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 10.49% for US Stocks/Bonds 60/40 Momentum Portfolio, the cumulative return over that period amounts to 2378%.
Metrics
| Portfolio Score | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Portfolio Score |
| Returns | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Month-to-Date | 0.03% |
| Year-to-Date | 12.68% |
| 3M | -3.13% |
| 6M | 10.2% |
| Annualized Return (3Y) | 18.14% |
| Annualized Return (5Y) | 6.76% |
| Annualized Return (10Y) | 10.02% |
| Annualized Return (20Y) | 9.06% |
| Annualized Return (All, 32.2Y) | 10.49% |
| Risk | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Annual Volatility | 11.3% |
| Max Drawdown | -31.67% |
| Sharpe Ratio | 0.94 |
| Sortino Ratio | 1.47 |
| Adjusted Sortino Ratio | 1.04 |
With a projected annual return (CAGR) of 10.49% 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 | $11,049 | $1,049 | $87 | 10.5% | |
| 5 | $16,467 | $18,194 | $1,727 | $144 | 81.9% |
| 10 | $27,116 | $29,961 | $2,844 | $237 | 200% |
| 15 | $44,652 | $49,336 | $4,684 | $390 | 393% |
| 20 | $73,529 | $81,242 | $7,713 | $643 | 712% |
| 50 | $1,466,050 | $1,619,838 | $153,789 | $12,816 | 16,098% |
Returns
A detailed look at the returns of the portfolio.
| Portfolio | All (32.2Y) | 20Y | 10Y | 5Y | 3Y | 1Y |
|---|---|---|---|---|---|---|
| US Stocks/Bonds 60/40 Momentum Portfolio | 10.49% | 9.06% | 10.02% | 6.76% | 18.14% | 16.12% |
| Year | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| 1994 | 2.4% |
| 1995 | 32.81% |
| 1996 | 19.46% |
| 1997 | 26.05% |
| 1998 | 32.86% |
| 1999 | 24.1% |
| 2000 | -1.05% |
| 2001 | -6.98% |
| 2002 | -3.92% |
| 2003 | 17.17% |
Summary
| Portfolio | Positive Years | Negative Years | Positive Ratio | Best Return Years | Worst Return Years |
| US Stocks/Bonds 60/40 Momentum Portfolio | 27 | 6 | 81.82% | 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 | |
| -18% | 2000-09-06 | 2003-03-21 | 30 | 2004-02-27 | 11 | 42 | |
| -12.77% | 2026-06-23 | 2026-07-29 | 1 | Ongoing | 1 | 2 | |
| -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 | |
| -9.29% | 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 | |
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.