Portfolio Backtester
Portfolio Analysis for US Stocks/Bonds 60/40 Momentum Portfolio
The backtesting period is limited by the inception date of MSCI USA Momentum Index (USD) (MSCIUSAMOMU.IX): Jun 30, 1994.
Overview
A quick overview of the assets within the portfolio, its performance and main metrics.
The portfolio consists of 2 assets.
| Name / Ticker | Type | Currency | Inception | Weight |
|---|---|---|---|---|
MSCI USA Momentum Index (USD) MSCIUSAMOMU.IX | Index | USD | Jun 30, 1994 | 60% |
Total Bond Market (US Aggregate Bond) TOTBONDMKT.X | Asset Class | USD | Dec 30, 1870 | 40% |
The backtest spans over a period of 32 years. With an annual return of 10.21% for US Stocks/Bonds 60/40 Momentum Portfolio, the cumulative return over that period amounts to 2089%.
Metrics
| Portfolio Score | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Portfolio Score |
| Returns | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Month-to-Date | -2.26% |
| Year-to-Date | -0.69% |
| 3M | -0.38% |
| 6M | -0.2% |
| Annualized Return (3Y) | 14.74% |
| Annualized Return (5Y) | 5.87% |
| Annualized Return (10Y) | 9.59% |
| Annualized Return (20Y) | 8.27% |
| Annualized Return (All, 31.7Y) | 10.21% |
| Risk | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Annual Volatility | 11.05% |
| Max Drawdown | -31.67% |
| Sharpe Ratio | 0.94 |
| Sortino Ratio | 1.47 |
| Adjusted Sortino Ratio | 1.04 |
With a projected annual return (CAGR) of 10.21% and an initial investment of $10,000, US Stocks/Bonds 60/40 Momentum Portfolio would have the following projected capital growth over the next 50 years.
| Year | Starting Capital | Ending Capital | Total Gain | Avg Monthly Gain | Cumulative Return |
|---|---|---|---|---|---|
| $10,000 | $11,021 | $1,021 | $85 | 10.2% | |
| 5 | $16,259 | $17,920 | $1,660 | $138 | 79.2% |
| 10 | $26,437 | $29,136 | $2,699 | $225 | 191% |
| 15 | $42,985 | $47,374 | $4,389 | $366 | 374% |
| 20 | $69,891 | $77,027 | $7,136 | $595 | 670% |
| 50 | $1,291,368 | $1,423,217 | $131,849 | $10,987 | 14,132% |
Returns
A detailed look at the returns of the portfolio.
| Portfolio | All (31.7Y) | 20Y | 10Y | 5Y | 3Y | 1Y |
|---|---|---|---|---|---|---|
| US Stocks/Bonds 60/40 Momentum Portfolio | 10.21% | 8.27% | 9.59% | 5.87% | 14.74% | 13.23% |
| Year | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| 1994 | 2.4% |
| 1995 | 32.81% |
| 1996 | 19.46% |
| 1997 | 26.05% |
| 1998 | 33.02% |
| 1999 | 24.16% |
| 2000 | -1.05% |
| 2001 | -6.98% |
| 2002 | -3.87% |
| 2003 | 17.17% |
Summary
| Portfolio | Positive Years | Negative Years | Positive Ratio | Best Return Years | Worst Return Years |
| US Stocks/Bonds 60/40 Momentum Portfolio | 26 | 7 | 78.79% | 33 | 33 |
Risk
Let's analyze how much risk the portfoliohas.
A drawdown represents the period of decline an investor experiences between a portfolio's peak (new high) and its subsequent low, also known as the valley (before it begins to recover). The table below highlights the five largest drawdowns encountered by the portfolio.
| Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Max drawdown | Start | Valley | # Months | End | # Months | # Months | Chart |
| -31.67% | 2008-01-23 | 2009-03-09 | 14 | 2011-02-28 | 24 | 37 | |
| -24.64% | 2021-11-09 | 2022-09-27 | 11 | 2024-06-12 | 21 | 31 | |
| -21.37% | 2020-02-20 | 2020-03-23 | 1 | 2020-07-01 | 3 | 4 | |
| -17.96% | 2000-09-06 | 2003-03-21 | 30 | 2004-02-27 | 11 | 42 | |
| -12.48% | 2025-02-19 | 2025-04-08 | 2 | 2025-05-30 | 2 | 3 | |
| -10.72% | 2021-02-16 | 2021-03-08 | 1 | 2021-08-05 | 5 | 6 | |
| -10.08% | 1998-08-31 | 1998-09-02 | 0 | 1998-11-30 | 3 | 3 | |
| -9.28% | 2018-10-03 | 2019-01-18 | 4 | 2019-04-30 | 3 | 7 | |
| -8.23% | 2024-07-17 | 2024-08-07 | 1 | 2024-09-19 | 1 | 2 | |
| -7.19% | 2000-04-11 | 2000-05-31 | 2 | 2000-08-31 | 3 | 5 | |
US Stocks/Bonds 60/40 Momentum Portfolio took approximately 24 months on average to recover from major drawdowns of 20% or more. The largest drawdown reached -31.67% and the longest drawdown period lasted 42 months.