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MSCI WORLD MOMENTUM

Last updated Mar 2, 2024

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
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%

S&P 500

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


500.00%1,000.00%1,500.00%2,000.00%OctoberNovemberDecember2024FebruaryMarch
1,870.28%
296.62%
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components

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

Returns

As of Mar 2, 2024, the MSCI WORLD MOMENTUM returned 25.77% Year-To-Date and 28.10% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
MSCI WORLD MOMENTUM25.77%10.37%36.11%86.44%37.81%28.14%
NVDA
NVIDIA Corporation
66.15%24.36%69.64%244.56%84.41%69.11%
META
Meta Platforms, Inc.
42.06%5.86%69.66%171.43%24.10%21.71%
MSFT
Microsoft Corporation
10.70%1.23%26.91%64.09%31.42%29.18%
LLY
Eli Lilly and Company
34.41%17.35%40.89%147.67%45.86%32.38%
AVGO
Broadcom Inc.
25.35%14.28%61.97%126.15%43.03%39.96%
XOM
Exxon Mobil Corporation
6.84%4.76%-5.04%-2.82%11.25%5.71%
MRK
Merck & Co., Inc.
16.46%0.44%17.22%22.11%13.71%12.23%
GE
General Electric Company
24.30%16.19%39.06%84.22%21.30%1.82%
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
13.22%9.31%11.05%7.24%23.51%21.20%
NVO
Novo Nordisk A/S
20.09%9.26%31.24%73.03%39.92%19.84%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20248.73%12.88%
20233.33%-4.12%-0.53%7.56%5.21%

Sharpe Ratio

The current MSCI WORLD MOMENTUM Sharpe ratio is 5.73. A Sharpe ratio of 3.0 or higher is considered excellent.

0.002.004.005.73

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 Ratio0.001.002.003.004.005.006.00OctoberNovemberDecember2024FebruaryMarch
5.73
2.44
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components

Dividend yield

MSCI WORLD MOMENTUM granted a 1.03% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
MSCI WORLD MOMENTUM1.03%1.16%1.32%1.46%1.94%1.62%2.16%2.00%1.86%3.01%2.03%2.11%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
META
Meta Platforms, Inc.
0.10%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
0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
LLY
Eli Lilly and Company
0.60%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
AVGO
Broadcom Inc.
1.36%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
XOM
Exxon Mobil Corporation
3.51%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%2.43%
MRK
Merck & Co., Inc.
2.33%2.72%2.52%3.41%3.03%2.48%2.60%3.36%3.14%3.42%3.11%3.45%
GE
General Electric Company
0.20%0.25%0.38%0.34%0.37%0.36%4.89%4.81%2.94%2.95%3.52%2.82%
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
1.46%1.65%1.78%0.99%1.64%1.49%2.21%1.59%2.11%12.92%2.38%2.17%
NVO
Novo Nordisk A/S
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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
^GSPC
S&P 500
2.44
MSCI WORLD MOMENTUM
5.73
NVDA
NVIDIA Corporation
5.65
META
Meta Platforms, Inc.
5.10
MSFT
Microsoft Corporation
3.10
LLY
Eli Lilly and Company
5.18
AVGO
Broadcom Inc.
4.19
XOM
Exxon Mobil Corporation
-0.05
MRK
Merck & Co., Inc.
1.24
GE
General Electric Company
3.97
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
0.37
NVO
Novo Nordisk A/S
2.42

Asset Correlations Table

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

XOMNVOMRKGELLYMETALVMUYNVDAAVGOMSFT
XOM1.000.150.290.450.240.190.300.210.290.26
NVO0.151.000.360.160.380.260.330.240.260.32
MRK0.290.361.000.240.500.200.260.150.220.29
GE0.450.160.241.000.220.260.350.290.330.29
LLY0.240.380.500.221.000.250.220.220.250.33
META0.190.260.200.260.251.000.330.470.430.50
LVMUY0.300.330.260.350.220.331.000.370.400.44
NVDA0.210.240.150.290.220.470.371.000.580.57
AVGO0.290.260.220.330.250.430.400.581.000.51
MSFT0.260.320.290.290.330.500.440.570.511.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.03%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-21.75%Dec 28, 2021188Sep 26, 202275Jan 12, 2023263
-20.14%Oct 4, 201856Dec 24, 201853Mar 13, 2019109
-12.06%Jan 29, 201844Apr 2, 201845Jun 5, 201889
-11.67%Aug 11, 201511Aug 25, 201537Oct 16, 201548

Volatility Chart

The current MSCI WORLD MOMENTUM volatility is 6.12%, 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%OctoberNovemberDecember2024FebruaryMarch
6.12%
3.47%
MSCI WORLD MOMENTUM
Benchmark (^GSPC)
Portfolio components
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