Momentum 60/40 portfolio
This momentum portfolio seeks to outperform the classical 60/40 stocks/bonds portfolio by reassessing asset allocation every month and giving more weight to the asset class that performed better. For example, if stocks showed better return than bonds in the past six months, their weight in the portfolio increases by +5% during the next rebalance, and bonds' weight is reduced by -5%. The portfolio is rebalanced on the last trading day of every month.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 20.3% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 79.7% |
Transactions
| Date | Type | Symbol | Quantity | Price |
|---|---|---|---|---|
| Oct 31, 2022 | Buy | Vanguard S&P 500 ETF | 20 | $354.95 |
| Oct 31, 2022 | Sell | Vanguard Total Bond Market ETF | 100 | $70.35 |
| Sep 30, 2022 | Sell | Vanguard S&P 500 ETF | 20 | $328.30 |
| Sep 30, 2022 | Buy | Vanguard Total Bond Market ETF | 120 | $71.33 |
| Aug 31, 2022 | Sell | Vanguard S&P 500 ETF | 30 | $363.15 |
| Aug 31, 2022 | Buy | Vanguard Total Bond Market ETF | 150 | $74.60 |
| Jul 29, 2022 | Buy | Vanguard S&P 500 ETF | 20 | $378.79 |
| Jul 29, 2022 | Sell | Vanguard Total Bond Market ETF | 130 | $76.90 |
| Jun 30, 2022 | Sell | Vanguard S&P 500 ETF | 20 | $346.88 |
| Jun 30, 2022 | Buy | Vanguard Total Bond Market ETF | 130 | $75.26 |
Performance
The chart shows the growth of $10,000 invested in Momentum 60/40 portfolio in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $22,940 for a total return of roughly 129.40%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly
Returns
As of Mar 21, 2023, the Momentum 60/40 portfolio returned 3.11% Year-To-Date and 7.47% of annualized return in the last 10 years.
| 1 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -3.13% | 2.92% | 2.02% | -11.46% | 7.79% | 9.86% |
| Momentum 60/40 portfolio | -2.15% | 3.11% | 1.36% | -11.72% | 5.31% | 7.47% |
| Portfolio components: | ||||||
| Returns over 1 year are annualized | ||||||
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Momentum 60/40 portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Momentum 60/40 portfolio is 29.36%, recorded on Mar 23, 2020. It took 109 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -29.36% | Feb 20, 2020 | 23 | Mar 23, 2020 | 109 | Aug 26, 2020 | 132 |
| -24.28% | Jan 4, 2022 | 195 | Oct 12, 2022 | — | — | — |
| -18.34% | Sep 21, 2018 | 65 | Dec 24, 2018 | 130 | Jul 2, 2019 | 195 |
| -13.66% | May 2, 2011 | 108 | Oct 3, 2011 | 211 | Aug 3, 2012 | 319 |
| -11.27% | May 22, 2015 | 66 | Aug 25, 2015 | 234 | Jul 29, 2016 | 300 |
| -9.36% | Jan 29, 2018 | 44 | Apr 2, 2018 | 102 | Aug 24, 2018 | 146 |
| -6.82% | Sep 19, 2014 | 20 | Oct 16, 2014 | 11 | Oct 31, 2014 | 31 |
| -6.37% | Sep 3, 2020 | 14 | Sep 23, 2020 | 35 | Nov 11, 2020 | 49 |
| -5.84% | May 22, 2013 | 23 | Jun 24, 2013 | 14 | Jul 15, 2013 | 37 |
| -5.75% | Sep 17, 2012 | 42 | Nov 15, 2012 | 42 | Jan 17, 2013 | 84 |
Volatility Chart
Current Momentum 60/40 portfolio volatility is 11.07%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.