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Factor - Momentum & Value

Canadian-listed momentum and Nasdaq growth paired with US small-cap value — 60% growth, 40% value, buy and hold.

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TickerWeightBetaNotes
FINN.NE20%1.53Fidelity Global Innovators ETF — Mark Schmehl's concentrated, actively managed global momentum sleeve, benchmarked to the Nasdaq Composite.
FCMO.NE10%1Fidelity U.S. Momentum ETF, a 100-stock U.S. large-cap momentum factor rebalanced quarterly.
QQQL.TO25%1.251.25× Nasdaq-100 (charts: 1.25× QQQ TR in CAD + Canadian borrow on extra 0.25× notional).
ZLB.TO25%0.63BMO Low Volatility Canadian Equity, a defensive low-beta anchor.
VFLO20%0.75Large-cap free-cash-flow quality tilt — value factor via high-FCF yield selection.

Weighted portfolio beta (approx.): 1.03

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Total return (vs SPY)

Range
+29.04%
Portfolio
+17.55%
SPY (benchmark)
+11.50%
Excess α vs SPY
-6.14%
Max drawdown
-8.88%
SPY max DD
1.82
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
2.85
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
Portfolio score: A

Alpha score: A+

Max DD score: A

Beta score: B

Beta: 1.03

Net leverage:

Total: 96.3%

Gross longs: 96.3%

Gross shorts: 0.0%

Gross alpha & alts: 0.0%

Portfolio weights:

FINN.NE: 20%

FCMO.NE: 10%

QQQL.TO: 25%

ZLB.TO: 25%

VFLO: 20%

PortfolioSPY

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

FINN.NE: methodology lists TEC.TOas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

FCMO.NE: methodology lists SPMOas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

VFLO: methodology lists COWZ × GARPas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

VFLO's inception date of 2020-01-16 is limiting the backtest.

Growthshared core
Factor
Alpha: equity factor (momentum, value) (FINN.NE, FCMO.NE, ZLB.TO, VFLO)Growth: Global equity/US large-cap/Canadian equity/Nasdaq-100 (FINN.NE, FCMO.NE, ZLB.TO, VFLO, QQQL.TO)
100%
Inflation