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%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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.

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

Returns By Period

As of Apr 3, 2026, the MSCI WORLD MOMENTUM returned -6.69% Year-To-Date and 26.95% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio MSCI WORLD MOMENTUM	-0.35%	-3.16%	-6.69%	-1.28%	24.98%	30.14%	29.88%	26.95%
Portfolio components:
NVDA NVIDIA Corporation	0.93%	-1.47%	-4.88%	-6.08%	60.69%	85.17%	66.71%	70.07%
META Meta Platforms, Inc.	-0.82%	-12.23%	-12.90%	-20.86%	-1.31%	39.54%	14.16%	17.80%
MSFT Microsoft Corporation	1.11%	-7.54%	-22.60%	-27.29%	-1.52%	10.00%	9.94%	22.58%
LLY Eli Lilly and Company	-1.98%	-7.16%	-12.80%	14.47%	15.19%	39.72%	39.64%	31.19%
AVGO Broadcom Inc.	0.34%	0.44%	-8.93%	-6.61%	84.26%	72.07%	48.84%	38.50%
XOM Exxon Mobil Corporation	-0.06%	5.84%	34.42%	46.62%	40.06%	15.29%	27.66%	11.56%
MRK Merck & Co., Inc.	0.02%	1.62%	15.68%	37.20%	44.64%	6.77%	13.97%	12.22%
GE General Electric Company	-3.94%	-15.73%	-8.59%	-5.86%	41.49%	54.57%	34.17%	7.77%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-0.32%	-7.85%	-27.87%	-13.83%	-10.71%	-14.55%	-2.62%	14.95%
NVO Novo Nordisk A/S	1.37%	4.40%	-24.78%	-34.84%	-43.28%	-20.60%	3.97%	5.03%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 21, 2012, MSCI WORLD MOMENTUM's average daily return is +0.10%, while the average monthly return is +2.05%. At this rate, your investment would double in approximately 2.8 years.

Historically, 70% of months were positive and 30% were negative. The best month was Nov 2020 with a return of +14.4%, while the worst month was Mar 2025 at -9.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, MSCI WORLD MOMENTUM closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +10.2%, while the worst single day was Mar 16, 2020 at -12.7%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.65%	-3.65%	-4.84%	0.11%									-6.69%
2025	3.65%	0.70%	-9.18%	-0.48%	8.58%	7.19%	0.44%	2.53%	3.72%	3.39%	4.65%	0.24%	27.19%
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%

Benchmark Metrics

MSCI WORLD MOMENTUM has an annualized alpha of 12.37%, beta of 1.04, and R² of 0.82 versus S&P 500 Index. Calculated based on daily prices since May 21, 2012.

This portfolio captured 136.59% of S&P 500 Index gains but only 72.49% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 12.37% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 1.04 and R² of 0.82, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.

Alpha: 12.37%

Beta: 1.04

R²: 0.82

Upside Capture: 136.59%

Downside Capture: 72.49%

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.

Return for Risk

Risk / Return Rank

MSCI WORLD MOMENTUM ranks 44 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.15	0.88	+0.26
Sortino ratio Return per unit of downside risk	1.75	1.37	+0.38
Omega ratio Gain probability vs. loss probability	1.25	1.21	+0.04
Calmar ratio Return relative to maximum drawdown	2.01	1.39	+0.62
Martin ratio Return relative to average drawdown	6.71	6.43	+0.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
NVDA NVIDIA Corporation	81	1.47	2.17	1.27	3.02	7.54
META Meta Platforms, Inc.	36	-0.03	0.25	1.03	-0.05	-0.12
MSFT Microsoft Corporation	35	-0.06	0.11	1.01	-0.05	-0.12
LLY Eli Lilly and Company	51	0.36	0.78	1.11	0.56	1.37
AVGO Broadcom Inc.	84	1.76	2.49	1.32	3.08	7.50
XOM Exxon Mobil Corporation	80	1.58	2.06	1.28	2.51	6.57
MRK Merck & Co., Inc.	82	1.55	2.20	1.28	2.89	7.69
GE General Electric Company	75	1.27	1.73	1.25	1.86	6.67
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	25	-0.32	-0.24	0.97	-0.32	-0.84
NVO Novo Nordisk A/S	11	-0.80	-0.97	0.87	-0.78	-1.35

Sharpe Ratio

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 Apr 3, 2026 (values are recalculated daily):

1-Year: 1.15
5-Year: 1.49
10-Year: 1.31
All Time: 1.37

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 0.98 to 1.66, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

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.

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Dividends

Dividend yield

MSCI WORLD MOMENTUM provided a 1.61% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.61%	1.44%	1.39%	1.26%	1.44%	1.60%	2.12%	2.21%	2.31%	2.25%	2.34%	3.10%
Portfolio components:
NVDA NVIDIA Corporation	0.02%	0.02%	0.03%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%
META Meta Platforms, Inc.	0.37%	0.32%	0.34%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MSFT Microsoft Corporation	0.93%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
LLY Eli Lilly and Company	0.67%	0.56%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%
AVGO Broadcom Inc.	0.79%	0.70%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%
XOM Exxon Mobil Corporation	2.51%	3.32%	3.57%	3.68%	3.22%	5.70%	8.44%	4.92%	4.74%	3.66%	3.30%	3.69%
MRK Merck & Co., Inc.	2.75%	3.12%	3.14%	2.72%	2.52%	3.41%	3.03%	2.48%	2.60%	3.36%	3.14%	3.43%
GE General Electric Company	0.55%	0.47%	0.67%	0.25%	0.38%	0.34%	0.37%	4.12%	4.89%	4.81%	2.94%	2.95%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	2.66%	1.92%	2.14%	1.65%	1.78%	0.99%	1.64%	1.49%	2.21%	2.67%	4.16%	12.95%
NVO Novo Nordisk A/S	4.87%	3.31%	1.68%	1.00%	1.20%	1.35%	1.87%	2.14%	1.45%	1.52%	2.87%	0.92%

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.

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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 9.22%.

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	43	Jun 10, 2025	94
-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 chart below shows the rolling one-month volatility.

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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 indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	Benchmark	XOM	MRK	NVO	LLY	GE	LVMUY	META	NVDA	AVGO	MSFT	Portfolio
Benchmark	1.00	0.46	0.38	0.38	0.41	0.54	0.55	0.56	0.61	0.64	0.71	0.85
XOM	0.46	1.00	0.27	0.12	0.19	0.38	0.27	0.15	0.18	0.23	0.21	0.42
MRK	0.38	0.27	1.00	0.33	0.46	0.20	0.23	0.16	0.10	0.15	0.23	0.41
NVO	0.38	0.12	0.33	1.00	0.39	0.16	0.32	0.25	0.23	0.25	0.31	0.51
LLY	0.41	0.19	0.46	0.39	1.00	0.22	0.22	0.24	0.22	0.24	0.30	0.51
GE	0.54	0.38	0.20	0.16	0.22	1.00	0.31	0.28	0.31	0.35	0.30	0.55
LVMUY	0.55	0.27	0.23	0.32	0.22	0.31	1.00	0.32	0.34	0.36	0.40	0.59
META	0.56	0.15	0.16	0.25	0.24	0.28	0.32	1.00	0.47	0.44	0.50	0.64
NVDA	0.61	0.18	0.10	0.23	0.22	0.31	0.34	0.47	1.00	0.59	0.56	0.70
AVGO	0.64	0.23	0.15	0.25	0.24	0.35	0.36	0.44	0.59	1.00	0.51	0.70
MSFT	0.71	0.21	0.23	0.31	0.30	0.30	0.40	0.50	0.56	0.51	1.00	0.69
Portfolio	0.85	0.42	0.41	0.51	0.51	0.55	0.59	0.64	0.70	0.70	0.69	1.00

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

MSCI WORLD MOMENTUM

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table