No se ha encontrado

Nostradonkey💩 · 2024-06-19T06:45:01.055916Z

World vs. World Momentum Zahlen, Daten, Fakten (Stand 06/2024) Oftmals wird auf getquin oder von selbsternannten Finfluencern behauptet, die World Momentum Strategie würde einen Welt Index schlagen. Das Problem dabei: Die Behauptungen werden meistens nicht belegt. Und wenn sie "belegt" werden, dann wird in der Regel ein MSCI World ETF mit einem MSCI World Momentum ETF verglichen, den es erst seit 10 Jahren gibt. Und wie wir alle wissen, sind 10 Jahre an der Börse zu kurz für einen angemessenen Vergleich. Obwohl es so einfach wäre. Denn der MSCI World Momentum Index wurde bereits 1994 aufgelegt. Es gibt also schöne Vergleichswerte der letzten 30 Jahre, in denen sich der Index in vielen Boom und Crash Phasen (Dot Com Bubble, Finanzkrise, Corona) beweisen konnte. Und die werden von MSCI selbst auch noch fein säuberlich aufbereitet [1]. Hör auf zu labern, ich bin für die Zahlen hier! Na gut. Hier die durchschnittlichen jährlichen Renditen der letzten X Jahre vom MSCI World Index und MSCI World Momentum Index: 5 Jahre, World: 13,31%, Momentum: 13,73% 10 Jahre, World: 9,71%, Momentum: 12,26% 30 Jahre, World: 8,32%, Momentum: 11,26% Ich bin kacke in Mathe. Beeindrucke mich mit absoluten Zahlen! Hast du vor 30 Jahren 10.000 USD in den MSCI World investiert, sind heute daraus 109.966,28 USD geworden. Hättest du dich stattdessen für den MSCI World Momentum Index entschieden, hättest du jetzt 245.567,94 USD 😳. Mehr als doppelt so viel. Das ist in der Tat beeindruckend. Wo ist der Haken? Gigantisches Risiko? Der max drawdown beim World liegt in den letzten 30 Jahren bei 57,46%, der des Momentum bei 55,53%. Sharpe ratio ist beim World bei 0,43 und beim Momentum bei 0,59. Weitere Vergleichswerte findet ihr unter [1]. Und jetzt? Alles verkaufen und in den Momentum umschichten? Wie ihr wisst, sind historische Daten keine Garantie für zukünftige Wertentwicklungen. Zudem sind 30 Jahre zwar mehr als 10, aber dennoch ein relativ kurzer Vergleichszeitraum. Ich würde deshalb nicht zu 100% auf den World Momentum setzen. Trotz vorhandener Studien, die behaupten, dass die Momentum Strategie einen Welt Index auch in den letzten 80 Jahren geschlagen hätte. Sehr gut kann ich mir aber einen World Momentum ETF als Satellite oder sogar als Core mit Satelliten vorstellen. Und du? Quellen (das fact sheet wird permanent aktualisiert, dieser Beitrag nicht) [1] https://www.msci.com/www/fact-sheet/msci-world-momentum-index/010603830 Du willst wissen, wie sich der World Index im Vergleich zum World Quality Index schlägt? Dann schau hier vorbei https://getqu.in/HhbBYl/ Einen Vergleich mit dem MSCI World Value Index sowie ein Fazit für World vs Momentum vs Quality vs Value findest du hier: https://getqu.in/TD3OT2/ Der MSCI World Momentum Index wird bspw. von $XDEM nachgebildet.

Nostradonkey💩

@DonkeyInvestor

7Lun·

World vs. world momentum

Facts, figures and data (as at 06/2024)

It is often claimed on getquin or by self-proclaimed finfluencers that the World Momentum strategy would beat a world index. The problem with this is that the claims are usually not substantiated. And when they are "substantiated", they usually compare an MSCI World ETF with an MSCI World Momentum ETF that has only been around for 10 years. And as we all know, 10 years on the stock market is too short a period for an appropriate comparison.

Although it would be so easy.

After all, the MSCI World Momentum Index was launched back in 1994. So there are good comparative values for the last 30 years, during which the index has been able to prove itself in many boom and crash phases (dot com bubble, financial crisis, corona). And they are also neatly prepared by MSCI itself [1].

Stop talking, I'm here for the numbers!

All right. Here are the average annual returns of the MSCI World Index and MSCI World Momentum Index over the last X years:

5 years, World: 13.31%, Momentum: 13.73%

10 years, World: 9.71%, Momentum: 12.26%

30 years, World: 8.32%, Momentum: 11.26%

I suck at math. Impress me with absolute numbers!

If you invested USD 10,000 in the MSCI World 30 years ago, today it has become USD 109,966.28. If you had opted for the MSCI World Momentum Index instead, you would now have USD 245,567.94 😳. More than twice as much.

That is indeed impressive. What's the catch? Gigantic risk?

The max drawdown for the world over the last 30 years is 57.46%, that of momentum 55.53%. The Sharpe ratio is 0.43 for the World and 0.59 for Momentum. You can find further comparative values at [1].

And now? Sell everything and switch to momentum?

As you know, historical data is no guarantee of future performance. Moreover, although 30 years is more than 10, it is still a relatively short comparison period. I would therefore not bet 100% on the World Momentum. Despite existing studies that claim that the momentum strategy would have beaten a world index even over the last 80 years.

However, I can very well imagine a World Momentum ETF as a satellite or even as a core with satellites.

And you?

Sources (the fact sheet is constantly updated, this article is not)

[1] https://www.msci.com/www/fact-sheet/msci-world-momentum-index/010603830

Want to know how the World Index compares to the World Quality Index? Then take a look here https://getqu.in/HhbBYl/

A comparison with the MSCI World Value Index and a summary of World vs Momentum vs Quality vs Value can be found here: https://getqu.in/TD3OT2/

The MSCI World Momentum Index is tracked, for example, by $XDEM (+0,83 %) for example.

100

41 Comentarios

Stulle 🥪@Stullen-Portfolio

7Lun

Great!
Great content, great writing. 👏

Röhl and Kramer also addressed this in one of the last EchtgeldTV programs (along with other factors) -> also quite informative.

Greetings
🥪

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Stullen-Portfolio Do you have a link to it?

•

Stulle 🥪@Stullen-Portfolio

7Lun

@DonkeyInvestor

But of course: 😎✌️

https://open.spotify.com/episode/21rIFOjkXqINhuvD3UXg4q?si=yohLnBL3T428K70HN6FlYQ

Due to the many good graphics, however, the video is advantageous:
https://youtu.be/oAnGY0n8tDY?si=dsURgNhU9cqcL1am

•

Thetrendisyourfriend@Thetrendisyourfriend

7Lun

I will now sell everything and put it in the Momentum ;)

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Thetrendisyourfriend that's the way

••

Markus@financial_genius_20

7Lun

Always these pointless comparisons, there will always be some comparison in which his own preferred candidate or surprisingly the other (to push the "newcomer") performs better. Example: I compare the godlike super-duper-MCSI-World-ETF with the bäh-pfui-gruesomely-overpriced-Deka-GlobalChampions-Fonds.
Performance:
1 year: World: 22.10%, Deka: 25.21%
5 years: World: 87.6%, Deka: 90.69%
10 years: World: 208.26%, Deka: 212.33%
Vola 10 years: World: 13.78%, Deka: 13.43%
Sharpe 10 years: World: +0.85, Deka: +0.87
max Drawdown (5Y) : World -33%, Deka: -27.02%

According to all selected comparisons, the Deka is slightly more perfomant with less vola, less drawdown and better Sharpe. Interestingly, however, everyone adores the World ETF and a thousand pseudo-evidences from the world of statistics are unpacked again, because a real fund, even from a savings bank, must be worse. ETFs and funds are like shares: check, if convinced buy, leave. The constant comparison with possibly even better values and trading back and forth usually only costs time without added value.

•

Nostradonkey💩@DonkeyInvestor

7Lun

@financial_genius_20 okay, then just buy any fund 👍

•

Stulle 🥪@Stullen-Portfolio

7Lun

@financial_genius_20

...I didn't get the impression that the author of the post @DonkeyInvestor wanted to promote a preferred candidate 🤷‍♂️

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Stullen-Portfolio right. I'm actually Team All World 😅

•

KimVestor@KIV

7Lun

Deka Fond just under 4% front-end load and 1.44% TER unfortunately hurt the return extremely.

•

Alpalaka@Alpalaka

7Lun

Your text was really difficult for me to read, because I had to watch Patrick and Spongebob think and I was rooting for them. Tight box.

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Alpalaka what else would you expect from an alpaca

•

Uwe@SchlaubiSchlumpf

7Lun

This month I have started to move a little towards factors. Included in my etfs: 15% momentum, 15% quality, 15% value msci world. I find momentum very fascinating.
You just have to be aware of the risk that it is currently basing its growth heavily on tech. NVIDIA is much bigger than $IWDA;8.7% vs 4.93% to name one example. After all, it doesn't magically get bigger. If there is a sudden drop after such a rise, it will fall more sharply.

As a yield booster or in a factor strategy, I definitely think it's great!

•

Stulle 🥪@Stullen-Portfolio

7Lun

@SchlaubiSchlumpf
At least the Momentum ETF from iShares $IS3R is re-allocated every six months (May and November), so that Nvidia has also been changed from its recent level of around 9% to around 6%.

Greetings
🥪

•

Testo-Investor@Testo-Investor

7Lun

But if you now look at a short time horizon, outperformance is no longer discernible.... 3 year: 11.88 % / 11.10 $ ; 5 years: 13.89% / 13.38% ; But of course it becomes clearer and in the current year, if a trend lasts longer, then momentum can of course score points.... But if trends are short or not clear, then it looks different.

•

Epi@Epi

7Lun

Yes, and why should you still rely on the ACWI as a core? It is somehow taken for granted...

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Epi There is certainly no longer a strong reason. Smaller reasons could be
- 30 years is not a long enough view
- I believe in a resurrection of the EM and the demise of momentum
- ...

•

Epi@Epi

7Lun

@DonkeyInvestor Somehow these arguments are not just small. Momentum is the most stable factor of all, it has been around since the capital markets have existed.
And "I believe in the demise of momentum" is not a reason, but an expression of ignoring reasons. Hmm...

•

Stulle 🥪@Stullen-Portfolio

7Lun

I am of the opinion anyway that every ETF that is weighted by market capitalization also uses momentum, so to speak...just not as ultimate and "clearly noticeable" as those that have momentum in their name... 🤷‍♂️

•

Testo-Investor@Testo-Investor

7Lun

Very good article, but I was already aware of it because I've already seen the video about it from Timo :) Nevertheless, the overall figures are absolutely impressive. I'm going to open a position if the prices slip.... then it's a good time to get into the momentum. Currently it has already made + 31% this year, absolutely gigantic. I always ask myself how it will perform if the momentum is not clear.... i.e. currently tech, then it was pharma etc.... It always takes a few months to react to a trend!

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Testo-Investor hence the historical 30-year view. There was a lot of momentum 😁

•

user4bc66dd6f6e34d9f@user4bc66dd6f6e34d9f

7Lun

Wow, that's impressive! Then I'll probably save in this instead of my World in the future!

•

Don_Dividendo@Mexico2035

7Lun

$IS3R is my largest position in the portfolio and has four-digit monthly savings 👍

•

Trust4Finane_@Trust4Finance

7Lun

Not quite related to the topic but I'm completely new to my portfolio, will invest 95% in ETFs at the beginning, have chosen the S&P 500 USD with 300€ and the Core Msci Europe with 100€. Both have relatively low annual costs, would there be a case for investing in the Msci Momentum (presumably instead of the S&P)? It does have "high" annual costs.
I would be interested to know

••

Nostradonkey💩@DonkeyInvestor

7Lun

@tim_vgt If an ETF A generates 3% more per year than an ETF B, ETF A is still worthwhile even if the costs of ETF A are 2.9% higher than those of ETF B.

•

Trust4Finane_@Trust4Finance

7Lun

@DonkeyInvestor okay which is the case with Momentum if I see it right, which had almost double the growth in the year right? Meaning replacing S&P with Momentum would be a good option

••

Trust4Finane_@Trust4Finance

7Lun

Does momentum have a higher risk of falling than the S&P?

••

Nostradonkey💩@DonkeyInvestor

7Lun

@tim_vgt the average return of the S&P 500 over 30 years is around 10.5%, which is slightly below that of the World Momentum Index. How do you arrive at twice as much growth?

Otherwise, returns are not all that matters. The S&P500 pursues a completely different goal than the Momentum. Moreover, the S&P500 has been performing for over a century and is very consistent. Momentum has only been around for 30 years. What fits into your strategy?

•

Trust4Finane_@Trust4Finance

7Lun

@DonkeyInvestor the double was nonsense, I took the percentage increase from last year but that was not correct.

In principle, I would rather go for the constant variant, i.e. the S&P, which gives me a better feeling.

••

Nostradonkey💩@DonkeyInvestor

7Lun

@tim_vgt which of course also entails a gigantic USA risk 😜

•

Trust4Finane_@Trust4Finance

7Lun

@DonkeyInvestor that's right 😂

••

Floriano@FlorianoPerlini

7Lun

Colleague, please repeat World vs. Momentum vs. Quality vs. Value

••

Nostradonkey💩@DonkeyInvestor

7Lun

@FlorianoPerlini would be feasible, but they are not so hyped here. Let me think about it

••

Stulle 🥪@Stullen-Portfolio

7Lun

@FlorianoPerlini
Röhl and Kramer have done it:

https://m.youtube.com/watch?si=dsURgNhU9cqcL1am&v=oAnGY0n8tDY&feature=youtu.be

•

Nostradonkey💩@DonkeyInvestor

7Lun

@Stullen-Portfolio but not yet on getquin 😁

•

Usuario eliminado

7Lun

Comentario eliminado

Nostradonkey💩@DonkeyInvestor

7Lun

@FollowMe take a look at my profile, there are even more good posts 😁.

And the 🤣 for accidentally buying the Europe Momentum 😁

••

Usuario eliminado

7Lun

Comentario eliminado

Nostradonkey💩@DonkeyInvestor

7Lun

@FollowMe will switch my occupational pension scheme to Momentum. It doesn't matter to me whether it's distributing or not. In my normal portfolio, I'll first fill up $HMEF and $HMWO and then there may be a distributing Momentum.

••

Usuario eliminado

6Lun

Comentario eliminado

Mostrar respuesta