Momentum tilted equity portfolio with diversifying managed futures and strong historic risk adjusted performance
Report created on Sep 6, 2026Risk profile
4/7
Diversification profile
4/5
Positions
-
SP Invesco S&P 500® Momentum ETF
SPMO - US46138E3392 50.00% -
AV Avantis® International Small Cap Value ETF
AVDV - US0250728021 25.00% -
DB iMGP DBi Managed Futures Strategy ETF
DBMF - US53700T8273 25.00%
This portfolio is built around three ETFs, with half in a US large‑cap momentum strategy, a quarter in international small‑cap value stocks, and a quarter in a managed futures fund. That means most of the risk and return comes from equities, while managed futures sit alongside as a diversifier. A three‑fund structure is simple to understand and track, and each fund plays a distinct role: growth, contrarian small caps, and trend‑following alternatives. With no single position beyond these three, the structure is concentrated at the fund level but broadly spread inside each ETF. This gives a clear, rule‑based approach rather than a collection of many small, unrelated positions.
Growth
From late 2019 to early 2026, $1,000 in this portfolio grew to about $3,115, implying a compound annual growth rate (CAGR) of 17.83%. CAGR is like your average speed on a long road trip, smoothing out bumps along the way. Over the same period, the US market returned 16.38% and the global market 14.01%, so the portfolio outpaced both. The worst peak‑to‑trough fall, or max drawdown, was about ‑27%, smaller than the roughly ‑34% drawdowns of the benchmarks. That combination of higher return and shallower worst loss indicates historically strong risk‑adjusted results, though there’s no guarantee this pattern repeats.
Projection
The forward projection uses a Monte Carlo simulation, which runs many random “what‑if” paths based on past volatility and correlations. It’s like rolling loaded dice thousands of times to see a range of possible futures, not a single forecast. Here, a $1,000 investment has a median 15‑year outcome around $2,589, with most simulations falling between about $1,886 and $3,842. The very wide full range, from roughly $1,114 to $6,385, highlights just how uncertain long‑term markets can be. The average simulated annual return is 7.41%, noticeably lower than the backward‑looking 17.83%, underscoring that the recent period may have been unusually strong.
Asset classes
- Stocks 82%
- Bonds 15%
- Other 3%
Asset‑class exposure is dominated by stocks at 82%, with bonds at 15% and around 3% in “other,” which would largely reflect the managed futures strategy. This leans clearly toward growth assets while still having some fixed‑income ballast. Equity‑heavy portfolios usually see larger swings in value but also have higher long‑run return potential than bond‑heavy mixes. The presence of bonds and alternatives slightly cushions overall volatility compared with an all‑equity portfolio. This balance is consistent with a “balanced” risk classification: meaningfully exposed to stock market ups and downs, but not fully dependent on them thanks to non‑equity sleeves.
Sectors
- Technology 28%
- Industrials 11%
- Basic Materials 7%
- Financials 6%
- Consumer Discretionary 5%
- Telecommunications 5%
- Health Care 4%
- Energy 4%
- Consumer Staples 3%
- Utilities 1%
- Real Estate 1%
This breakdown covers the equity portion of your portfolio only. Some holdings may not have full classification data available. Percentages may not add up to 100%.
On a sector basis, the portfolio is tilted toward technology at 28%, with the rest spread across industrials, basic materials, financials, consumer areas, telecoms, health care, energy, staples, utilities, and real estate. That tech emphasis is common in strategies that lean into momentum, since fast‑growing companies often cluster there. Sector diversification is still fairly broad, with no other sector dominating the picture. Tech‑heavy allocations can experience sharper moves when interest rates change or when growth expectations reset. However, the presence of more cyclical and defensive sectors helps smooth some of that ride, so sector risk isn’t entirely tied to a single economic story.
Regions
- North America 53%
- Europe Developed 9%
- Japan 8%
- Australasia 2%
- Africa/Middle East 1%
- Asia Developed 1%
This breakdown covers the equity portion of your portfolio only. Some holdings may not have full classification data available. Percentages may not add up to 100%.
Geographically, about 53% of exposure is in North America, with meaningful slices in developed Europe and Japan and smaller allocations to Australasia, Asia ex‑Japan, and Africa/Middle East. This gives a clear US tilt but still reaches across major developed markets, which can add diversification when different economies move on slightly different cycles. Compared with a pure global index, North America is somewhat overweight, and many emerging markets appear underrepresented. That means portfolio outcomes may be driven more by US economic and policy developments than by the full global opportunity set, while still benefiting from non‑US small‑cap value holdings.
Market capitalization
- Large-cap 25%
- No data 25%
- Mega-cap 19%
- Mid-cap 18%
- Small-cap 10%
- Micro-cap 1%
This breakdown covers the equity portion of your portfolio only.
By market capitalization, roughly 19% sits in mega‑caps and 25% in large‑caps, with notable exposure to mid‑caps and small‑caps and even a slice of micro‑caps. A further 25% is “no data,” likely tied to the managed futures ETF where traditional equity size buckets don’t fully apply. This mix combines the relative stability and liquidity of very large companies with the higher growth potential and bumpier ride of smaller firms. International small‑cap value particularly pushes the portfolio into less‑followed names, which can behave differently from the big global brands and may respond more to local economic conditions than to global headline news.
True holdings
-
Part of fund(s):
- iMGP DBi Managed Futures Strategy ETF
-
MU Micron Technology Inc 5.42%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
NV NVIDIA Corporation 4.53%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
AV Broadcom Inc 3.21%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
JN Johnson & Johnson 2.33%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
GO Alphabet Inc Class A 2.20%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
AM Advanced Micro Devices Inc 1.93%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
GO Alphabet Inc Class C 1.74%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
LR Lam Research Corp 1.71%
Part of fund(s):- Invesco S&P 500® Momentum ETF
-
XO Exxon Mobil Corp 1.58%
Part of fund(s):- Invesco S&P 500® Momentum ETF
- Top 10 total 30.84%
This breakdown covers the equity portion of your portfolio only.
Looking through ETF top‑10 holdings, the largest underlying positions include managed futures exposure itself plus companies like Micron, NVIDIA, Broadcom, Johnson & Johnson, Alphabet, AMD, Lam Research, and Exxon Mobil. Several of these are leading technology names, confirming the tech and momentum flavour. Some companies, such as Alphabet with both A and C share classes, appear more than once, creating a bit of hidden concentration. Because only the top‑10 of each ETF are shown, overlap is probably understated, but the data still points to a relatively concentrated group of big individual drivers at the top, while the rest of the portfolio is more dispersed.
Factors
Factor exposures are estimated using statistical models based on historical data and measure systematic (market-relative) tilts, not absolute portfolio characteristics. Results may vary depending on the analysis period, data availability, and currency of the underlying assets.
Factor exposure shows a high tilt toward momentum at 67% and high low‑volatility exposure at 68%, with value, quality, and yield close to neutral and size slightly low. Factors are like underlying “traits” — momentum favours recent winners, while low‑volatility favours historically steadier names. A strong momentum tilt can boost returns in trending markets but may see sharper reversals when leadership changes abruptly. At the same time, a high low‑volatility tilt tends to dampen swings compared with a pure high‑beta growth portfolio. The result is a distinctive combination: performance strongly linked to recent winners, yet with some historical tendency toward smoother individual stock behaviour.
Risk contribution
-
Invesco S&P 500® Momentum ETF
Weight: 50.00% 67.6% -
Avantis® International Small Cap Value ETF
Weight: 25.00% 24.6% -
iMGP DBi Managed Futures Strategy ETF
Weight: 25.00% 7.8%
Risk contribution highlights how much each holding drives the portfolio’s ups and downs, which can differ from simple weights. The S&P 500 momentum ETF is 50% of the portfolio but contributes about 68% of the risk, meaning its behaviour dominates overall volatility. The international small‑cap value ETF lines up more closely, at 25% weight and around 25% risk. The managed futures ETF is 25% by weight but only adds about 8% of risk, suggesting it has historically moved differently from the equities. This pattern shows that, while all three funds matter, portfolio risk is effectively concentrated in the US momentum sleeve.
Risk vs. return
This chart shows the Efficient Frontier, calculated using your current assets with different allocation combinations. It highlights the best balance between risk and return based on historical data. "Efficient" portfolios maximize returns for a given risk or minimize risk for a given return. Portfolios below the curve are less efficient. This is informational and not a recommendation to buy or sell any assets.
Click on the colored dots to explore allocations.
The efficient frontier analysis shows the current portfolio sitting on or very near the frontier, with a Sharpe ratio of 0.84 versus 1.04 for the mathematically optimal mix of the same three funds. The Sharpe ratio is a simple measure of risk‑adjusted return — how much excess return you’re getting per unit of volatility. Being close to the frontier means that, given these exact holdings, the current weights already use risk fairly efficiently. The minimum‑variance version would lower risk more but also cut expected return significantly. So historically, this mix has balanced risk and reward well within what’s possible using just these ETFs.
Dividends
- Avantis® International Small Cap Value ETF 2.60%
- iMGP DBi Managed Futures Strategy ETF 5.00%
- Invesco S&P 500® Momentum ETF 0.70%
- Weighted yield (per year) 2.25%
The portfolio’s total dividend yield sits around 2.25%, coming from a mix of low yield on the momentum ETF, higher yield on the small‑cap value ETF, and especially a 5% yield on the managed futures ETF. Dividend yield is the cash income from holdings over a year, expressed as a percentage of their price. Here, income plays a supporting rather than dominant role, with most of the historic growth coming from price appreciation and factor exposure rather than high payouts. Still, a moderate yield can help smooth returns during flat markets, especially when distributions are reinvested back into the portfolio.
Ongoing product costs
- Avantis® International Small Cap Value ETF 0.36%
- iMGP DBi Managed Futures Strategy ETF 0.85%
- Invesco S&P 500® Momentum ETF 0.13%
- Weighted costs total (per year) 0.37%
Total ongoing costs, measured by the weighted average TER (Total Expense Ratio), come to about 0.37% per year. TER is the annual fee each fund charges, quietly deducted inside the ETF. This level is moderate: cheaper than many actively managed fund line‑ups, though not as low as the very cheapest plain‑vanilla index funds. The higher‑fee component is the managed futures ETF at 0.85%, reflecting its more complex trading strategy. Overall, these costs are not out of line with what you’d expect for a factor‑tilted, alternatives‑inclusive portfolio, and they leave most of the gross return available to the investor over time.
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