Developed World ex-US Stocks Momentum Portfolio: ETF allocation and returns

Data Source: from August 2009 to March 2024 (~15 years)
Consolidated Returns as of 31 March 2024
Live Update: Apr 18 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.27%
1 Day
Apr 18 2024
4.87%
Current Month
April 2024

The Developed World ex-US Stocks Momentum Portfolio is a Very High Risk portfolio and can be implemented with 1 ETF.

It's exposed for 100% on the Stock Market.

In the last 10 Years, the Developed World ex-US Stocks Momentum Portfolio obtained a 5.68% compound annual return, with a 13.68% standard deviation.

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Asset Allocation and ETFs

The Developed World ex-US Stocks Momentum Portfolio has the following asset allocation:

100% Stocks
0% Fixed Income
0% Commodities

The Developed World ex-US Stocks Momentum Portfolio can be implemented with the following ETFs:

Weight
(%)		 Investment Themes (Orig.Currency) ETF
Ticker		 ETF
Currency		 ETF Name
100.00 Equity, EAFE, Large Cap (USD)
IMTM
USD iShares MSCI Intl Momentum Factor ETF

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of Mar 31, 2024

The Developed World ex-US Stocks Momentum Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Consolidated returns as of 31 March 2024
Live Update: Apr 18 2024
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  Chg (%) Return (%) Return (%) as of Mar 31, 2024
  1 Day Time ET(*) Apr 2024 1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US Stocks Momentum Portfolio -0.27 -4.87 5.32 25.94 24.32 9.51 5.68 6.89
US Inflation Adjusted return 4.92 23.95 20.14 5.11 2.76 4.20
Returns over 1 year are annualized | Available data source: since Aug 2009
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Mar 2024. Current inflation (annualized) is 1Y: 3.48% , 5Y: 4.19% , 10Y: 2.84%
Live update: World Markets and Indexes

In 2023, the Developed World ex-US Stocks Momentum Portfolio granted a 2.56% dividend yield. If you are interested in getting periodic income, please refer to the Developed World ex-US Stocks Momentum Portfolio: Dividend Yield page.

Capital Growth as of Mar 31, 2024

An investment of 1$, since April 2014, now would be worth 1.74$, with a total return of 73.68% (5.68% annualized).

The Inflation Adjusted Capital now would be 1.31$, with a net total return of 31.29% (2.76% annualized).
An investment of 1$, since August 2009, now would be worth 2.66$, with a total return of 165.81% (6.89% annualized).

The Inflation Adjusted Capital now would be 1.83$, with a net total return of 82.80% (4.20% annualized).
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Portfolio Metrics as of Mar 31, 2024

Metrics of Developed World ex-US Stocks Momentum Portfolio, updated as of 31 March 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
Swipe left to see all data
Metrics as of Mar 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~15Y)
Investment Return (%) 5.32 14.41 25.94 24.32 4.99 9.51 5.68 6.89
Infl. Adjusted Return (%) details 4.92 13.13 23.95 20.14 -0.60 5.11 2.76 4.20
US Inflation (%) 0.38 1.13 1.61 3.48 5.63 4.19 2.84 2.59
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y MAX
Deepest Drawdown Depth (%) -8.35 -28.57 -28.57 -28.57 -28.57
Start to Recovery (# months) details 5 28 28 28 28
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2021 11
Start to Bottom (# months) 3 11 11 11 11
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2024 02
Longest Drawdown Depth (%)
same as
deepest
same as
deepest
same as
deepest		 -16.18 -16.18
Start to Recovery (# months) details 35 35
Start (yyyy mm) 2023 08 2021 11 2021 11 2014 07 2014 07
Start to Bottom (# months) 3 11 11 20 20
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2016 02 2016 02
Bottom to End (# months) 2 17 17 15 15
End (yyyy mm) 2023 12 2024 02 2024 02 2017 05 2017 05
Longest negative period (# months) details 7 32 39 59 67
Period Start (yyyy mm) 2023 04 2021 04 2019 07 2017 11 2011 05
Period End (yyyy mm) 2023 10 2023 11 2022 09 2022 09 2016 11
Annualized Return (%) -4.71 -0.87 -0.43 -0.09 -0.19
Deepest Drawdown Depth (%) -9.22 -34.35 -34.35 -34.35 -34.35
Start to Recovery (# months) details 5 34* 34* 34* 34*
Start (yyyy mm) 2023 08 2021 06 2021 06 2021 06 2021 06
Start to Bottom (# months) 3 16 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 18 18 18 18
End (yyyy mm) 2023 12 - - - -
Longest Drawdown Depth (%)
same as
deepest
same as
deepest
same as
deepest		 -16.21 -16.57
Start to Recovery (# months) details 37 43
Start (yyyy mm) 2023 08 2021 06 2021 06 2014 07 2014 01
Start to Bottom (# months) 3 16 16 20 26
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2016 02 2016 02
Bottom to End (# months) 2 18 18 17 17
End (yyyy mm) 2023 12 - - 2017 07 2017 07
Longest negative period (# months) details 7 36* 52 103 137
Period Start (yyyy mm) 2023 04 2021 04 2019 07 2014 04 2011 05
Period End (yyyy mm) 2023 10 2024 03 2023 10 2022 10 2022 09
Annualized Return (%) -7.77 -0.60 -0.75 -0.33 -0.40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 13.96 16.58 16.05 13.68 15.25
Sharpe Ratio 1.37 0.15 0.48 0.33 0.19
Sortino Ratio 1.78 0.20 0.64 0.44 0.26
Ulcer Index 3.43 12.09 9.80 9.18 9.58
Ratio: Return / Standard Deviation 1.74 0.30 0.59 0.42 0.45
Ratio: Return / Deepest Drawdown 2.91 0.17 0.33 0.20 0.24
% Positive Months details 66% 58% 61% 58% 59%
Positive Months 8 21 37 70 105
Negative Months 4 15 23 50 71
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 5.68 8.72
Worst 10 Years Return (%) - Annualized 3.15
Best 10 Years Return (%) - Annualized 2.76 6.68
Worst 10 Years Return (%) - Annualized 0.35
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 43.71 17.48 11.76 5.68
Worst Rolling Return (%) - Annualized -25.04 -0.11 0.32
% Positive Periods 58% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 19.16 10.56
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.52
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 40.04 13.43 9.26 2.76
Worst Rolling Return (%) - Annualized -30.72 -5.00 -3.31
% Positive Periods 55% 71% 80% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 19.16 10.56
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.52
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Aug 2009 - Mar 2024)
Best Rolling Return (%) - Annualized 43.71 17.48 11.76 8.72
Worst Rolling Return (%) - Annualized -25.04 -3.59 -0.70 3.15
% Positive Periods 62% 92% 99% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 18.69 10.11
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.36
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 40.04 13.43 9.26 6.68
Worst Rolling Return (%) - Annualized -30.72 -5.00 -3.31 0.35
% Positive Periods 58% 75% 82% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 18.69 10.11
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.36
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 April 2014 - 31 March 2024 (10 Years)
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
Inflation Adjusted:
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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 April 2014 - 31 March 2024 (10 Years)
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the Developed World ex-US Stocks Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Developed World ex-US Stocks Momentum Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Developed World ex-US Stocks Momentum Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Monthly Returns Distribution
Data Source: 1 April 2014 - 31 March 2024 (10 Years)
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
70 Positive Months (58%) - 50 Negative Months (42%)
105 Positive Months (60%) - 71 Negative Months (40%)
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Investment Returns, up to January 2015, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • IMTM - iShares MSCI Intl Momentum Factor ETF (IMTM), up to January 2015

Portfolio efficiency

The following portfolios granted a higher return over 10 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 10 Years.

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The following portfolios share asset allocation strategy and/or similar asset weights.

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