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

Data Source: from August 2009 to November 2023 (~14 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
1.15%
1 Day
Dec 01 2023
1.15%
Current Month
December 2023

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 3.87% compound annual return, with a 13.63% standard deviation.

Table of contents

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

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 Nov 30, 2023

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.
DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 01 2023
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Nov 30, 2023
  1 Day Time ET(*) Dec 2023 1M 6M 1Y 5Y 10Y MAX
(~14Y)
Developed World ex-US Stocks Momentum Portfolio 1.15 1.15 7.95 6.43 8.31 6.93 3.87 5.80
US Inflation Adjusted return 7.95 5.20 4.80 2.75 1.02 3.20
Returns over 1 year are annualized | Available data source: since Aug 2009
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023. Waiting for updates, inflation of Nov 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.35% , 5Y: 4.07% , 10Y: 2.82%

In 2022, the Developed World ex-US Stocks Momentum Portfolio granted a 2.19% 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 Nov 30, 2023

An investment of 1$, since December 2013, now would be worth 1.46$, with a total return of 46.15% (3.87% annualized).

The Inflation Adjusted Capital now would be 1.11$, with a net total return of 10.71% (1.02% annualized).
An investment of 1$, since August 2009, now would be worth 2.24$, with a total return of 124.40% (5.80% annualized).

The Inflation Adjusted Capital now would be 1.57$, with a net total return of 57.07% (3.20% annualized).

Portfolio Metrics as of Nov 30, 2023

Metrics of Developed World ex-US Stocks Momentum Portfolio, updated as of 30 November 2023.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
DEVELOPED WORLD EX-US STOCKS MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
Swipe left to see all data
Metrics as of Nov 30, 2023
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~14Y)
Investment Return (%) 7.95 2.51 6.43 8.31 0.99 6.93 3.87 5.80
Infl. Adjusted Return (%) details 7.95 2.30 5.20 4.80 -4.49 2.75 1.02 3.20
US Inflation (%) 0.00 0.21 1.17 3.35 5.74 4.07 2.82 2.52
Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. 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 4* 25* 25* 25* 25*
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) 1 14 14 14 14
End (yyyy mm) - - - - -
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) 1 14 14 15 15
End (yyyy mm) - - - 2017 05 2017 05
Longest negative period (# months) details 9 35 39 61 67
Period Start (yyyy mm) 2023 02 2020 12 2019 07 2013 12 2011 05
Period End (yyyy mm) 2023 10 2023 10 2022 09 2018 12 2016 11
Annualized Return (%) -4.20 -1.60 -0.43 -0.30 -0.19
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -8.94 -34.28 -34.28 -34.28 -34.28
Start to Recovery (# months) details 4* 30* 30* 30* 30*
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) 1 14 14 14 14
End (yyyy mm) - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest
-17.09 -17.09
Start to Recovery (# months) details 43 43
Start (yyyy mm) 2023 08 2021 06 2021 06 2014 01 2014 01
Start to Bottom (# months) 3 16 16 26 26
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2016 02 2016 02
Bottom to End (# months) 1 14 14 17 17
End (yyyy mm) - - - 2017 07 2017 07
Longest negative period (# months) details 11 36* 52 107 139
Period Start (yyyy mm) 2022 12 2020 12 2019 07 2013 12 2011 03
Period End (yyyy mm) 2023 10 2023 11 2023 10 2022 10 2022 09
Annualized Return (%) -3.18 -4.49 -0.67 -0.50 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 13.92 16.18 16.23 13.63 15.29
Sharpe Ratio 0.25 -0.06 0.32 0.21 0.12
Sortino Ratio 0.37 -0.08 0.44 0.28 0.16
Ulcer Index 3.53 12.04 9.79 9.18 9.68
Ratio: Return / Standard Deviation 0.60 0.06 0.43 0.28 0.38
Ratio: Return / Deepest Drawdown 0.99 0.03 0.24 0.14 0.20
% Positive Months details 50% 55% 60% 56% 58%
Positive Months 6 20 36 68 101
Negative Months 6 16 24 52 71
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 3.87 8.72
Worst 10 Years Return (%) - Annualized 3.15
Best 10 Years Return (%) - Annualized 1.02 6.67
Worst 10 Years Return (%) - Annualized 0.34
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 43.71 17.48 11.76 3.87
Worst Rolling Return (%) - Annualized -25.04 -3.59 -0.70
% Positive Periods 55% 94% 98% 100%
Best Rolling Return (%) - Annualized 40.04 13.47 9.29 1.02
Worst Rolling Return (%) - Annualized -30.72 -4.82 -3.31
% Positive Periods 51% 71% 77% 100%
Over all the available data source (Aug 2009 - Nov 2023)
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 61% 92% 99% 100%
Best Rolling Return (%) - Annualized 40.04 13.47 9.29 6.67
Worst Rolling Return (%) - Annualized -30.72 -4.82 -3.31 0.34
% Positive Periods 57% 78% 83% 100%
WITHDRAWAL RATES (WR)
1Y 3Y 5Y 10Y MAX
Safe WR (%) 32.09 23.18 10.33 9.71
Perpetual WR (%) 0.00 2.67 1.01 3.10
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 original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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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 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-28.57% Nov 2021 Sep 2022 11 in progress 14 25 14.34
-19.22% Feb 2018 Dec 2018 11 Dec 2019 12 23 8.58
-16.18% Jul 2014 Feb 2016 20 May 2017 15 35 8.46
-15.97% Feb 2020 Mar 2020 2 Jun 2020 3 5 8.38
-5.15% Jan 2014 Jan 2014 1 Jun 2014 5 6 2.47
-3.90% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.96
-3.69% Sep 2021 Sep 2021 1 Oct 2021 1 2 2.13
-1.80% Jun 2021 Jun 2021 1 Aug 2021 2 3 0.96
-1.01% Jan 2021 Jan 2021 1 Apr 2021 3 4 0.54
-0.73% Nov 2017 Nov 2017 1 Jan 2018 2 3 0.37
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-34.28% Jun 2021 Sep 2022 16 in progress 14 30 19.14
-20.30% Feb 2018 Dec 2018 11 Jul 2020 19 30 10.06
-17.09% Jan 2014 Feb 2016 26 Jul 2017 17 43 9.06
-4.08% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.05
-1.79% Jan 2021 Mar 2021 3 Apr 2021 1 4 1.25
-0.73% Nov 2017 Nov 2017 1 Jan 2018 2 3 0.37
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-28.57% Nov 2021 Sep 2022 11 in progress 14 25 14.34
-26.91% May 2011 Sep 2011 5 Apr 2013 19 24 14.61
-19.22% Feb 2018 Dec 2018 11 Dec 2019 12 23 8.58
-16.18% Jul 2014 Feb 2016 20 May 2017 15 35 8.46
-15.97% Feb 2020 Mar 2020 2 Jun 2020 3 5 8.38
-14.08% Apr 2010 Jun 2010 3 Sep 2010 3 6 8.07
-7.18% Jan 2010 Jan 2010 1 Mar 2010 2 3 4.79
-6.52% May 2013 Jun 2013 2 Sep 2013 3 5 4.30
-5.15% Jan 2014 Jan 2014 1 Jun 2014 5 6 2.47
-3.90% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.96
-3.69% Sep 2021 Sep 2021 1 Oct 2021 1 2 2.13
-3.43% Nov 2010 Nov 2010 1 Dec 2010 1 2 1.98
-2.24% Oct 2009 Oct 2009 1 Nov 2009 1 2 1.29
-1.80% Jun 2021 Jun 2021 1 Aug 2021 2 3 0.96
-1.01% Jan 2021 Jan 2021 1 Apr 2021 3 4 0.54
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-34.28% Jun 2021 Sep 2022 16 in progress 14 30 19.14
-27.54% May 2011 Sep 2011 5 Apr 2013 19 24 15.71
-20.30% Feb 2018 Dec 2018 11 Jul 2020 19 30 10.06
-17.09% Jan 2014 Feb 2016 26 Jul 2017 17 43 9.06
-14.21% Apr 2010 Jun 2010 3 Sep 2010 3 6 8.21
-7.50% Jan 2010 Jan 2010 1 Mar 2010 2 3 5.02
-6.90% May 2013 Jun 2013 2 Sep 2013 3 5 4.61
-4.08% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.05
-3.47% Nov 2010 Nov 2010 1 Dec 2010 1 2 2.00
-2.33% Oct 2009 Oct 2009 1 Nov 2009 1 2 1.35
-1.79% Jan 2021 Mar 2021 3 Apr 2021 1 4 1.25
-1.10% Mar 2011 Mar 2011 1 Apr 2011 1 2 0.64
-0.73% Nov 2017 Nov 2017 1 Jan 2018 2 3 0.37
-0.19% Jan 2011 Jan 2011 1 Feb 2011 1 2 0.11

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 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -25.04 10/2021
09/2022
0.74$ -8.39 0.91$ 3.16 1.03$ 19.33 1.19$ 43.71 04/2020
03/2021
1.43$ 8.31 44.95%
2Y -8.07 11/2021
10/2023
0.84$ -3.79 0.92$ 2.97 1.06$ 14.11 1.30$ 23.33 01/2019
12/2020
1.52$ -2.20 34.02%
3Y -3.59 12/2013
11/2016
0.89$ 1.39 1.04$ 5.97 1.18$ 9.93 1.32$ 17.48 01/2019
12/2021
1.62$ 0.99 5.88%
5Y -0.70 01/2014
12/2018
0.96$ 1.97 1.10$ 4.51 1.24$ 10.44 1.64$ 11.76 01/2017
12/2021
1.74$ 6.93 1.64%
7Y 3.66 07/2015
06/2022
1.28$ 4.64 1.37$ 6.07 1.51$ 6.79 1.58$ 8.09 01/2015
12/2021
1.72$ 7.24 0.00%
10Y 3.87 12/2013
11/2023
1.46$ 3.87 1.46$ 3.87 1.46$ 3.87 1.46$ 3.87 12/2013
11/2023
1.46$ 3.87 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -30.72 10/2021
09/2022
0.69$ -10.90 0.89$ 0.82 1.00$ 15.83 1.15$ 40.04 04/2020
03/2021
1.40$ 4.80 48.62%
2Y -13.67 10/2020
09/2022
0.74$ -8.31 0.84$ 1.35 1.02$ 11.42 1.24$ 21.12 01/2019
12/2020
1.46$ -7.04 43.30%
3Y -4.82 10/2019
09/2022
0.86$ -1.39 0.95$ 3.87 1.12$ 7.25 1.23$ 13.47 01/2019
12/2021
1.46$ -4.49 28.24%
5Y -3.31 10/2017
09/2022
0.84$ -0.60 0.97$ 1.90 1.09$ 7.78 1.45$ 9.29 03/2016
02/2021
1.55$ 2.75 22.95%
7Y 0.50 07/2015
06/2022
1.03$ 1.69 1.12$ 3.23 1.24$ 4.60 1.37$ 5.47 01/2015
12/2021
1.45$ 3.58 0.00%
10Y 1.02 12/2013
11/2023
1.10$ 1.02 1.10$ 1.02 1.10$ 1.02 1.10$ 1.02 12/2013
11/2023
1.10$ 1.02 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -25.04 10/2021
09/2022
0.74$ -8.81 0.91$ 7.68 1.07$ 21.05 1.21$ 43.71 04/2020
03/2021
1.43$ 8.31 38.51%
2Y -8.07 11/2021
10/2023
0.84$ -3.30 0.93$ 3.70 1.07$ 15.32 1.32$ 23.33 01/2019
12/2020
1.52$ -2.20 25.50%
3Y -3.59 12/2013
11/2016
0.89$ 1.42 1.04$ 5.94 1.18$ 9.72 1.32$ 17.48 01/2019
12/2021
1.62$ 0.99 7.30%
5Y -0.70 01/2014
12/2018
0.96$ 1.98 1.10$ 5.14 1.28$ 8.91 1.53$ 11.76 01/2017
12/2021
1.74$ 6.93 0.88%
7Y 2.14 04/2013
03/2020
1.15$ 4.14 1.32$ 5.61 1.46$ 6.68 1.57$ 8.37 10/2011
09/2018
1.75$ 7.24 0.00%
10Y 3.15 11/2013
10/2023
1.36$ 4.35 1.53$ 5.60 1.72$ 6.96 1.96$ 8.72 10/2011
09/2021
2.30$ 3.87 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -30.72 10/2021
09/2022
0.69$ -11.06 0.88$ 5.08 1.05$ 18.04 1.18$ 40.04 04/2020
03/2021
1.40$ 4.80 42.24%
2Y -13.67 10/2020
09/2022
0.74$ -5.65 0.89$ 1.73 1.03$ 12.60 1.26$ 21.12 01/2019
12/2020
1.46$ -7.04 36.91%
3Y -4.82 10/2019
09/2022
0.86$ -0.90 0.97$ 3.87 1.12$ 7.64 1.24$ 13.47 01/2019
12/2021
1.46$ -4.49 21.90%
5Y -3.31 10/2017
09/2022
0.84$ -0.15 0.99$ 3.36 1.17$ 6.85 1.39$ 9.29 03/2016
02/2021
1.55$ 2.75 16.81%
7Y 0.50 07/2015
06/2022
1.03$ 2.08 1.15$ 3.48 1.27$ 4.57 1.36$ 6.73 10/2011
09/2018
1.57$ 3.58 0.00%
10Y 0.34 11/2013
10/2023
1.03$ 1.79 1.19$ 3.62 1.42$ 4.65 1.57$ 6.67 10/2011
09/2021
1.90$ 1.02 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.28
60%
-1.99
40%
-0.56
80%
1.57
80%
0.64
60%
1.25
60%
1.98
80%
-0.77
40%
-3.18
20%
1.81
60%
4.84
80%
1.16
60%
Best 6.8
2019
2.6
2019
2.4
2022
7.0
2020
6.7
2020
6.5
2019
5.0
2020
3.4
2020
0.4
2019
6.9
2022
10.3
2022
5.5
2020
Worst -5.7
2022
-7.0
2020
-9.7
2020
-8.0
2022
-4.7
2023
-8.5
2022
-1.3
2019
-4.5
2022
-8.8
2022
-3.7
2020
-4.6
2021
-5.8
2018
Monthly Seasonality over the period Sep 2009 - Nov 2023
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.87
60%
-0.76
50%
0.33
70%
1.52
80%
0.71
60%
0.89
70%
1.28
70%
-0.94
40%
-2.04
30%
0.12
50%
2.04
40%
0.71
60%
Best 6.8
2019
4.3
2014
4.9
2016
7.0
2020
6.7
2020
6.5
2019
5.0
2020
3.4
2020
3.5
2017
6.9
2022
10.3
2022
5.5
2020
Worst -5.7
2022
-7.0
2020
-9.7
2020
-8.0
2022
-4.7
2023
-8.5
2022
-2.8
2014
-6.2
2015
-8.8
2022
-9.8
2018
-4.6
2021
-5.8
2018
Monthly Seasonality over the period Sep 2009 - Nov 2023
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.66
64%
0.02
64%
1.10
71%
1.85
79%
-1.54
43%
0.82
57%
1.99
71%
-1.29
40%
-0.42
47%
1.04
60%
1.44
47%
1.26
64%
Best 6.8
2019
4.3
2014
8.8
2010
7.0
2020
6.7
2020
6.5
2019
11.2
2010
3.9
2009
12.4
2010
10.3
2011
10.3
2022
8.0
2010
Worst -7.2
2010
-7.0
2020
-9.7
2020
-8.0
2022
-11.7
2010
-8.5
2022
-2.8
2014
-10.0
2011
-13.8
2011
-9.8
2018
-4.6
2021
-5.8
2018
Monthly Seasonality over the period Sep 2009 - Nov 2023

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 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
68 Positive Months (57%) - 52 Negative Months (43%)
101 Positive Months (59%) - 71 Negative Months (41%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to January 2015, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, the series derived from equivalent datasets are:
  • IMTM - iShares MSCI Intl Momentum Factor ETF, 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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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Cape US Sector Value Robert Shiller +13.36 15.80 -21.00 100 0 0
US Stocks +11.16 15.49 -24.81 100 0 0
Warren Buffett Portfolio Warren Buffett +10.69 13.69 -23.08 90 10 0
Dedalo Three Dedalo Invest +10.15 15.23 -25.03 100 0 0
US Stocks Minimum Volatility +10.13 12.15 -19.06 100 0 0
US Stocks Equal Weight +9.71 16.46 -26.65 100 0 0
US Stocks Value +9.54 15.49 -26.06 100 0 0
US Stocks ESG +9.49 16.06 -27.79 100 0 0
Stocks/Bonds 80/20 Momentum +9.36 12.79 -27.23 80 20 0
Stocks/Bonds 80/20 +9.29 12.74 -22.75 80 20 0
Simple Path to Wealth JL Collins +8.81 12.07 -22.24 75 25 0
Dedalo Four Dedalo Invest +8.60 12.49 -22.61 80 20 0
Second Grader's Starter Paul Farrell +8.05 13.54 -24.21 90 10 0
Edge Select Aggressive Merrill Lynch +7.82 12.87 -23.81 84 16 0
Sheltered Sam 100/0 Bill Bernstein +7.75 14.79 -25.40 97 0 3
All Country World Stocks +7.75 14.88 -25.52 100 0 0
Stocks/Bonds 60/40 with Bitcoin +7.56 13.19 -22.56 59 39 2
Stocks/Bonds 60/40 Momentum +7.42 10.19 -24.21 60 40 0
Stocks/Bonds 60/40 +7.37 10.11 -20.69 60 40 0
Dedalo Eleven Dedalo Invest +7.32 12.43 -23.40 80 20 0
Core Four Rick Ferri +7.22 12.17 -23.46 80 20 0
Robo Advisor 100 Betterment +7.22 14.92 -24.17 100 0 0
Sheltered Sam 90/10 Bill Bernstein +7.14 13.34 -22.65 87.3 10 2.7
Four Funds Bogleheads +7.14 12.26 -23.20 80 20 0
Three Funds Bogleheads +7.10 12.21 -23.18 80 20 0
LifeStrategy Growth Fund Vanguard +7.00 12.17 -23.11 80 20 0
Aim Bold Strategy Aim Ways +6.91 9.41 -20.16 45 40 15
Edge Select Moderately Aggressive Merrill Lynch +6.90 11.11 -22.31 69 31 0
Robo Advisor 90 Betterment +6.75 13.78 -23.36 90.1 9.9 0
Late Thirties to Early Forties Burton Malkiel +6.72 12.82 -24.26 85 15 0
Mid-Twenties Burton Malkiel +6.71 13.05 -24.50 87 13 0
Perfect Portfolio Ben Stein +6.67 11.80 -18.62 80 20 0
All Country World 80/20 +6.63 12.41 -23.52 80 20 0
Jane Bryant Quinn Portfolio Jane Bryant Quinn +6.59 11.11 -22.74 70 30 0
Talmud Portfolio Roger Gibson +6.58 11.15 -22.88 66.7 33.3 0
Couch Potato Scott Burns +6.57 9.18 -19.77 50 50 0
Mid-Fifties Burton Malkiel +6.55 12.37 -24.05 80 20 0
Sheltered Sam 80/20 Bill Bernstein +6.51 11.91 -19.89 77.6 20 2.4
Stocks/Bonds 60/40 ESG +6.39 10.35 -22.44 60 40 0
Seven Value Scott Burns +6.32 11.79 -20.44 71.5 28.5 0
Late Sixties and Beyond Burton Malkiel +6.25 11.27 -22.44 71 29 0
Robo Advisor 80 Betterment +6.19 12.55 -22.63 80 20 0
No Brainer Portfolio Bill Bernstein +6.15 11.60 -19.76 75 25 0
Long Term Portfolio Ben Stein +6.14 11.88 -20.52 80 20 0
Yale Endowment David Swensen +6.07 11.30 -25.53 70 30 0
Robust Alpha Architect +6.04 11.21 -19.09 70 20 10
Ultimate Buy and Hold Strategy Paul Merriman +6.02 15.25 -27.54 100 0 0
Lazy Portfolio David Swensen +5.96 10.74 -22.43 70 30 0
Sheltered Sam 70/30 Bill Bernstein +5.88 10.51 -17.80 67.9 30 2.1
Six Ways from Sunday Scott Burns +5.78 11.50 -19.67 66.7 33.3 0
Margaritaville Scott Burns +5.74 10.70 -21.96 67 33 0
Edge Select Moderate Merrill Lynch +5.73 9.27 -20.56 53 47 0
LifeStrategy Moderate Growth Vanguard +5.71 9.67 -20.84 60 40 0
Tilt Toward Value Time Inc +5.66 9.73 -20.45 60 40 0
Stocks/Bonds 40/60 with Bitcoin +5.66 11.49 -22.55 39 59 2
Dimensional 2030 Retirement Income DFA +5.64 9.30 -20.34 55.9 44.1 0
Simple and Cheap Time Inc +5.58 9.66 -21.27 60 40 0
Golden Butterfly with Bitcoin +5.56 11.99 -23.09 40 40 20
Family Taxable Portfolio Ted Aronson +5.50 11.49 -23.76 70 30 0
One-Decision Portfolio Marvin Appel +5.48 8.80 -16.74 50 50 0
Andrew Tobias Portfolio Andrew Tobias +5.48 9.77 -18.85 66.7 33.3 0
All Country World 60/40 +5.48 10.05 -21.52 60 40 0
Stocks/Bonds 40/60 Momentum +5.44 7.77 -21.11 40 60 0
Marc Faber Portfolio Marc Faber +5.43 9.66 -19.93 50 25 25
Stocks/Bonds 40/60 +5.41 7.69 -18.63 40 60 0
Coffeehouse Bill Schultheis +5.35 10.11 -19.65 60 40 0
Gretchen Tai Portfolio Gretchen Tai +5.32 11.39 -23.59 70 30 0
Five Fold Scott Burns +5.31 9.81 -21.60 60 40 0
Golden Butterfly Tyler +5.29 8.22 -17.79 40 40 20
Dynamic 60/40 Income +5.24 9.11 -18.21 60 40 0
Sheltered Sam 60/40 Bill Bernstein +5.24 9.14 -16.49 58.2 40 1.8
Coward's Portfolio Bill Bernstein +5.17 9.04 -15.87 60 40 0
Nano Portfolio John Wasik +5.17 9.93 -22.12 60 40 0
Five Asset Roger Gibson +5.17 11.03 -19.30 60 20 20
Weird Portfolio Value Stock Geek +5.17 11.14 -24.18 60 20 20
Pinwheel +5.16 10.03 -19.49 65 25 10
Gone Fishin' Portfolio Alexander Green +5.11 11.25 -21.98 65 30 5
Permanent Portfolio with Bitcoin Harry Browne +5.08 11.38 -23.85 25 50 25
Aggressive Global Income +5.01 12.74 -23.84 80 20 0
All Weather Portfolio with Bitcoin Ray Dalio +4.98 12.05 -23.49 30 55 15
Ideal Index Frank Armstrong +4.92 10.34 -18.25 70 30 0
Desert Portfolio with Bitcoin Gyroscopic Investing +4.88 10.36 -23.13 30 60 10
Permanent Portfolio Harry Browne +4.86 7.22 -15.92 25 50 25
Four Square Scott Burns +4.84 8.53 -19.67 50 50 0
All Weather Portfolio Ray Dalio +4.74 8.16 -20.58 30 55 15
Big Rocks Portfolio Larry Swedroe +4.73 9.15 -15.71 60 40 0
Stocks/Bonds 40/60 ESG +4.71 7.77 -19.76 40 60 0
Sandwich Portfolio Bob Clyatt +4.71 8.36 -19.10 55 45 0
Simplified Permanent Portfolio +4.66 7.18 -16.43 25 50 25
Global Market Portfolio Credit Suisse +4.63 8.93 -23.10 45 55 0
Edge Select Moderately Conservative Merrill Lynch +4.63 7.40 -18.53 37 63 0
Sheltered Sam 50/50 Bill Bernstein +4.59 7.79 -15.17 48.5 50 1.5
Gold +4.57 14.20 -20.76 0 0 100
Desert Portfolio Gyroscopic Investing +4.54 5.74 -14.72 30 60 10
Robo Advisor 50 Betterment +4.52 9.07 -20.25 49.9 50.1 0
Ivy Portfolio Mebane Faber +4.48 11.53 -21.77 60 20 20
GAA Global Asset Allocation Mebane Faber +4.46 8.64 -20.65 40.5 49.5 10
Lifepath Fund iShares +4.43 7.55 -18.92 40.4 59.6 0
LifeStrategy Conservative Growth Vanguard +4.37 7.37 -18.57 40 60 0
Simple Money Portfolio Tim Maurer +4.32 9.31 -18.44 60 40 0
Dynamic 40/60 Income +4.28 7.75 -17.33 40 60 0
All Country World 40/60 +4.28 7.86 -19.52 40 60 0
Developed World ex-US Stocks +4.14 15.41 -28.08 100 0 0
Ultimate Buy&Hold FundAdvice +4.10 9.21 -18.44 60 40 0
Sheltered Sam 40/60 Bill Bernstein +3.93 6.49 -13.86 38.8 60 1.2
Developed World ex-US Stocks Momentum +3.87 13.63 -28.57 100 0 0

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

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5 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Developed World ex-US Stocks Momentum +6.93 16.23 -28.57 100 0 0
Developed World ex-US Stocks +6.03 18.66 -28.08 100 0 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 10 Years and Very High Risk categorization.

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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Technology +17.35 18.35 -32.58 100 0 0
US Stocks Momentum +11.25 15.49 -30.16 100 0 0
US Stocks +11.16 15.49 -24.81 100 0 0
Warren Buffett Portfolio Warren Buffett +10.69 13.69 -23.08 90 10 0
Dedalo Three Dedalo Invest +10.15 15.23 -25.03 100 0 0
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