MSCI WORLD MOMENTUM
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AVGO Broadcom Inc. | Technology | 10% |
GE General Electric Company | Industrials | 10% |
LLY Eli Lilly and Company | Healthcare | 10% |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | Consumer Cyclical | 10% |
META Meta Platforms, Inc. | Communication Services | 10% |
MRK Merck & Co., Inc. | Healthcare | 10% |
MSFT Microsoft Corporation | Technology | 10% |
NVDA NVIDIA Corporation | Technology | 10% |
NVO Novo Nordisk A/S | Healthcare | 10% |
XOM Exxon Mobil Corporation | Energy | 10% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in MSCI WORLD MOMENTUM, 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
The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META
Returns By Period
As of Nov 14, 2024, the MSCI WORLD MOMENTUM returned 38.75% Year-To-Date and 28.18% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| MSCI WORLD MOMENTUM | 38.75% | -5.03% | 3.35% | 44.53% | 36.87% | 28.18% |
| Portfolio components: | ||||||
NVDA NVIDIA Corporation | 195.43% | 5.94% | 54.60% | 194.66% | 96.13% | 77.60% |
META Meta Platforms, Inc. | 64.35% | -1.76% | 20.68% | 72.98% | 24.49% | 22.79% |
MSFT Microsoft Corporation | 13.69% | 1.45% | 0.68% | 15.70% | 24.37% | 25.98% |
LLY Eli Lilly and Company | 39.94% | -12.66% | 3.29% | 33.55% | 50.32% | 30.77% |
AVGO Broadcom Inc. | 57.18% | -4.79% | 21.65% | 81.15% | 45.25% | 38.18% |
XOM Exxon Mobil Corporation | 24.61% | -2.10% | 3.26% | 19.46% | 17.33% | 6.97% |
MRK Merck & Co., Inc. | -7.92% | -10.20% | -24.28% | -1.04% | 7.21% | 9.02% |
GE General Electric Company | 81.10% | -4.71% | 12.65% | 97.26% | 26.78% | 5.45% |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | -24.65% | -13.06% | -29.18% | -19.81% | 8.08% | 16.80% |
NVO Novo Nordisk A/S | 4.48% | -10.74% | -20.31% | 8.96% | 32.32% | 19.49% |
Monthly Returns
The table below presents the monthly returns of MSCI WORLD MOMENTUM, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 8.73% | 12.93% | 5.75% | -1.81% | 5.08% | 5.55% | -4.22% | 4.96% | 0.64% | -4.37% | 38.75% | ||
| 2023 | 10.75% | 3.39% | 12.10% | 6.30% | 6.09% | 7.03% | 1.55% | 3.35% | -4.12% | -0.53% | 7.56% | 5.21% | 75.48% |
| 2022 | -3.56% | -4.05% | 5.71% | -7.39% | 2.84% | -7.95% | 8.44% | -5.78% | -9.04% | 8.39% | 13.20% | -1.77% | -3.94% |
| 2021 | 2.39% | 5.08% | 1.76% | 4.85% | 4.76% | 7.32% | 1.13% | 3.56% | -4.25% | 10.98% | -0.04% | 3.87% | 49.11% |
| 2020 | 0.27% | -6.24% | -7.07% | 9.46% | 5.37% | 3.87% | 0.14% | 8.42% | -2.25% | -2.97% | 14.39% | 5.60% | 30.17% |
| 2019 | 9.73% | 5.47% | 5.25% | 2.10% | -8.63% | 9.39% | -0.92% | -2.01% | 0.45% | 5.90% | 5.36% | 4.16% | 40.89% |
| 2018 | 4.91% | -5.54% | -2.67% | 3.54% | 5.38% | -1.32% | 2.76% | 2.93% | 0.45% | -8.39% | -1.71% | -3.93% | -4.56% |
| 2017 | 3.67% | 1.41% | 2.76% | 2.59% | 5.86% | -0.23% | 2.87% | 2.13% | 1.96% | 2.02% | 0.14% | -0.52% | 27.46% |
| 2016 | -3.06% | -1.48% | 7.51% | 0.00% | 4.46% | 0.41% | 6.42% | 0.33% | 0.41% | -1.87% | 2.66% | 5.07% | 22.23% |
| 2015 | -0.90% | 8.00% | -0.28% | 3.41% | 3.44% | -2.69% | 2.06% | -3.51% | 0.83% | 8.72% | 1.93% | 2.24% | 25.01% |
| 2014 | 1.40% | 9.40% | -0.67% | 1.96% | 1.65% | 1.67% | -1.96% | 5.54% | 0.33% | 0.41% | 3.35% | -1.41% | 23.32% |
| 2013 | 6.93% | -1.84% | 0.59% | 3.18% | 1.16% | -2.19% | 8.29% | 0.95% | 6.67% | 1.31% | 2.92% | 5.20% | 37.88% |
Expense Ratio
MSCI WORLD MOMENTUM has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of MSCI WORLD MOMENTUM is 45, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
NVDA NVIDIA Corporation | 3.76 | 3.84 | 1.49 | 7.20 | 22.69 |
META Meta Platforms, Inc. | 2.03 | 2.94 | 1.40 | 3.96 | 12.29 |
MSFT Microsoft Corporation | 0.80 | 1.14 | 1.15 | 1.01 | 2.47 |
LLY Eli Lilly and Company | 1.15 | 1.73 | 1.23 | 1.75 | 5.75 |
AVGO Broadcom Inc. | 1.77 | 2.42 | 1.31 | 3.21 | 9.79 |
XOM Exxon Mobil Corporation | 1.01 | 1.51 | 1.18 | 1.04 | 4.59 |
MRK Merck & Co., Inc. | -0.05 | 0.07 | 1.01 | -0.04 | -0.11 |
GE General Electric Company | 3.32 | 3.83 | 1.57 | 2.75 | 27.88 |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | -0.66 | -0.84 | 0.90 | -0.52 | -1.14 |
NVO Novo Nordisk A/S | 0.30 | 0.65 | 1.08 | 0.32 | 0.89 |
Dividends
Dividend yield
MSCI WORLD MOMENTUM provided a 1.31% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.31% | 1.26% | 1.44% | 1.60% | 2.12% | 1.84% | 2.41% | 2.20% | 2.24% | 3.13% | 2.22% | 2.26% |
| Portfolio components: | ||||||||||||
NVDA NVIDIA Corporation | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% | 1.94% |
META Meta Platforms, Inc. | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MSFT Microsoft Corporation | 0.71% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% | 2.59% |
LLY Eli Lilly and Company | 0.48% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
AVGO Broadcom Inc. | 1.21% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
XOM Exxon Mobil Corporation | 3.16% | 3.68% | 3.22% | 5.70% | 8.44% | 4.92% | 4.74% | 3.66% | 3.30% | 3.69% | 2.92% | 2.43% |
MRK Merck & Co., Inc. | 3.13% | 2.72% | 2.52% | 3.41% | 3.03% | 2.48% | 2.60% | 3.36% | 3.14% | 3.43% | 3.12% | 3.46% |
GE General Electric Company | 0.49% | 0.25% | 0.38% | 0.34% | 0.37% | 0.36% | 4.89% | 4.81% | 2.94% | 2.95% | 3.52% | 2.82% |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | 2.32% | 1.65% | 1.78% | 0.99% | 1.64% | 1.49% | 2.21% | 1.60% | 2.10% | 12.91% | 2.40% | 2.17% |
NVO Novo Nordisk A/S | 1.35% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% | 1.72% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the MSCI WORLD MOMENTUM. 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 MSCI WORLD MOMENTUM was 31.03%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.
The current MSCI WORLD MOMENTUM drawdown is 5.21%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.03% | Feb 20, 2020 | 23 | Mar 23, 2020 | 53 | Jun 8, 2020 | 76 |
| -21.71% | Dec 28, 2021 | 188 | Sep 26, 2022 | 75 | Jan 12, 2023 | 263 |
| -20.15% | Oct 4, 2018 | 56 | Dec 24, 2018 | 53 | Mar 13, 2019 | 109 |
| -12.91% | Jul 11, 2024 | 20 | Aug 7, 2024 | — | — | — |
| -12.04% | Jan 29, 2018 | 44 | Apr 2, 2018 | 44 | Jun 4, 2018 | 88 |
Volatility
Volatility Chart
The current MSCI WORLD MOMENTUM volatility is 4.20%, 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.
Diversification
Asset Correlations Table
| XOM | MRK | NVO | GE | LLY | META | LVMUY | NVDA | AVGO | MSFT | |
|---|---|---|---|---|---|---|---|---|---|---|
| XOM | 1.00 | 0.28 | 0.13 | 0.43 | 0.22 | 0.18 | 0.29 | 0.20 | 0.27 | 0.24 |
| MRK | 0.28 | 1.00 | 0.34 | 0.23 | 0.48 | 0.19 | 0.25 | 0.13 | 0.19 | 0.28 |
| NVO | 0.13 | 0.34 | 1.00 | 0.16 | 0.39 | 0.26 | 0.33 | 0.25 | 0.26 | 0.32 |
| GE | 0.43 | 0.23 | 0.16 | 1.00 | 0.22 | 0.26 | 0.34 | 0.30 | 0.34 | 0.29 |
| LLY | 0.22 | 0.48 | 0.39 | 0.22 | 1.00 | 0.25 | 0.21 | 0.23 | 0.26 | 0.32 |
| META | 0.18 | 0.19 | 0.26 | 0.26 | 0.25 | 1.00 | 0.32 | 0.47 | 0.43 | 0.50 |
| LVMUY | 0.29 | 0.25 | 0.33 | 0.34 | 0.21 | 0.32 | 1.00 | 0.36 | 0.38 | 0.43 |
| NVDA | 0.20 | 0.13 | 0.25 | 0.30 | 0.23 | 0.47 | 0.36 | 1.00 | 0.59 | 0.56 |
| AVGO | 0.27 | 0.19 | 0.26 | 0.34 | 0.26 | 0.43 | 0.38 | 0.59 | 1.00 | 0.51 |
| MSFT | 0.24 | 0.28 | 0.32 | 0.29 | 0.32 | 0.50 | 0.43 | 0.56 | 0.51 | 1.00 |