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Momentum 60/40 portfolio
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

Asset Allocation


BND 15.37%VOO 84.63%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

15.37%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

84.63%

S&P 500

Transactions


DateTypeSymbolQuantityPrice
Oct 31, 2022BuyVanguard S&P 500 ETF20$354.95
Oct 31, 2022SellVanguard Total Bond Market ETF100$70.35
Sep 30, 2022SellVanguard S&P 500 ETF20$328.30
Sep 30, 2022BuyVanguard Total Bond Market ETF120$71.33
Aug 31, 2022SellVanguard S&P 500 ETF30$363.15
Aug 31, 2022BuyVanguard Total Bond Market ETF150$74.60
Jul 29, 2022BuyVanguard S&P 500 ETF20$378.79
Jul 29, 2022SellVanguard Total Bond Market ETF130$76.90
Jun 30, 2022SellVanguard S&P 500 ETF20$346.88
Jun 30, 2022BuyVanguard Total Bond Market ETF130$75.26

1–10 of 197

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Momentum 60/40 portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
200.47%
314.45%
Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Returns By Period

As of Jul 22, 2024, the Momentum 60/40 portfolio returned 12.60% Year-To-Date and 7.98% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Momentum 60/40 portfolio12.60%0.51%11.22%17.57%9.39%8.03%
BND
Vanguard Total Bond Market ETF
0.65%0.58%1.70%3.67%-0.05%1.41%
VOO
Vanguard S&P 500 ETF
16.29%0.91%14.33%23.21%14.66%12.86%

Monthly Returns

The table below presents the monthly returns of Momentum 60/40 portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.30%4.02%2.56%-3.80%4.43%2.79%12.60%
20235.68%-2.58%3.12%1.34%0.11%4.82%2.62%-1.50%-4.68%-2.10%8.26%3.94%19.83%
2022-4.92%-2.81%2.80%-8.34%0.30%-7.62%7.80%-3.96%-8.54%5.76%5.09%-5.21%-19.52%
2021-1.00%2.32%3.65%4.83%0.60%1.80%2.30%2.63%-4.60%6.33%-0.66%3.68%23.65%
20200.47%-6.21%-11.16%10.73%3.68%1.07%4.27%3.72%-2.79%-1.99%8.47%2.59%11.38%
20196.92%2.54%1.44%2.75%-4.35%4.80%1.07%-0.81%0.92%1.55%2.26%1.58%22.24%
20184.90%-3.48%-2.57%0.20%2.23%0.23%3.18%2.95%0.04%-6.28%1.74%-8.29%-5.88%
20171.38%3.18%-0.32%0.99%1.31%0.14%1.88%0.33%1.31%2.07%2.74%0.72%16.86%
2016-2.77%0.13%3.76%0.29%0.87%0.82%1.88%-0.19%-0.27%-1.53%1.45%0.97%5.38%
2015-2.35%4.55%-1.84%0.85%1.06%-2.30%1.95%-5.60%-2.45%6.76%0.17%-1.82%-1.62%
2014-3.03%4.14%0.34%0.71%2.15%1.46%-1.27%3.68%-1.74%2.22%2.54%-0.83%10.58%
20134.02%1.18%2.80%1.95%1.90%-1.99%4.79%-2.89%2.68%4.10%2.65%1.77%25.20%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Momentum 60/40 portfolio is 53, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Momentum 60/40 portfolio is 5353
Momentum 60/40 portfolio
The Sharpe Ratio Rank of Momentum 60/40 portfolio is 5858Sharpe Ratio Rank
The Sortino Ratio Rank of Momentum 60/40 portfolio is 5959Sortino Ratio Rank
The Omega Ratio Rank of Momentum 60/40 portfolio is 5959Omega Ratio Rank
The Calmar Ratio Rank of Momentum 60/40 portfolio is 3535Calmar Ratio Rank
The Martin Ratio Rank of Momentum 60/40 portfolio is 5151Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Momentum 60/40 portfolio
Sharpe ratio
The chart of Sharpe ratio for Momentum 60/40 portfolio, currently valued at 1.72, compared to the broader market-1.000.001.002.003.004.001.72
Sortino ratio
The chart of Sortino ratio for Momentum 60/40 portfolio, currently valued at 2.46, compared to the broader market-2.000.002.004.006.002.46
Omega ratio
The chart of Omega ratio for Momentum 60/40 portfolio, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for Momentum 60/40 portfolio, currently valued at 1.06, compared to the broader market0.002.004.006.008.0010.001.06
Martin ratio
The chart of Martin ratio for Momentum 60/40 portfolio, currently valued at 5.97, compared to the broader market0.0010.0020.0030.0040.005.97
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
0.500.761.090.181.47
VOO
Vanguard S&P 500 ETF
1.992.801.351.937.76

Sharpe Ratio

The current Momentum 60/40 portfolio Sharpe ratio is 1.72. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.05, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Momentum 60/40 portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.72
1.82
Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.44%
-2.86%
Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Momentum 60/40 portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Momentum 60/40 portfolio was 29.36%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.

The current Momentum 60/40 portfolio drawdown is 2.44%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.36%Feb 20, 202023Mar 23, 2020109Aug 26, 2020132
-24.25%Jan 4, 2022195Oct 12, 2022333Feb 9, 2024528
-18.34%Sep 21, 201865Dec 24, 2018130Jul 2, 2019195
-13.66%May 2, 2011108Oct 3, 2011211Aug 3, 2012319
-11.27%May 22, 201566Aug 25, 2015234Jul 29, 2016300

Volatility

Volatility Chart

The current Momentum 60/40 portfolio volatility is 2.45%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.45%
2.76%
Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BNDVOO
BND1.00-0.11
VOO-0.111.00
The correlation results are calculated based on daily price changes starting from Mar 31, 2011