Consolidated Returns as of 30 June 2024
Live Update: Jul 26 2024
Currency: USD
The Developed World ex-US Stocks Momentum Portfolio can be implemented with 1 ETF. This portfolio has a very high risk, meaning it can experience significant fluctuations in value. It is suitable for investors with a high risk tolerance who are seeking substantial returns and can withstand large drawdowns.
The asset allocation is the following: 100% on the Stock Market, 0% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 0% allocation to bonds, leading to its classification as very high risk.
As of June 2024, over the analyzed timeframe, the Developed World ex-US Stocks Momentum Portfolio obtained a 6.77% compound annual return, with a 15.21% standard deviation. It suffered a maximum drawdown of -28.57% that required 28 months to be recovered.
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Asset Allocation and ETFs
The Developed World ex-US Stocks Momentum Portfolio has the following asset allocation:
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The Developed World ex-US Stocks Momentum Portfolio can be implemented with the following ETFs:
| Weight (%) |
ETF Ticker |
ETF Currency |
ETF Name | Investment Themes (Orig.Currency) |
|---|---|---|---|---|
| 100.00 |
IMTM
|
USD | iShares MSCI Intl Momentum Factor ETF | Equity, EAFE, Large Cap (USD) |
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.
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Portfolio and ETF Returns as of Jun 30, 2024
The Developed World ex-US Stocks Momentum Portfolio guaranteed the following returns.
- no fees or capital gain taxes.
- the reinvestment of dividends.
| Chg (%) | Return (%) | Return (%) as of Jun 30, 2024 | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Jul 2024 | 1M | 6M | 1Y | 5Y | 10Y |
MAX
(~15Y) |
|||
| Developed World ex-US Stocks Momentum Portfolio | 1.50 | -0.13 | -0.64 | 14.32 | 19.31 | 8.31 | 5.36 | 6.77 | |||
| Returns over 1 year are annualized | |||||||||||
| (*) Eastern Time (ET - America/New York) | |||||||||||
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 Jun 30, 2024
The Inflation Adjusted Capital would be 1.28$, with a net total return of 27.68% (2.47% annualized).
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The Inflation Adjusted Capital would be 1.82$, with a net total return of 82.16% (4.10% annualized).
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Portfolio Metrics as of Jun 30, 2024
Metrics of Developed World ex-US Stocks Momentum Portfolio, updated as of 30 June 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.
These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.
- no fees or capital gain taxes.
- the reinvestment of dividends.
| Metrics as of Jun 30, 2024 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y |
MAX
(~15Y) |
|
| Investment Return (%) | -0.64 | -0.08 | 14.32 | 19.31 | 3.70 | 8.31 | 5.36 | 6.77 |
| US Inflation (%) | -0.06 | 0.26 | 1.40 | 2.98 | 4.97 | 4.17 | 2.81 | 2.56 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | MAX | ||
| Deepest Drawdown Depth (%) | -0.64 | -8.35 | -28.57 | -28.57 | -28.57 | -28.57 | ||
| Start to Recovery (# months) | 1* | 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 |
same |
same |
-16.18 | -16.18 | |||
| Start to Recovery (# months) | 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) | 4 | 30 | 39 | 59 | 67 | |||
| Period Start (yyyy mm) | 2023 07 | 2021 07 | 2019 07 | 2017 11 | 2011 05 | |||
| Period End (yyyy mm) | 2023 10 | 2023 12 | 2022 09 | 2022 09 | 2016 11 | |||
| Annualized Return (%) | -18.55 | -0.98 | -0.43 | -0.09 | -0.19 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||
| Deepest Drawdown Depth (%) | -6.08 | -9.22 | -33.55 | -34.35 | -34.35 | -34.35 | ||
| Start to Recovery (# months) | 37* | 5 | 34* | 37* | 37* | 37* | ||
| Start (yyyy mm) | 2023 08 | 2021 09 | 2021 06 | 2021 06 | 2021 06 | |||
| Start to Bottom (# months) | 3 | 13 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 2 | 21 | 21 | 21 | 21 | |||
| End (yyyy mm) | 2023 12 | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
-16.57 | |||
| Start to Recovery (# months) | 43 | |||||||
| Start (yyyy mm) | 2023 08 | 2021 09 | 2021 06 | 2021 06 | 2014 01 | |||
| Start to Bottom (# months) | 3 | 13 | 16 | 16 | 26 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2016 02 | |||
| Bottom to End (# months) | 2 | 21 | 21 | 21 | 17 | |||
| End (yyyy mm) | 2023 12 | - | - | - | 2017 07 | |||
| Longest negative period (# months) | 5 | 36* | 52 | 100 | 137 | |||
| Period Start (yyyy mm) | 2023 07 | 2021 07 | 2019 07 | 2014 07 | 2011 05 | |||
| Period End (yyyy mm) | 2023 11 | 2024 06 | 2023 10 | 2022 10 | 2022 09 | |||
| Annualized Return (%) | -1.20 | -1.20 | -0.75 | -0.63 | -0.40 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Standard Deviation (%) | 13.57 | 16.80 | 16.04 | 13.80 | 15.21 | |||
| Sharpe Ratio | 1.03 | 0.04 | 0.39 | 0.29 | 0.18 | |||
| Sortino Ratio | 1.42 | 0.06 | 0.53 | 0.39 | 0.25 | |||
| Ulcer Index | 3.38 | 12.10 | 9.81 | 9.18 | 9.50 | |||
| Ratio: Return / Standard Deviation | 1.42 | 0.22 | 0.52 | 0.39 | 0.44 | |||
| Ratio: Return / Deepest Drawdown | 2.31 | 0.13 | 0.29 | 0.19 | 0.24 | |||
| Positive Months (%) | 58.33 | 55.55 | 60.00 | 57.50 | 59.21 | |||
| Positive Months | 7 | 20 | 36 | 69 | 106 | |||
| Negative Months | 5 | 16 | 24 | 51 | 73 | |||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 5.36 | 8.72 | ||||||
| Worst 10 Years Return (%) - Annualized | 3.15 | |||||||
| Best 10 Years Return (%) - Annualized | 2.47 | 6.68 | ||||||
| Worst 10 Years Return (%) - Annualized | 0.35 | |||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | MAX |
| ··· As of Jun 2024 - Over the previous 10Y | ||||||||
| Best Rolling Return (%) - Annualized | 43.71 | 17.48 | 11.76 | 5.36 | ||||
| Worst Rolling Return (%) - Annualized | -25.04 | -0.11 | 0.32 | |||||
| Positive Periods (%) | 60.5 | 98.8 | 100.0 | 100.0 | ||||
| Best Rolling Return (%) - Annualized | 40.04 | 13.43 | 9.26 | 2.47 | ||||
| Worst Rolling Return (%) - Annualized | -30.72 | -5.00 | -3.31 | |||||
| Positive Periods (%) | 56.8 | 71.7 | 81.9 | 100.0 | ||||
| 95% VaR - Value at Risk (%) - Cumulative | 6.04 | 9.81 | 12.96 | |||||
| 95% CVaR - Conditional Value at Risk (%) | 7.69 | 12.67 | 17.01 | |||||
| 99% VaR - Value at Risk (%) - Cumulative | 8.75 | 14.51 | 19.61 | |||||
| 99% CVaR - Conditional Value at Risk (%) | 10.48 | 17.50 | 23.85 | |||||
| Short term VaRs: analytical | ||||||||
| Safe Withdrawal Rate (%) | 81.65 | 27.78 | 19.16 | 10.36 | ||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 2.25 | ||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | ||||||||
| ··· All available data (Aug 2009 - Jun 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 (%) | 63.0 | 93.0 | 99.1 | 100.0 | ||||
| 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 (%) | 59.5 | 74.3 | 83.3 | 100.0 | ||||
| 95% VaR - Value at Risk (%) - Cumulative | 6.58 | 10.58 | 13.83 | 15.77 | 1.67 | |||
| 95% CVaR - Conditional Value at Risk (%) | 8.40 | 13.73 | 18.29 | 20.05 | 6.33 | |||
| 99% VaR - Value at Risk (%) - Cumulative | 9.57 | 15.76 | 21.15 | 23.66 | 11.16 | |||
| 99% CVaR - Conditional Value at Risk (%) | 11.47 | 19.06 | 25.82 | 25.04 | 11.16 | |||
| Short term VaRs: analytical | 1+ year VaRs: historical data | ||||||||
| Safe Withdrawal Rate (%) | 81.65 | 27.78 | 18.69 | 10.11 | ||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 0.36 | ||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | ||||||||
- 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.
- Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
- Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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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.
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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.
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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. They are retrieved considering the data source from August 2009 to June 2024.
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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.
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You can find additional information on extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- 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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