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Momentum 60/40 portfolio

Last updated Mar 21, 2023

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

BND 20.3%VOO 79.7%BondBondEquityEquity


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

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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

Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components


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 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Momentum 60/40 portfolio-2.15%3.11%1.36%-11.72%5.31%7.47%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Momentum 60/40 portfolio Sharpe ratio is -0.55. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.

Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Drawdowns Chart

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

Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

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.



To Bottom


To Recover



-29.36%Feb 20, 202023Mar 23, 2020109Aug 26, 2020132
-24.28%Jan 4, 2022195Oct 12, 2022
-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
-9.36%Jan 29, 201844Apr 2, 2018102Aug 24, 2018146
-6.82%Sep 19, 201420Oct 16, 201411Oct 31, 201431
-6.37%Sep 3, 202014Sep 23, 202035Nov 11, 202049
-5.84%May 22, 201323Jun 24, 201314Jul 15, 201337
-5.75%Sep 17, 201242Nov 15, 201242Jan 17, 201384

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.

Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components