For educational purposes only. Nothing on this site constitutes investment advice. Disclaimers
Factor - Momentum & Value
Canadian-listed momentum and Nasdaq growth paired with US small-cap value — 60% growth, 40% value, buy and hold.
How to read sleeves and model portfolios →
| Ticker | Weight | Beta | Notes |
|---|---|---|---|
| FCMO.TO | 30% | 1 | Fidelity U.S. Momentum ETF — 100-stock U.S. large-cap momentum factor, quarterly rebalanced. |
| QQQL.TO | 25% | 1.25 | 1.25× Nasdaq-100 (charts: 1.25× QQQ TR in CAD + Canadian borrow on extra 0.25× notional). |
| ZLB.TO | 25% | 0.63 | BMO Low Volatility US Equity (CAD-hedged) — defensive low-beta anchor. |
| VFLO | 20% | 0.75 | Large-cap free-cash-flow quality tilt — value factor via high-FCF yield selection. |
Weighted portfolio beta (approx.): 0.92
Copy portfolio to builder →Total return (CAD vs SPY)
Alpha score: A
Max DD score: A
Beta score: B+
Beta: 0.92
Total: 76.3%
Gross longs: 76.3%
Gross shorts: 0.0%
Gross alpha & alts: 0.0%
FCMO.TO: 30%
QQQL.TO: 25%
ZLB.TO: 25%
VFLO: 20%
Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.
FCMO.TO: 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 COWZas 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 2016-12-22 is limiting the backtest.