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 | 17.53% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 82.47% |
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 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
Returns
As of Nov 25, 2023, the Momentum 60/40 portfolio returned 14.81% Year-To-Date and 7.17% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| Momentum 60/40 portfolio | 14.81% | 9.35% | 6.35% | 9.98% | 7.91% | 7.15% |
| Portfolio components: | ||||||
BND Vanguard Total Bond Market ETF | 0.78% | 3.68% | -0.84% | 0.25% | 0.49% | 1.20% |
VOO Vanguard S&P 500 ETF | 20.50% | 9.03% | 9.26% | 15.02% | 13.53% | 11.80% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 1.34% | 0.11% | 4.82% | 2.62% | -1.50% | -4.68% | -2.10% |
Expense Ratio
Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 0.12 | ||||
VOO Vanguard S&P 500 ETF | 1.11 |
Asset Correlations Table
| BND | VOO | |
|---|---|---|
| BND | 1.00 | -0.13 |
| VOO | -0.13 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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.
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 |
Volatility Chart
The current Momentum 60/40 portfolio volatility is 3.02%, 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.