MSCI WORLD MOMENTUM

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

MSCI WORLD MOMENTUM

Currency in USD · Last updated May 31, 2025

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%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

Loading data...

The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META

Returns By Period

As of May 31, 2025, the MSCI WORLD MOMENTUM returned 2.43% Year-To-Date and 26.60% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.51%	6.15%	-2.00%	12.92%	14.19%	10.85%
MSCI WORLD MOMENTUM	2.43%	8.58%	3.10%	5.71%	35.57%	26.60%
Portfolio components:
NVDA NVIDIA Corporation	0.63%	24.06%	-2.24%	22.32%	72.51%	74.01%
META Meta Platforms, Inc.	10.68%	17.94%	12.93%	39.14%	23.65%	23.25%
MSFT Microsoft Corporation	9.64%	16.68%	9.13%	11.87%	21.26%	27.46%
LLY Eli Lilly and Company	-4.09%	-17.77%	-6.90%	-8.88%	38.59%	27.48%
AVGO Broadcom Inc.	4.73%	25.77%	50.21%	79.63%	56.68%	36.05%
XOM Exxon Mobil Corporation	-3.16%	-2.26%	-11.69%	-7.13%	23.08%	6.42%
MRK Merck & Co., Inc.	-22.09%	-9.81%	-23.14%	-36.47%	3.07%	6.14%
GE General Electric Company	47.71%	22.02%	35.47%	50.76%	50.36%	8.05%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-15.49%	-1.39%	-11.15%	-29.83%	7.17%	13.57%
NVO Novo Nordisk A/S	-15.54%	7.60%	-31.97%	-45.09%	18.68%	11.78%

*Annualized

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%	8.58%								2.43%
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%	2.06%	-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%

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

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.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of MSCI WORLD MOMENTUM is 8, meaning it’s performing worse than 92% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
NVDA NVIDIA Corporation	0.38	0.84	1.11	0.51	1.24
META Meta Platforms, Inc.	1.07	1.54	1.20	1.04	3.13
MSFT Microsoft Corporation	0.47	0.62	1.08	0.33	0.73
LLY Eli Lilly and Company	-0.23	-0.04	0.99	-0.32	-0.59
AVGO Broadcom Inc.	1.27	1.91	1.25	1.79	4.93
XOM Exxon Mobil Corporation	-0.30	-0.30	0.96	-0.41	-0.88
MRK Merck & Co., Inc.	-1.32	-1.85	0.75	-0.86	-1.51
GE General Electric Company	1.50	1.82	1.28	2.19	6.96
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-0.84	-1.27	0.86	-0.69	-1.60
NVO Novo Nordisk A/S	-1.05	-1.51	0.81	-0.76	-1.34

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

MSCI WORLD MOMENTUM Sharpe ratios as of May 31, 2025 (values are recalculated daily):

1-Year: 0.24
5-Year: 1.71
10-Year: 1.27
All Time: 1.38

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.60 to 1.13, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of MSCI WORLD MOMENTUM compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

MSCI WORLD MOMENTUM provided a 1.60% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.60%	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	0.02%	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.	0.31%	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	0.70%	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	0.76%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.95%	2.46%	2.77%	2.37%	2.84%
AVGO Broadcom Inc.	0.92%	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	3.83%	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.	4.11%	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	0.49%	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	2.57%	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	2.25%	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.

Loading data...

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 3.77%.

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

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

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

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

	^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	0.64	0.73	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	0.13	0.21	0.42	0.29	0.17	0.19	0.26	0.24	0.44
NVO	0.38	0.34	0.13	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	0.64	0.18	0.26	0.26	0.26	0.35	0.38	0.44	0.59	1.00	0.52	0.71
MSFT	0.73	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

The correlation results are calculated based on daily price changes starting from May 21, 2012

Go to the full Correlations tool for more customization options

Performance Analysis

Risk Analysis

Optimization

Factor Model

MSCI WORLD MOMENTUM

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community