MOJOX vs. SMIDX

Last updated Jun 24, 2026

MOJOX (Donoghue Forlines Momentum Fund) and SMIDX (SMI Dynamic Allocation Fund) are both Tactical Allocation funds. Over the past 5 years, MOJOX returned 15.99%/yr vs 6.97%/yr for SMIDX. A 0.67 correlation means they provide meaningful diversification when combined. MOJOX charges 2.00%/yr vs 1.19%/yr for SMIDX.

Performance

MOJOX vs. SMIDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Donoghue Forlines Momentum Fund (MOJOX) and SMI Dynamic Allocation Fund (SMIDX). 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 SMIDX's 10.26% return.

MOJOX

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

SMIDX

• 1D: 0.00%
• 1M: 0.48%
• YTD: 10.26%
• 6M: 8.81%
• 1Y: 26.17%
• 3Y*: 15.70%
• 5Y*: 6.97%
• 10Y*: 6.47%

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

MOJOX vs. SMIDX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MOJOX Donoghue Forlines Momentum Fund	43.41%	22.91%	22.29%	19.10%	-22.78%	28.86%	-1.95%	8.66%	-3.03%	14.80%
SMIDX SMI Dynamic Allocation Fund	10.26%	22.50%	12.76%	8.39%	-19.12%	14.00%	9.64%	9.47%	-6.12%	14.11%

Correlation

The correlation between MOJOX and SMIDX is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.73
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.67

The correlation between MOJOX and SMIDX has been stable across timeframes, ranging from 0.67 to 0.76 - a consistent structural relationship.

Return for Risk

MOJOX vs. SMIDX — 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

SMIDX

SMIDX Risk / Return Rank: 61
SMIDX Sharpe Ratio Rank: 58
SMIDX Sortino Ratio Rank: 49
SMIDX Omega Ratio Rank: 60
SMIDX Calmar Ratio Rank: 70
SMIDX Martin Ratio Rank: 66

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. SMIDX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Donoghue Forlines Momentum Fund (MOJOX) and SMI Dynamic Allocation Fund (SMIDX). 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	SMIDX	Difference
Sharpe ratio: Return per unit of total volatility	3.02	2.06	+0.96
Sortino ratio: Return per unit of downside risk	3.74	2.71	+1.03
Omega ratio: Gain probability vs. loss probability	1.51	1.39	+0.11
Calmar ratio: Return relative to maximum drawdown	7.65	3.08	+4.57
Martin ratio: Return relative to average drawdown	28.97	12.09	+16.88

MOJOX vs. SMIDX - Sharpe Ratio Comparison

The current MOJOX Sharpe Ratio is 3.02, which is higher than the SMIDX Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of MOJOX and SMIDX, 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. SMIDX - Drawdown Comparison

The maximum MOJOX drawdown since its inception was -28.85%, which is greater than SMIDX's maximum drawdown of -21.99%. Use the drawdown chart below to compare losses from any high point for MOJOX and SMIDX.

Drawdown Indicators

	MOJOX	SMIDX	Difference
Max Drawdown Largest peak-to-trough decline	-28.85%	-21.99%	-6.86%
Max Drawdown (1Y) Largest decline over 1 year	-8.15%	-8.73%	+0.58%
Max Drawdown (3Y) Largest decline over 3 years	-22.50%	-10.11%	-12.39%
Max Drawdown (5Y) Largest decline over 5 years	-25.32%	-21.99%	-3.33%
Max Drawdown (10Y) Largest decline over 10 years	—	-21.99%	—
Current Drawdown Current decline from peak	0.00%	-1.67%	+1.67%
Average Drawdown Average peak-to-trough decline	-7.81%	-6.30%	-1.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.15%	2.22%	-0.07%

Volatility

MOJOX vs. SMIDX - Volatility Comparison

Donoghue Forlines Momentum Fund (MOJOX) has a higher volatility of 8.26% compared to SMI Dynamic Allocation Fund (SMIDX) at 5.50%. This indicates that MOJOX's price experiences larger fluctuations and is considered to be riskier than SMIDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MOJOX	SMIDX	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.26%	5.50%	+2.76%
Volatility (6M) Calculated over the trailing 6-month period	17.12%	11.37%	+5.75%
Volatility (1Y) Calculated over the trailing 1-year period	20.67%	13.05%	+7.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.75%	10.87%	+6.88%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.22%	10.31%	+5.91%

MOJOX vs. SMIDX - Expense Ratio Comparison

MOJOX has a 2.00% expense ratio, which is higher than SMIDX's 1.19% expense ratio.

Dividends

MOJOX vs. SMIDX - Dividend Comparison

MOJOX's dividend yield for the trailing twelve months is around 18.70%, more than SMIDX's 10.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%	0.00%	0.00%
SMIDX SMI Dynamic Allocation Fund	10.73%	11.83%	6.43%	0.19%	0.00%	7.91%	5.32%	1.22%	1.53%	0.92%	0.25%	1.27%

Frequently Asked Questions

Can I hold both MOJOX and SMIDX in my portfolio?

MOJOX and SMIDX have a correlation of 0.72, 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 SMIDX?

MOJOX has higher volatility (8.26%) compared to SMIDX (5.50%). In terms of maximum drawdown, MOJOX dropped -28.85% vs SMIDX's -21.99%.

Which has better risk-adjusted returns?

MOJOX currently has the higher Sharpe Ratio (3.02 vs 2.06), 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.