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

Momentum 60/40 portfolio

Last updated Apr 18, 2024

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 16.26%VOO 83.74%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF		Total Bond Market

16.26%

VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities

83.74%

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

-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
14.13%
16.40%
Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Returns By Period

As of Apr 18, 2024, the Momentum 60/40 portfolio returned 3.75% Year-To-Date and 7.73% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.29%-2.47%16.40%20.88%11.60%10.43%
Momentum 60/40 portfolio3.75%-2.53%14.12%16.13%8.33%7.73%
Portfolio components:
BND
Vanguard Total Bond Market ETF		-2.77%-1.15%5.55%-0.16%-0.02%1.23%
VOO
Vanguard S&P 500 ETF		5.65%-2.74%17.24%22.71%13.44%12.48%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20241.30%4.02%2.56%
2023-4.68%-2.10%8.26%3.94%

Expense Ratio

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

BND
Vanguard Total Bond Market ETF
0.50%1.00%1.50%2.00%0.03%
VOO
Vanguard S&P 500 ETF
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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 1.63, compared to the broader market-1.000.001.002.003.004.005.001.63
Sortino ratio
The chart of Sortino ratio for Momentum 60/40 portfolio, currently valued at 2.40, compared to the broader market-2.000.002.004.006.002.40
Omega ratio
The chart of Omega ratio for Momentum 60/40 portfolio, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for Momentum 60/40 portfolio, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.001.02
Martin ratio
The chart of Martin ratio for Momentum 60/40 portfolio, currently valued at 5.96, compared to the broader market0.0010.0020.0030.0040.005.96
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.79, compared to the broader market-1.000.001.002.003.004.005.001.79
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.61, compared to the broader market-2.000.002.004.006.002.61
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.36, compared to the broader market0.002.004.006.008.0010.001.36
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.21, compared to the broader market0.0010.0020.0030.0040.007.21
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF		-0.000.051.01-0.00-0.00
VOO
Vanguard S&P 500 ETF		1.942.821.341.678.16

Sharpe Ratio

The current Momentum 60/40 portfolio Sharpe ratio is 1.63. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.63

The Sharpe ratio of Momentum 60/40 portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.63
1.79
Momentum 60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Drawdowns

Drawdowns Chart

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

-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.04%
-4.42%
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 4.04%.

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 2.86%, 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%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.86%
3.35%
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
BND1.00-0.12
VOO-0.121.00