MSCI WORLD MOMENTUM
Asset Allocation
| Position | Category/Sector | Target 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 Every 3 months.
The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META
Returns By Period
As of May 9, 2025, the MSCI WORLD MOMENTUM returned -4.31% Year-To-Date and 26.29% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.70% | 13.67% | -5.18% | 9.18% | 14.14% | 10.43% |
| MSCI WORLD MOMENTUM | -4.31% | 14.04% | -6.71% | 0.82% | 35.16% | 26.29% |
| Portfolio components: | ||||||
NVDA NVIDIA Corporation | -12.59% | 21.88% | -21.15% | 29.85% | 72.35% | 72.94% |
META Meta Platforms, Inc. | 2.23% | 17.15% | 1.24% | 27.00% | 23.20% | 22.71% |
MSFT Microsoft Corporation | 4.16% | 23.58% | 3.41% | 7.55% | 19.98% | 26.84% |
LLY Eli Lilly and Company | -2.49% | 3.47% | -5.45% | -2.41% | 39.23% | 28.61% |
AVGO Broadcom Inc. | -10.11% | 33.16% | 13.68% | 58.68% | 53.93% | 36.25% |
XOM Exxon Mobil Corporation | -0.51% | 5.26% | -10.94% | -5.60% | 23.92% | 6.52% |
MRK Merck & Co., Inc. | -21.27% | -1.65% | -21.97% | -38.29% | 4.44% | 6.31% |
GE General Electric Company | 28.84% | 26.64% | 20.35% | 27.87% | 47.76% | 6.77% |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | -14.74% | 4.31% | -16.43% | -33.77% | 9.29% | 14.21% |
NVO Novo Nordisk A/S | -23.40% | 5.28% | -38.78% | -47.79% | 17.60% | 10.95% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.65% | 0.70% | -9.18% | -0.48% | 1.43% | -4.31% | |||||||
| 2024 | 8.73% | 12.93% | 5.75% | -1.81% | 5.08% | 5.55% | -4.22% | 4.96% | 0.64% | -4.37% | -0.03% | 0.65% | 37.68% |
| 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% | 5.26% | 2.10% | -8.63% | 9.39% | -0.92% | -2.01% | 0.45% | 5.90% | 5.36% | 4.16% | 40.89% |
| 2018 | 4.91% | -5.53% | -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% | 2.75% | 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% | 2.07% | -3.51% | 0.83% | 8.73% | 1.93% | 2.24% | 25.01% |
| 2014 | 1.40% | 9.40% | -0.66% | 1.96% | 1.65% | 1.67% | -1.96% | 5.54% | 0.33% | 0.41% | 3.36% | -1.41% | 23.32% |
Expense Ratio
MSCI WORLD MOMENTUM has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of MSCI WORLD MOMENTUM is 7, meaning it’s performing worse than 93% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | 0.51 | 1.02 | 1.13 | 0.74 | 1.85 |
META Meta Platforms, Inc. | 0.75 | 1.32 | 1.17 | 0.85 | 2.66 |
MSFT Microsoft Corporation | 0.30 | 0.57 | 1.07 | 0.29 | 0.63 |
LLY Eli Lilly and Company | -0.06 | 0.21 | 1.03 | -0.05 | -0.11 |
AVGO Broadcom Inc. | 0.94 | 1.71 | 1.23 | 1.47 | 4.08 |
XOM Exxon Mobil Corporation | -0.24 | -0.19 | 0.98 | -0.32 | -0.72 |
MRK Merck & Co., Inc. | -1.47 | -1.94 | 0.74 | -0.91 | -1.66 |
GE General Electric Company | 0.82 | 1.26 | 1.19 | 1.34 | 4.12 |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | -0.97 | -1.44 | 0.84 | -0.74 | -1.64 |
NVO Novo Nordisk A/S | -1.13 | -1.60 | 0.79 | -0.79 | -1.49 |
Dividends
Dividend yield
MSCI WORLD MOMENTUM provided a 1.62% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.62% | 1.39% | 1.26% | 1.44% | 1.60% | 2.12% | 1.84% | 2.41% | 2.20% | 2.24% | 3.13% | 2.22% |
| Portfolio components: | ||||||||||||
NVDA NVIDIA Corporation | 0.03% | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% |
META Meta Platforms, Inc. | 0.34% | 0.34% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MSFT Microsoft Corporation | 0.72% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% |
LLY Eli Lilly and Company | 0.72% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% | 2.84% |
AVGO Broadcom Inc. | 1.08% | 0.94% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% |
XOM Exxon Mobil Corporation | 3.66% | 3.57% | 3.68% | 3.22% | 5.70% | 8.44% | 4.92% | 4.74% | 3.66% | 3.30% | 3.69% | 2.92% |
MRK Merck & Co., Inc. | 4.07% | 3.14% | 2.72% | 2.52% | 3.41% | 3.03% | 2.48% | 2.60% | 3.36% | 3.14% | 3.43% | 3.12% |
GE General Electric Company | 0.56% | 0.67% | 0.25% | 0.38% | 0.34% | 0.37% | 0.36% | 4.89% | 4.81% | 2.94% | 2.95% | 3.52% |
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne | 2.55% | 2.14% | 1.65% | 1.78% | 0.99% | 1.64% | 1.49% | 2.21% | 1.60% | 2.10% | 12.91% | 2.40% |
NVO Novo Nordisk A/S | 2.49% | 1.68% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% |
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 10.11%.
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 |
| -21.18% | Jan 27, 2025 | 51 | Apr 8, 2025 | — | — | — |
| -20.15% | Oct 4, 2018 | 56 | Dec 24, 2018 | 53 | Mar 13, 2019 | 109 |
| -12.91% | Jul 11, 2024 | 20 | Aug 7, 2024 | 116 | Jan 24, 2025 | 136 |
Volatility
Volatility Chart
The current MSCI WORLD MOMENTUM volatility is 12.94%, 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
Diversification Metrics
Number of Effective Assets
The portfolio contains 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| ^GSPC | MRK | XOM | NVO | LLY | GE | LVMUY | META | NVDA | AVGO | MSFT | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.39 | 0.49 | 0.38 | 0.43 | 0.54 | 0.55 | 0.56 | 0.61 | 0.65 | 0.72 | 0.85 |
| MRK | 0.39 | 1.00 | 0.28 | 0.34 | 0.47 | 0.21 | 0.24 | 0.18 | 0.11 | 0.18 | 0.26 | 0.42 |
| XOM | 0.49 | 0.28 | 1.00 | 0.12 | 0.21 | 0.42 | 0.29 | 0.17 | 0.19 | 0.26 | 0.24 | 0.44 |
| NVO | 0.38 | 0.34 | 0.12 | 1.00 | 0.40 | 0.17 | 0.32 | 0.26 | 0.24 | 0.26 | 0.32 | 0.51 |
| LLY | 0.43 | 0.47 | 0.21 | 0.40 | 1.00 | 0.23 | 0.22 | 0.26 | 0.23 | 0.26 | 0.32 | 0.51 |
| GE | 0.54 | 0.21 | 0.42 | 0.17 | 0.23 | 1.00 | 0.33 | 0.27 | 0.31 | 0.35 | 0.30 | 0.55 |
| LVMUY | 0.55 | 0.24 | 0.29 | 0.32 | 0.22 | 0.33 | 1.00 | 0.32 | 0.35 | 0.38 | 0.42 | 0.59 |
| META | 0.56 | 0.18 | 0.17 | 0.26 | 0.26 | 0.27 | 0.32 | 1.00 | 0.48 | 0.44 | 0.50 | 0.65 |
| NVDA | 0.61 | 0.11 | 0.19 | 0.24 | 0.23 | 0.31 | 0.35 | 0.48 | 1.00 | 0.59 | 0.56 | 0.70 |
| AVGO | 0.65 | 0.18 | 0.26 | 0.26 | 0.26 | 0.35 | 0.38 | 0.44 | 0.59 | 1.00 | 0.52 | 0.71 |
| MSFT | 0.72 | 0.26 | 0.24 | 0.32 | 0.32 | 0.30 | 0.42 | 0.50 | 0.56 | 0.52 | 1.00 | 0.70 |
| Portfolio | 0.85 | 0.42 | 0.44 | 0.51 | 0.51 | 0.55 | 0.59 | 0.65 | 0.70 | 0.71 | 0.70 | 1.00 |