
- 13.58%
- 5Y*
- —
- 10Y*
- —
MOJOX vs. GUG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
MOJOX Donoghue Forlines Momentum Fund | 43.41% | 22.91% | 22.29% | 19.10% | -22.78% | -0.46% |
GUG Guggenheim Active Allocation Fund | 6.92% | 13.12% | 11.46% | 20.68% | -26.55% | -0.20% |
Correlation
The correlation between MOJOX and GUG is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (All Time) Calculated using the full available price history since Nov 24, 2021 | 0.34 |
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Return for Risk
MOJOX vs. GUG — Risk / Return Rank
MOJOX
GUG
MOJOX vs. GUG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Donoghue Forlines Momentum Fund (MOJOX) and Guggenheim Active Allocation Fund (GUG). 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 | GUG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.05 | ||
| Sortino ratioReturn per unit of downside risk | +2.24 | ||
| Omega ratioGain probability vs. loss probability | 1.51 | 1.17 | +0.34 |
| Calmar ratioReturn relative to maximum drawdown | 7.65 | 1.44 | +6.20 |
| Martin ratioReturn relative to average drawdown | 28.97 | 4.16 | +24.81 |
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Drawdowns
MOJOX vs. GUG - Drawdown Comparison
The maximum MOJOX drawdown since its inception was -28.85%, smaller than the maximum GUG drawdown of -32.78%. Use the drawdown chart below to compare losses from any high point for MOJOX and GUG.
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Drawdown Indicators
| MOJOX | GUG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.85% | -32.78% | +3.93% |
Max Drawdown (1Y)Largest decline over 1 year | -8.15% | -7.80% | -0.35% |
Max Drawdown (3Y)Largest decline over 3 years | -22.50% | -12.10% | -10.40% |
Max Drawdown (5Y)Largest decline over 5 years | -25.32% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -3.21% | +3.21% |
Average DrawdownAverage peak-to-trough decline | -7.81% | -11.50% | +3.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.15% | 2.70% | -0.55% |
Volatility
MOJOX vs. GUG - Volatility Comparison
Donoghue Forlines Momentum Fund (MOJOX) has a higher volatility of 8.26% compared to Guggenheim Active Allocation Fund (GUG) at 3.93%. This indicates that MOJOX's price experiences larger fluctuations and is considered to be riskier than GUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MOJOX | GUG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.26% | 3.93% | +4.33% |
Volatility (6M)Calculated over the trailing 6-month period | 17.12% | 8.17% | +8.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.67% | 11.58% | +9.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.75% | 17.47% | +0.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.22% | 17.47% | -1.25% |
MOJOX vs. GUG - Expense Ratio Comparison
MOJOX has a 2.00% expense ratio, which is lower than GUG's 3.86% expense ratio.
Dividends
MOJOX vs. GUG - Dividend Comparison
MOJOX's dividend yield for the trailing twelve months is around 18.70%, more than GUG's 9.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
GUG Guggenheim Active Allocation Fund | 9.09% | 9.30% | 9.58% | 9.72% | 9.71% | 0.00% | 0.00% | 0.00% | 0.00% | 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
MOJOX and GUG have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MOJOX has higher volatility (8.26%) compared to GUG (3.93%). In terms of maximum drawdown, MOJOX dropped -28.85% vs GUG's -32.78%.
MOJOX currently has the higher Sharpe Ratio (3.02 vs 0.97), 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.
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