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 World Stocks/Bonds 60/40 Momentum Portfolio

Jun 30, 1994Jun 9, 2026

The backtesting period is limited by the inception date of MSCI World Momentum Index (USD) (MSCIWRLDMOMU.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 World Momentum Index (USD)
MSCIWRLDMOMU.IX
IndexUSDJun 30, 199460%
Total Bond Market (US Aggregate Bond)
TOTBONDMKT.X
Asset ClassUSDDec 30, 187040%
Performance (Jun 30, 1994 - Jun 9, 2026)
Annual Return
9.46%
Sharpe Ratio
0.93
Volatility
10.32%
Worst Downturn
-32.11in 2009

The backtest spans over a period of 32 years. With an annual return of 9.46% for World Stocks/Bonds 60/40 Momentum Portfolio, the cumulative return over that period amounts to 1695%.

Metrics

Portfolio ScoreWorld Stocks/Bonds 60/40 Momentum Portfolio
Portfolio Score
ReturnsWorld Stocks/Bonds 60/40 Momentum Portfolio
Month-to-Date-1.07%
Year-to-Date11.25%
3M12.16%
6M11.55%
Annualized Return (3Y)18.67%
Annualized Return (5Y)8.22%
Annualized Return (10Y)10.33%
Annualized Return (20Y)8.46%
Annualized Return (All, 31.9Y)9.46%
RiskWorld Stocks/Bonds 60/40 Momentum Portfolio
Annual Volatility10.32%
Max Drawdown-32.11%
Sharpe Ratio0.93
Sortino Ratio1.44
Adjusted Sortino Ratio1.02
Projected Capital Growth

With a projected annual return (CAGR) of 9.46% and an initial investment of $10,000, World 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$10,946$946$799.5%
5$15,714$17,200$1,487$12472%
10$24,692$27,028$2,336$195170%
15$38,800$42,470$3,670$306325%
20$60,969$66,737$5,768$481567%
50$917,851$1,004,680$86,829$7,2369,947%

Returns

A detailed look at the returns of the portfolio.

Annualized Returns
PortfolioAll (31.9Y)20Y10Y5Y3Y1Y
World Stocks/Bonds 60/40 Momentum Portfolio9.46%8.46%10.33%8.22%18.67%20.04%
Yearly Returns
YearWorld Stocks/Bonds 60/40 Momentum Portfolio
1994-0.62%
199523.86%
199613.31%
199720.73%
199825.95%
199927.08%
2000-6.7%
2001-8.91%
2002-5.26%
200317.01%

Summary

PortfolioPositive YearsNegative YearsPositive RatioBest Return YearsWorst Return Years
World Stocks/Bonds 60/40 Momentum Portfolio26778.79%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
-32.11%2007-11-272009-03-09
15
2011-04-29
26
41
-24.44%2000-04-112003-03-21
35
2004-11-30
20
56
-23.93%2021-11-092022-09-27
11
2024-03-07
17
28
-19.8%2020-02-202020-03-23
1
2020-06-23
3
4
-10.99%2025-02-192025-04-08
2
2025-05-15
1
3
-9.86%1998-08-311998-10-09
1
1998-12-31
3
4
-9.17%2021-02-162021-03-08
1
2021-07-12
4
5
-9.02%2018-10-032019-01-18
4
2019-04-30
3
7
-8.42%2024-07-172024-08-05
1
2024-09-19
1
2
-7.78%2026-02-262026-03-30
1
2026-04-10
0
1

World Stocks/Bonds 60/40 Momentum Portfolio took approximately 42 months on average to recover from major drawdowns of 20% or more. The largest drawdown reached -32.11% and the longest drawdown period lasted 56 months.