Portfolio Backtester

Analyze your investment portfolio
The backtest consists of 1 fixed allocation portfolio, which is rebalanced back to its original weights every year, on the last day of the year. An initial starting capital of $10,000 was used. No transaction fees or taxes were considered.

Portfolio Analysis for US Stocks/Bonds 60/40 Momentum Portfolio

Jun 30, 1994May 1, 2026

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.

Assets

The portfolio consists of 2 assets.

Name / TickerTypeCurrencyInceptionWeight
MSCI USA Momentum Index (USD)
MSCIUSAMOMU.IX
IndexUSDJun 30, 199460%
Total Bond Market (US Aggregate Bond)
TOTBONDMKT.X
Asset ClassUSDDec 30, 187040%
Performance (Jun 30, 1994 - May 1, 2026)
Annual Return
10.48%
Sharpe Ratio
0.96
Volatility
11.08%
Worst Downturn
-31.67in 2009

The backtest spans over a period of 32 years. With an annual return of 10.48% for US Stocks/Bonds 60/40 Momentum Portfolio, the cumulative return over that period amounts to 2291%.

Metrics

Portfolio ScoreUS Stocks/Bonds 60/40 Momentum Portfolio
Portfolio Score
ReturnsUS Stocks/Bonds 60/40 Momentum Portfolio
Month-to-Date0.31%
Year-to-Date8.47%
3M6.01%
6M6.96%
Annualized Return (3Y)16.75%
Annualized Return (5Y)6.89%
Annualized Return (10Y)10.23%
Annualized Return (20Y)8.67%
Annualized Return (All, 31.8Y)10.48%
RiskUS Stocks/Bonds 60/40 Momentum Portfolio
Annual Volatility11.08%
Max Drawdown-31.67%
Sharpe Ratio0.96
Sortino Ratio1.5
Adjusted Sortino Ratio1.06
Projected Capital Growth

With a projected annual return (CAGR) of 10.48% 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.

YearStarting CapitalEnding CapitalTotal GainAvg Monthly GainCumulative Return
$10,000$11,048$1,048$8710.5%
5$16,460$18,185$1,725$14481.8%
10$27,092$29,931$2,839$237199%
15$44,592$49,265$4,673$389393%
20$73,396$81,088$7,692$641711%
50$1,459,430$1,612,378$152,948$12,74616,024%

Returns

A detailed look at the returns of the portfolio.

Annualized Returns
PortfolioAll (31.8Y)20Y10Y5Y3Y1Y
US Stocks/Bonds 60/40 Momentum Portfolio10.48%8.67%10.23%6.89%16.75%21.12%
Yearly Returns
YearUS Stocks/Bonds 60/40 Momentum Portfolio
19942.4%
199532.81%
199619.46%
199726.05%
199833.02%
199924.16%
2000-1.05%
2001-6.98%
2002-3.87%
200317.17%

Summary

PortfolioPositive YearsNegative YearsPositive RatioBest Return YearsWorst Return Years
US Stocks/Bonds 60/40 Momentum Portfolio27681.82%3333

Risk

Let's analyze how much risk the portfoliohas.

Drawdowns

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 periodRecovery periodTotal
Max drawdownStartValley# MonthsEnd# Months# MonthsChart
-31.67%2008-01-232009-03-09
14
2011-02-28
24
37
-24.64%2021-11-092022-09-27
11
2024-06-12
21
31
-21.37%2020-02-202020-03-23
1
2020-07-01
3
4
-17.96%2000-09-062003-03-21
30
2004-02-27
11
42
-12.48%2025-02-192025-04-08
2
2025-05-30
2
3
-10.72%2021-02-162021-03-08
1
2021-08-05
5
6
-10.08%1998-08-311998-09-02
0
1998-11-30
3
3
-9.28%2018-10-032019-01-18
4
2019-04-30
3
7
-8.23%2024-07-172024-08-07
1
2024-09-19
1
2
-7.19%2026-01-282026-03-30
2
2026-04-09
0
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.