MSCI WORLD MOMENTUM
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
NVDA NVIDIA Corporation | Technology | 10% |
META Meta Platforms, Inc. | Communication Services | 10% |
MSFT Microsoft Corporation | Technology | 10% |
LLY Eli Lilly and Company | Healthcare | 10% |
AVGO Broadcom Inc. | Technology | 10% |
XOM Exxon Mobil Corporation | Energy | 10% |
MRK Merck & Co., Inc. | Healthcare | 10% |
GE General Electric Company | Industrials | 10% |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | Consumer Cyclical | 10% |
NVO Novo Nordisk A/S | Healthcare | 10% |
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
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 month | 6 months | Year-To-Date | 1 year | 5 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% |
| Portfolio components: | ||||||
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% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 12.14% | 6.30% | 6.09% | 7.03% | 1.55% | 3.33% |
Dividend yield
MSCI WORLD MOMENTUM granted a 1.34% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MSCI WORLD MOMENTUM | 1.34% | 1.51% | 1.73% | 2.40% | 2.17% | 2.89% | 2.66% | 2.92% | 3.83% | 2.91% | 4.35% | 4.66% |
| Portfolio components: | ||||||||||||
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.
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 | |
|---|---|---|---|---|---|
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
| NVO | XOM | MRK | LLY | GE | META | LVMUY | NVDA | AVGO | MSFT | |
|---|---|---|---|---|---|---|---|---|---|---|
| NVO | 1.00 | 0.15 | 0.36 | 0.37 | 0.15 | 0.26 | 0.33 | 0.24 | 0.26 | 0.32 |
| XOM | 0.15 | 1.00 | 0.30 | 0.25 | 0.46 | 0.19 | 0.31 | 0.23 | 0.30 | 0.28 |
| MRK | 0.36 | 0.30 | 1.00 | 0.51 | 0.24 | 0.20 | 0.26 | 0.15 | 0.23 | 0.30 |
| LLY | 0.37 | 0.25 | 0.51 | 1.00 | 0.21 | 0.24 | 0.22 | 0.21 | 0.25 | 0.33 |
| GE | 0.15 | 0.46 | 0.24 | 0.21 | 1.00 | 0.25 | 0.35 | 0.28 | 0.33 | 0.29 |
| META | 0.26 | 0.19 | 0.20 | 0.24 | 0.25 | 1.00 | 0.33 | 0.47 | 0.43 | 0.49 |
| LVMUY | 0.33 | 0.31 | 0.26 | 0.22 | 0.35 | 0.33 | 1.00 | 0.38 | 0.40 | 0.44 |
| NVDA | 0.24 | 0.23 | 0.15 | 0.21 | 0.28 | 0.47 | 0.38 | 1.00 | 0.58 | 0.56 |
| AVGO | 0.26 | 0.30 | 0.23 | 0.25 | 0.33 | 0.43 | 0.40 | 0.58 | 1.00 | 0.51 |
| MSFT | 0.32 | 0.28 | 0.30 | 0.33 | 0.29 | 0.49 | 0.44 | 0.56 | 0.51 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 2020 | 23 | Mar 23, 2020 | 53 | Jun 8, 2020 | 76 |
| -21.66% | Dec 28, 2021 | 188 | Sep 26, 2022 | 75 | Jan 12, 2023 | 263 |
| -20.14% | Oct 4, 2018 | 56 | Dec 24, 2018 | 53 | Mar 13, 2019 | 109 |
| -11.95% | Jan 29, 2018 | 44 | Apr 2, 2018 | 44 | Jun 4, 2018 | 88 |
| -11.67% | Aug 11, 2015 | 11 | Aug 25, 2015 | 37 | Oct 16, 2015 | 48 |
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.