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MSCI WORLD MOMENTUM

Last updated Sep 30, 2023

Asset Allocation


NVDA 10%META 10%MSFT 10%LLY 10%AVGO 10%XOM 10%MRK 10%GE 10%LVMUY 10%NVO 10%EquityEquity
PositionCategory/SectorWeight
NVDA
NVIDIA Corporation
Technology10%
META
Meta Platforms, Inc.
Communication Services10%
MSFT
Microsoft Corporation
Technology10%
LLY
Eli Lilly and Company
Healthcare10%
AVGO
Broadcom Inc.
Technology10%
XOM
Exxon Mobil Corporation
Energy10%
MRK
Merck & Co., Inc.
Healthcare10%
GE
General Electric Company
Industrials10%
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
Consumer Cyclical10%
NVO
Novo Nordisk A/S
Healthcare10%

Performance

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


0.00%5.00%10.00%15.00%20.00%25.00%MayJuneJulyAugustSeptember
19.74%
3.97%
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 30, 2023, the MSCI WORLD MOMENTUM returned 55.83% Year-To-Date and 26.33% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-4.87%4.35%11.68%19.59%7.97%9.75%
MSCI WORLD MOMENTUM-4.18%21.36%55.83%87.82%28.62%26.37%
NVDA
NVIDIA Corporation
-11.86%56.63%197.76%258.56%43.53%61.47%
META
Meta Platforms, Inc.
1.46%41.65%149.47%121.26%13.10%19.61%
MSFT
Microsoft Corporation
-3.66%9.99%32.56%36.88%23.65%27.29%
LLY
Eli Lilly and Company
-3.08%57.15%48.00%67.89%40.37%29.60%
AVGO
Broadcom Inc.
-9.51%30.87%51.23%92.03%31.72%38.03%
XOM
Exxon Mobil Corporation
5.75%9.04%9.24%39.15%12.15%7.70%
MRK
Merck & Co., Inc.
-4.89%-1.92%-5.30%22.81%11.97%11.79%
GE
General Electric Company
-3.35%15.81%69.48%129.60%9.25%-0.90%
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-10.73%-17.13%5.10%30.52%18.43%17.85%
NVO
Novo Nordisk A/S
-2.01%15.07%36.85%85.92%34.93%22.12%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
202312.14%6.30%6.09%7.03%1.55%3.33%

Sharpe Ratio

The current MSCI WORLD MOMENTUM Sharpe ratio is 4.21. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.004.21

The Sharpe ratio of MSCI WORLD MOMENTUM is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00MayJuneJulyAugustSeptember
4.21
0.89
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components

Dividend yield

MSCI WORLD MOMENTUM granted a 1.34% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
MSCI WORLD MOMENTUM1.34%1.51%1.73%2.40%2.17%2.89%2.66%2.92%3.83%2.91%4.35%4.66%
NVDA
NVIDIA Corporation
0.04%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.23%1.77%2.06%0.66%
META
Meta Platforms, Inc.
0.00%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
0.86%1.07%0.69%0.96%1.24%1.78%1.99%2.59%2.61%2.86%3.07%3.79%
LLY
Eli Lilly and Company
0.81%1.08%1.26%1.82%2.08%2.10%2.73%3.16%2.77%3.41%4.76%5.11%
AVGO
Broadcom Inc.
2.22%3.08%2.35%3.30%4.01%3.65%2.36%1.88%1.54%1.71%2.43%2.56%
XOM
Exxon Mobil Corporation
3.10%3.30%6.08%9.55%6.00%6.06%4.88%4.57%5.29%4.33%3.70%3.94%
MRK
Merck & Co., Inc.
2.84%2.58%3.59%3.31%2.80%3.01%4.00%3.86%4.34%4.08%4.67%5.78%
GE
General Electric Company
0.27%0.38%0.34%0.37%0.36%4.98%5.04%3.19%3.30%4.07%3.37%4.44%
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
1.67%1.79%1.02%1.71%1.59%2.39%1.75%2.38%14.86%3.10%2.89%2.75%
NVO
Novo Nordisk A/S
1.62%1.71%1.95%2.84%3.33%4.49%3.60%7.11%2.36%3.77%16.56%17.56%

Expense Ratio

The 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.


The portfolio doesn't hold funds that charge fees

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
NVDA
NVIDIA Corporation
4.40
META
Meta Platforms, Inc.
2.15
MSFT
Microsoft Corporation
1.05
LLY
Eli Lilly and Company
2.32
AVGO
Broadcom Inc.
2.48
XOM
Exxon Mobil Corporation
1.37
MRK
Merck & Co., Inc.
1.11
GE
General Electric Company
4.58
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
0.89
NVO
Novo Nordisk A/S
2.92

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

NVOXOMMRKLLYGEMETALVMUYNVDAAVGOMSFT
NVO1.000.150.360.370.150.260.330.240.260.32
XOM0.151.000.300.250.460.190.310.230.300.28
MRK0.360.301.000.510.240.200.260.150.230.30
LLY0.370.250.511.000.210.240.220.210.250.33
GE0.150.460.240.211.000.250.350.280.330.29
META0.260.190.200.240.251.000.330.470.430.49
LVMUY0.330.310.260.220.350.331.000.380.400.44
NVDA0.240.230.150.210.280.470.381.000.580.56
AVGO0.260.300.230.250.330.430.400.581.000.51
MSFT0.320.280.300.330.290.490.440.560.511.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptember
-4.91%
-10.60%
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the MSCI WORLD MOMENTUM. 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 MSCI WORLD MOMENTUM is 31.03%, recorded on Mar 23, 2020. It took 53 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.03%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-21.66%Dec 28, 2021188Sep 26, 202275Jan 12, 2023263
-20.14%Oct 4, 201856Dec 24, 201853Mar 13, 2019109
-11.95%Jan 29, 201844Apr 2, 201844Jun 4, 201888
-11.67%Aug 11, 201511Aug 25, 201537Oct 16, 201548

Volatility Chart

The current MSCI WORLD MOMENTUM volatility is 3.65%, 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.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptember
3.65%
3.17%
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components