Portfolio Backtester
Portfolio Analysis for World Stocks/Bonds 60/40 Momentum Portfolio
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.
The portfolio consists of 2 assets.
| Name / Ticker | Type | Currency | Inception | Weight |
|---|---|---|---|---|
MSCI World Momentum Index (USD) MSCIWRLDMOMU.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 9.38% for World Stocks/Bonds 60/40 Momentum Portfolio, the cumulative return over that period amounts to 1692%.
Metrics
| Portfolio Score | World Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Portfolio Score |
| Returns | World Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Month-to-Date | 1.17% |
| Year-to-Date | 11.01% |
| 3M | -1.22% |
| 6M | 6.87% |
| Annualized Return (3Y) | 18% |
| Annualized Return (5Y) | 7.33% |
| Annualized Return (10Y) | 9.87% |
| Annualized Return (20Y) | 8.43% |
| Annualized Return (All, 32.2Y) | 9.38% |
| Risk | World Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Annual Volatility | 10.41% |
| Max Drawdown | -32.11% |
| Sharpe Ratio | 0.92 |
| Sortino Ratio | 1.42 |
| Adjusted Sortino Ratio | 1 |
With a projected annual return (CAGR) of 9.38% 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.
| Year | Starting Capital | Ending Capital | Total Gain | Avg Monthly Gain | Cumulative Return |
|---|---|---|---|---|---|
| $10,000 | $10,938 | $938 | $78 | 9.4% | |
| 5 | $15,656 | $17,125 | $1,469 | $122 | 71.2% |
| 10 | $24,512 | $26,811 | $2,299 | $192 | 168% |
| 15 | $38,377 | $41,977 | $3,600 | $300 | 320% |
| 20 | $60,084 | $65,720 | $5,636 | $470 | 557% |
| 50 | $884,904 | $967,908 | $83,004 | $6,917 | 9,579% |
Returns
A detailed look at the returns of the portfolio.
| Portfolio | All (32.2Y) | 20Y | 10Y | 5Y | 3Y | 1Y |
|---|---|---|---|---|---|---|
| World Stocks/Bonds 60/40 Momentum Portfolio | 9.38% | 8.43% | 9.87% | 7.33% | 18% | 15.87% |
| Year | World Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| 1994 | -0.62% |
| 1995 | 23.86% |
| 1996 | 13.31% |
| 1997 | 20.73% |
| 1998 | 25.95% |
| 1999 | 27.08% |
| 2000 | -6.7% |
| 2001 | -8.91% |
| 2002 | -5.26% |
| 2003 | 17.01% |
Summary
| Portfolio | Positive Years | Negative Years | Positive Ratio | Best Return Years | Worst Return Years |
| World 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 |
| -32.11% | 2007-11-27 | 2009-03-09 | 15 | 2011-04-29 | 26 | 41 | |
| -24.44% | 2000-04-11 | 2003-03-21 | 35 | 2004-11-30 | 20 | 56 | |
| -23.93% | 2021-11-09 | 2022-09-27 | 11 | 2024-03-07 | 17 | 28 | |
| -19.8% | 2020-02-20 | 2020-03-23 | 1 | 2020-06-23 | 3 | 4 | |
| -10.99% | 2025-02-19 | 2025-04-08 | 2 | 2025-05-15 | 1 | 3 | |
| -9.92% | 2026-06-23 | 2026-07-29 | 1 | Ongoing | 1 | 2 | |
| -9.86% | 1998-08-31 | 1998-10-09 | 1 | 1998-12-31 | 3 | 4 | |
| -9.17% | 2021-02-16 | 2021-03-08 | 1 | 2021-07-12 | 4 | 5 | |
| -9.03% | 2018-10-03 | 2019-01-18 | 4 | 2019-04-30 | 3 | 7 | |
| -8.42% | 2024-07-17 | 2024-08-05 | 1 | 2024-09-19 | 1 | 2 | |
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.