Data Source: from January 1982 to November 2023 (~42 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.60%
1 Day
Dec 01 2023
0.60%
Current Month
December 2023
The Stocks/Bonds 40/60 Momentum Portfolio is a Medium Risk portfolio and can be implemented with 2 ETFs.
It's exposed for 40% on the Stock Market.
In the last 30 Years, the Stocks/Bonds 40/60 Momentum Portfolio obtained a 7.75% compound annual return, with a 6.99% standard deviation.
Table of contents
Asset Allocation and ETFs
The Stocks/Bonds 40/60 Momentum Portfolio has the following asset allocation:
40% Stocks
60% Fixed Income
0% Commodities
The Stocks/Bonds 40/60 Momentum Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 40.00 |
MTUM
|
USD | iShares Edge MSCI USA Momentum Fctr | Equity, U.S., Large Cap, Growth |
| 60.00 |
BND
|
USD | Vanguard Total Bond Market | Bond, U.S., All-Term |
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 Stocks/Bonds 40/60 Momentum Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
STOCKS/BONDS 40/60 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 | 30Y |
MAX
(~42Y) |
|||
| Stocks/Bonds 40/60 Momentum Portfolio | 0.60 | 0.60 | 6.39 | 3.99 | 0.67 | 3.80 | 5.44 | 7.75 | 9.56 | |||
| US Inflation Adjusted return | 6.39 | 2.79 | -2.59 | -0.26 | 2.55 | 5.10 | 6.50 | |||||
| Components | ||||||||||||
|
MTUM
|
USD | iShares Edge MSCI USA Momentum Fctr | 0.27 | Dec 01 2023 | 0.27 | 9.23 | 11.55 | 0.11 | 8.09 | 11.25 | 12.01 | 13.29 |
|
BND
|
USD | Vanguard Total Bond Market | 0.82 | Dec 01 2023 | 0.82 | 4.54 | -0.60 | 0.97 | 0.72 | 1.33 | 4.12 | 6.43 |
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) 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%
, 30Y: 2.52%
Live update: World Markets and Indexes
In 2022, the Stocks/Bonds 40/60 Momentum Portfolio granted a 1.92% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 40/60 Momentum Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993,
now would be worth 9.39$, with a total return of 839.07% (7.75% annualized).
The Inflation Adjusted Capital now would be 4.45$, with a net total return of 345.01% (5.10% annualized).
The Inflation Adjusted Capital now would be 4.45$, with a net total return of 345.01% (5.10% annualized).
An investment of 1$, since January 1982,
now would be worth 45.88$, with a total return of 4487.77% (9.56% annualized).
The Inflation Adjusted Capital now would be 14.02$, with a net total return of 1301.66% (6.50% annualized).
The Inflation Adjusted Capital now would be 14.02$, with a net total return of 1301.66% (6.50% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of Stocks/Bonds 40/60 Momentum Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
STOCKS/BONDS 40/60 MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~42Y) |
|
| Investment Return (%) | 6.39 | 1.15 | 3.99 | 0.67 | -2.64 | 3.80 | 5.44 | 6.28 | 7.75 | 9.56 |
| Infl. Adjusted Return (%) details | 6.39 | 0.94 | 2.79 | -2.59 | -7.92 | -0.26 | 2.55 | 3.59 | 5.10 | 6.50 |
| US Inflation (%) | 0.00 | 0.21 | 1.17 | 3.35 | 5.74 | 4.07 | 2.82 | 2.59 | 2.52 | 2.87 |
| 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 | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -5.38 | -21.11 | -21.11 | -21.11 | -21.11 | -21.11 | -21.11 | |||
| Start to Recovery (# months) details | 12 | 25* | 25* | 25* | 25* | 25* | 25* | |||
| Start (yyyy mm) | 2022 12 | 2021 11 | 2021 11 | 2021 11 | 2021 11 | 2021 11 | 2021 11 | |||
| Start to Bottom (# months) | 11 | 11 | 11 | 11 | 11 | 11 | 11 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 14 | 14 | 14 | |||
| End (yyyy mm) | 2023 11 | - | - | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
-20.54 | -20.54 | -20.54 | |||
| Start to Recovery (# months) details | 30 | 30 | 30 | |||||||
| Start (yyyy mm) | 2022 12 | 2021 11 | 2021 11 | 2021 11 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 11 | 11 | 11 | 11 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 14 | 14 | 14 | |||
| End (yyyy mm) | 2023 11 | - | - | - | 2010 04 | 2010 04 | 2010 04 | |||
| Longest negative period (# months) details | 11 | 36* | 46 | 46 | 46 | 46 | 46 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2020 01 | 2020 01 | 2020 01 | 2020 01 | 2020 01 | |||
| Period End (yyyy mm) | 2023 10 | 2023 11 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | |||
| Annualized Return (%) | -5.86 | -2.64 | -0.12 | -0.12 | -0.12 | -0.12 | -0.12 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -8.44 | -27.84 | -27.84 | -27.84 | -27.84 | -27.84 | -27.84 | |||
| Start to Recovery (# months) details | 12* | 25* | 25* | 25* | 25* | 25* | 25* | |||
| Start (yyyy mm) | 2022 12 | 2021 11 | 2021 11 | 2021 11 | 2021 11 | 2021 11 | 2021 11 | |||
| Start to Bottom (# months) | 11 | 24 | 24 | 24 | 24 | 24 | 24 | |||
| Bottom (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | |||
| Bottom to End (# months) | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
| End (yyyy mm) | - | - | - | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
-21.76 | -12.46 | -12.46 | |||
| Start to Recovery (# months) details | 38 | 40 | 40 | |||||||
| Start (yyyy mm) | 2022 12 | 2021 11 | 2021 11 | 2021 11 | 2007 11 | 2000 09 | 2000 09 | |||
| Start to Bottom (# months) | 11 | 24 | 24 | 24 | 16 | 25 | 25 | |||
| Bottom (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2009 02 | 2002 09 | 2002 09 | |||
| Bottom to End (# months) | 1 | 1 | 1 | 1 | 22 | 15 | 15 | |||
| End (yyyy mm) | - | - | - | - | 2010 12 | 2003 12 | 2003 12 | |||
| Longest negative period (# months) details | 12* | 36* | 60* | 77 | 77 | 102 | 102 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2018 12 | 2017 06 | 2017 06 | 2000 09 | 2000 09 | |||
| Period End (yyyy mm) | 2023 11 | 2023 11 | 2023 11 | 2023 10 | 2023 10 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -2.59 | -7.92 | -0.26 | -0.20 | -0.20 | -0.12 | -0.12 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 9.56 | 9.92 | 9.72 | 7.77 | 7.06 | 6.99 | 7.43 | |||
| Sharpe Ratio | -0.44 | -0.46 | 0.22 | 0.57 | 0.71 | 0.79 | 0.75 | |||
| Sortino Ratio | -0.68 | -0.64 | 0.30 | 0.75 | 0.91 | 1.04 | 1.01 | |||
| Ulcer Index | 2.43 | 12.59 | 9.87 | 7.09 | 6.06 | 5.21 | 4.65 | |||
| Ratio: Return / Standard Deviation | 0.07 | -0.27 | 0.39 | 0.70 | 0.89 | 1.11 | 1.29 | |||
| Ratio: Return / Deepest Drawdown | 0.12 | -0.12 | 0.18 | 0.26 | 0.30 | 0.37 | 0.45 | |||
| % Positive Months details | 50% | 50% | 60% | 62% | 65% | 66% | 68% | |||
| Positive Months | 6 | 18 | 36 | 75 | 157 | 241 | 344 | |||
| Negative Months | 6 | 18 | 24 | 45 | 83 | 119 | 159 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 5.44 | 9.65 | 12.17 | 15.39 | ||||||
| Worst 10 Years Return (%) - Annualized | 4.92 | 3.94 | 3.94 | |||||||
| Best 10 Years Return (%) - Annualized | 2.55 | 7.75 | 9.51 | 11.89 | ||||||
| Worst 10 Years Return (%) - Annualized | 2.07 | 1.33 | 1.33 | |||||||
|
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 29.26 | 21.06 | 20.43 | 12.17 | 9.59 | 7.75 | ||||
| Worst Rolling Return (%) - Annualized | -18.20 | -3.20 | 1.79 | 3.94 | 5.98 | |||||
| % Positive Periods | 83% | 96% | 100% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 27.51 | 18.66 | 17.64 | 9.51 | 7.12 | 5.10 | ||||
| Worst Rolling Return (%) - Annualized | -24.40 | -8.46 | -1.94 | 1.33 | 3.32 | |||||
| % Positive Periods | 78% | 83% | 94% | 100% | 100% | 100% | ||||
| Over all the available data source (Jan 1982 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 40.48 | 23.14 | 20.66 | 15.39 | 13.50 | 11.14 | ||||
| Worst Rolling Return (%) - Annualized | -18.20 | -3.20 | 1.79 | 3.94 | 5.98 | 7.50 | ||||
| % Positive Periods | 84% | 97% | 100% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 36.95 | 19.54 | 17.64 | 11.89 | 9.95 | 7.90 | ||||
| Worst Rolling Return (%) - Annualized | -24.40 | -8.46 | -1.94 | 1.33 | 3.32 | 4.85 | ||||
| % Positive Periods | 78% | 88% | 96% | 100% | 100% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 30.64 | 22.17 | 12.70 | 7.49 | 7.85 | 10.44 | ||||
| Perpetual WR (%) | 0.00 | 0.00 | 2.49 | 3.47 | 4.85 | 6.10 | ||||
- 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).
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
| Asset |
MTUM
|
BND
|
|---|---|---|
|
MTUM
|
-
|
0.66
|
|
BND
|
0.66
|
-
|
| Asset |
MTUM
|
BND
|
|---|---|---|
|
MTUM
|
-
|
0.46
|
|
BND
|
0.46
|
-
|
| Asset |
MTUM
|
BND
|
|---|---|---|
|
MTUM
|
-
|
0.38
|
|
BND
|
0.38
|
-
|
| Asset |
MTUM
|
BND
|
|---|---|---|
|
MTUM
|
-
|
0.18
|
|
BND
|
0.18
|
-
|
| Asset |
MTUM
|
BND
|
|---|---|---|
|
MTUM
|
-
|
0.24
|
|
BND
|
0.24
|
-
|
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
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.
STOCKS/BONDS 40/60 MOMENTUM PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -21.11% | Nov 2021 | Sep 2022 | 11 | in progress | 14 | 25 | 15.00 |
| -20.54% | Nov 2007 | Feb 2009 | 16 | Apr 2010 | 14 | 30 | 9.31 |
| -8.48% | Feb 2001 | Sep 2002 | 20 | May 2003 | 8 | 28 | 4.78 |
| -7.10% | Feb 2020 | Mar 2020 | 2 | May 2020 | 2 | 4 | 3.36 |
| -5.91% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 | 3.86 |
| -5.89% | Oct 2018 | Dec 2018 | 3 | Mar 2019 | 3 | 6 | 3.46 |
| -4.13% | Aug 1998 | Aug 1998 | 1 | Oct 1998 | 2 | 3 | 2.07 |
| -3.77% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.07 |
| -3.62% | Jun 2011 | Sep 2011 | 4 | Oct 2011 | 1 | 5 | 1.65 |
| -3.61% | Aug 2016 | Nov 2016 | 4 | Feb 2017 | 3 | 7 | 1.91 |
| -3.48% | May 2010 | Jun 2010 | 2 | Sep 2010 | 3 | 5 | 1.81 |
| -3.33% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 1.92 |
| -2.95% | Aug 2015 | Sep 2015 | 2 | Mar 2016 | 6 | 8 | 1.42 |
| -2.69% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 | 1.55 |
| -2.55% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 | 1.34 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -27.84% | Nov 2021 | Oct 2023 | 24 | in progress | 1 | 25 | 20.87 |
| -21.76% | Nov 2007 | Feb 2009 | 16 | Dec 2010 | 22 | 38 | 10.23 |
| -12.46% | Sep 2000 | Sep 2002 | 25 | Dec 2003 | 15 | 40 | 6.93 |
| -7.16% | Feb 2020 | Mar 2020 | 2 | May 2020 | 2 | 4 | 3.37 |
| -7.05% | Feb 1994 | Jun 1994 | 5 | Apr 1995 | 10 | 15 | 4.88 |
| -5.46% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 2.96 |
| -4.24% | Aug 1998 | Aug 1998 | 1 | Oct 1998 | 2 | 3 | 2.13 |
| -4.13% | May 2011 | Sep 2011 | 5 | Oct 2011 | 1 | 6 | 1.76 |
| -3.94% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.18 |
| -3.90% | Aug 2016 | Nov 2016 | 4 | Apr 2017 | 5 | 9 | 2.01 |
| -3.89% | Jan 2021 | Mar 2021 | 3 | Oct 2021 | 7 | 10 | 1.96 |
| -3.59% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 | 2.18 |
| -3.41% | Mar 2006 | Jun 2006 | 4 | Sep 2006 | 3 | 7 | 2.08 |
| -2.92% | Mar 2004 | Apr 2004 | 2 | Oct 2004 | 6 | 8 | 1.75 |
| -2.87% | Aug 1997 | Aug 1997 | 1 | Nov 1997 | 3 | 4 | 1.32 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -21.11% | Nov 2021 | Sep 2022 | 11 | in progress | 14 | 25 | 15.00 |
| -20.54% | Nov 2007 | Feb 2009 | 16 | Apr 2010 | 14 | 30 | 9.31 |
| -13.77% | Sep 1987 | Nov 1987 | 3 | Mar 1989 | 16 | 19 | 6.65 |
| -8.48% | Feb 2001 | Sep 2002 | 20 | May 2003 | 8 | 28 | 4.78 |
| -7.10% | Feb 2020 | Mar 2020 | 2 | May 2020 | 2 | 4 | 3.36 |
| -6.28% | Feb 1984 | May 1984 | 4 | Aug 1984 | 3 | 7 | 3.29 |
| -5.91% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 | 3.86 |
| -5.89% | Oct 2018 | Dec 2018 | 3 | Mar 2019 | 3 | 6 | 3.46 |
| -5.29% | Aug 1990 | Sep 1990 | 2 | Dec 1990 | 3 | 5 | 3.29 |
| -4.37% | Sep 1986 | Sep 1986 | 1 | Nov 1986 | 2 | 3 | 2.27 |
| -4.13% | Aug 1998 | Aug 1998 | 1 | Oct 1998 | 2 | 3 | 2.07 |
| -3.77% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.07 |
| -3.66% | Jan 1990 | Jan 1990 | 1 | May 1990 | 4 | 5 | 2.22 |
| -3.62% | Jun 2011 | Sep 2011 | 4 | Oct 2011 | 1 | 5 | 1.65 |
| -3.61% | Aug 2016 | Nov 2016 | 4 | Feb 2017 | 3 | 7 | 1.91 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -27.84% | Nov 2021 | Oct 2023 | 24 | in progress | 1 | 25 | 20.87 |
| -21.76% | Nov 2007 | Feb 2009 | 16 | Dec 2010 | 22 | 38 | 10.23 |
| -14.52% | Sep 1987 | Nov 1987 | 3 | Jun 1989 | 19 | 22 | 8.37 |
| -12.46% | Sep 2000 | Sep 2002 | 25 | Dec 2003 | 15 | 40 | 6.93 |
| -9.44% | May 1983 | May 1984 | 13 | Nov 1984 | 6 | 19 | 4.16 |
| -7.16% | Feb 2020 | Mar 2020 | 2 | May 2020 | 2 | 4 | 3.37 |
| -7.05% | Feb 1994 | Jun 1994 | 5 | Apr 1995 | 10 | 15 | 4.88 |
| -6.93% | Aug 1990 | Sep 1990 | 2 | Jan 1991 | 4 | 6 | 4.29 |
| -5.46% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 2.96 |
| -4.85% | Jan 1990 | Apr 1990 | 4 | May 1990 | 1 | 5 | 3.48 |
| -4.80% | Sep 1986 | Sep 1986 | 1 | Jan 1987 | 4 | 5 | 2.16 |
| -4.24% | Aug 1998 | Aug 1998 | 1 | Oct 1998 | 2 | 3 | 2.13 |
| -4.13% | May 2011 | Sep 2011 | 5 | Oct 2011 | 1 | 6 | 1.76 |
| -3.94% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.18 |
| -3.90% | Aug 2016 | Nov 2016 | 4 | Apr 2017 | 5 | 9 | 2.01 |
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.
STOCKS/BONDS 40/60 MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
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 | -18.20 |
10/2021 09/2022 |
0.81$ | -0.48 | 0.99$ | 9.21 | 1.09$ | 16.54 | 1.16$ | 29.26 |
04/1997 03/1998 |
1.29$ | 0.67 | 16.91% |
| 2Y | -10.41 |
11/2021 10/2023 |
0.80$ | 0.86 | 1.01$ | 8.88 | 1.18$ | 14.91 | 1.32$ | 24.04 |
04/1997 03/1999 |
1.53$ | -6.82 | 13.65% |
| 3Y | -3.20 |
10/2020 09/2023 |
0.90$ | 2.05 | 1.06$ | 8.55 | 1.27$ | 13.44 | 1.46$ | 21.06 |
05/1996 04/1999 |
1.77$ | -2.64 | 3.38% |
| 5Y | 1.79 |
03/2004 02/2009 |
1.09$ | 4.60 | 1.25$ | 7.58 | 1.44$ | 10.62 | 1.65$ | 20.43 |
01/1995 12/1999 |
2.53$ | 3.80 | 0.00% |
| 7Y | 3.39 |
03/2002 02/2009 |
1.26$ | 5.78 | 1.48$ | 7.13 | 1.61$ | 9.84 | 1.92$ | 14.85 |
05/1994 04/2001 |
2.63$ | 5.35 | 0.00% |
| 10Y | 3.94 |
03/1999 02/2009 |
1.47$ | 5.78 | 1.75$ | 7.11 | 1.98$ | 9.84 | 2.55$ | 12.17 |
01/1995 12/2004 |
3.15$ | 5.44 | 0.00% |
| 15Y | 5.33 |
10/2007 09/2022 |
2.17$ | 6.19 | 2.46$ | 7.26 | 2.86$ | 8.49 | 3.39$ | 9.59 |
12/1994 11/2009 |
3.95$ | 6.98 | 0.00% |
| 20Y | 5.98 |
11/2003 10/2023 |
3.19$ | 6.63 | 3.61$ | 7.34 | 4.12$ | 8.88 | 5.48$ | 9.59 |
12/1994 11/2014 |
6.23$ | 6.28 | 0.00% |
| 30Y | 7.75 |
12/1993 11/2023 |
9.39$ | 7.75 | 9.39$ | 7.75 | 9.39$ | 7.75 | 9.39$ | 7.75 |
12/1993 11/2023 |
9.39$ | 7.75 | 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 | -24.40 |
10/2021 09/2022 |
0.75$ | -2.62 | 0.97$ | 6.62 | 1.06$ | 13.70 | 1.13$ | 27.51 |
04/1997 03/1998 |
1.27$ | -2.59 | 21.49% |
| 2Y | -15.05 |
11/2021 10/2023 |
0.72$ | -1.42 | 0.97$ | 6.38 | 1.13$ | 12.00 | 1.25$ | 22.15 |
04/1997 03/1999 |
1.49$ | -11.43 | 17.80% |
| 3Y | -8.46 |
10/2020 09/2023 |
0.76$ | -0.19 | 0.99$ | 6.27 | 1.20$ | 10.50 | 1.34$ | 18.66 |
08/1996 07/1999 |
1.67$ | -7.92 | 16.92% |
| 5Y | -1.94 |
10/2018 09/2023 |
0.90$ | 2.02 | 1.10$ | 5.68 | 1.31$ | 8.36 | 1.49$ | 17.64 |
01/1995 12/1999 |
2.25$ | -0.26 | 5.32% |
| 7Y | 0.62 |
11/2016 10/2023 |
1.04$ | 3.04 | 1.23$ | 4.88 | 1.39$ | 7.61 | 1.67$ | 11.89 |
05/1994 04/2001 |
2.19$ | 1.76 | 0.00% |
| 10Y | 1.33 |
03/1999 02/2009 |
1.14$ | 3.10 | 1.35$ | 4.81 | 1.59$ | 7.34 | 2.03$ | 9.51 |
01/1995 12/2004 |
2.48$ | 2.55 | 0.00% |
| 15Y | 2.88 |
10/2007 09/2022 |
1.53$ | 3.86 | 1.76$ | 5.08 | 2.10$ | 5.89 | 2.35$ | 6.94 |
12/1994 11/2009 |
2.73$ | 4.37 | 0.00% |
| 20Y | 3.32 |
11/2003 10/2023 |
1.92$ | 4.15 | 2.25$ | 5.08 | 2.69$ | 6.40 | 3.46$ | 7.12 |
12/1994 11/2014 |
3.95$ | 3.59 | 0.00% |
| 30Y | 5.10 |
12/1993 11/2023 |
4.45$ | 5.10 | 4.45$ | 5.10 | 4.45$ | 5.10 | 4.45$ | 5.10 |
12/1993 11/2023 |
4.45$ | 5.10 | 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 | -18.20 |
10/2021 09/2022 |
0.81$ | -0.05 | 0.99$ | 9.92 | 1.09$ | 18.76 | 1.18$ | 40.48 |
07/1982 06/1983 |
1.40$ | 0.67 | 15.04% |
| 2Y | -10.41 |
11/2021 10/2023 |
0.80$ | 3.22 | 1.06$ | 9.44 | 1.19$ | 17.08 | 1.37$ | 28.32 |
07/1984 06/1986 |
1.64$ | -6.82 | 9.58% |
| 3Y | -3.20 |
10/2020 09/2023 |
0.90$ | 3.86 | 1.12$ | 9.41 | 1.30$ | 15.83 | 1.55$ | 23.14 |
08/1984 07/1987 |
1.86$ | -2.64 | 2.35% |
| 5Y | 1.79 |
03/2004 02/2009 |
1.09$ | 4.95 | 1.27$ | 9.49 | 1.57$ | 13.94 | 1.92$ | 20.66 |
04/1982 03/1987 |
2.55$ | 3.80 | 0.00% |
| 7Y | 3.39 |
03/2002 02/2009 |
1.26$ | 5.97 | 1.50$ | 8.92 | 1.81$ | 14.13 | 2.52$ | 16.62 |
08/1982 07/1989 |
2.93$ | 5.35 | 0.00% |
| 10Y | 3.94 |
03/1999 02/2009 |
1.47$ | 6.28 | 1.83$ | 9.24 | 2.42$ | 13.16 | 3.44$ | 15.39 |
01/1982 12/1991 |
4.18$ | 5.44 | 0.00% |
| 15Y | 5.33 |
10/2007 09/2022 |
2.17$ | 6.56 | 2.59$ | 8.61 | 3.45$ | 13.15 | 6.37$ | 15.14 |
07/1984 06/1999 |
8.28$ | 6.98 | 0.00% |
| 20Y | 5.98 |
11/2003 10/2023 |
3.19$ | 6.84 | 3.75$ | 9.09 | 5.69$ | 11.65 | 9.05$ | 13.50 |
04/1982 03/2002 |
12.58$ | 6.28 | 0.00% |
| 30Y | 7.50 |
11/1993 10/2023 |
8.75$ | 8.64 | 12.02$ | 9.37 | 14.69$ | 10.30 | 18.95$ | 11.14 |
04/1982 03/2012 |
23.74$ | 7.75 | 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 | -24.40 |
10/2021 09/2022 |
0.75$ | -2.47 | 0.97$ | 7.14 | 1.07$ | 15.80 | 1.15$ | 36.95 |
07/1982 06/1983 |
1.36$ | -2.59 | 21.14% |
| 2Y | -15.05 |
11/2021 10/2023 |
0.72$ | 1.02 | 1.02$ | 6.76 | 1.13$ | 13.05 | 1.27$ | 24.87 |
07/1984 06/1986 |
1.55$ | -11.43 | 13.54% |
| 3Y | -8.46 |
10/2020 09/2023 |
0.76$ | 1.16 | 1.03$ | 6.78 | 1.21$ | 12.29 | 1.41$ | 19.54 |
08/1984 07/1987 |
1.70$ | -7.92 | 11.75% |
| 5Y | -1.94 |
10/2018 09/2023 |
0.90$ | 2.52 | 1.13$ | 6.78 | 1.38$ | 10.30 | 1.63$ | 17.64 |
01/1995 12/1999 |
2.25$ | -0.26 | 3.60% |
| 7Y | 0.62 |
11/2016 10/2023 |
1.04$ | 3.35 | 1.25$ | 6.80 | 1.58$ | 10.84 | 2.05$ | 12.81 |
01/1993 12/1999 |
2.32$ | 1.76 | 0.00% |
| 10Y | 1.33 |
03/1999 02/2009 |
1.14$ | 3.78 | 1.44$ | 7.08 | 1.98$ | 9.39 | 2.45$ | 11.89 |
09/1990 08/2000 |
3.07$ | 2.55 | 0.00% |
| 15Y | 2.88 |
10/2007 09/2022 |
1.53$ | 4.22 | 1.85$ | 6.01 | 2.40$ | 9.54 | 3.92$ | 11.57 |
07/1984 06/1999 |
5.16$ | 4.37 | 0.00% |
| 20Y | 3.32 |
11/2003 10/2023 |
1.92$ | 4.59 | 2.45$ | 6.39 | 3.45$ | 8.35 | 4.97$ | 9.95 |
03/1982 02/2002 |
6.66$ | 3.59 | 0.00% |
| 30Y | 4.85 |
11/1993 10/2023 |
4.14$ | 6.05 | 5.82$ | 6.76 | 7.12$ | 7.35 | 8.38$ | 7.90 |
07/1982 06/2012 |
9.79$ | 5.10 | 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 Stocks/Bonds 40/60 Momentum Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Stocks/Bonds 40/60 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.
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 |
0.59
80% |
-1.36
20% |
-0.52
60% |
0.83
80% |
0.02
60% |
1.14
80% |
1.92
100% |
0.77
60% |
-2.57
0% |
0.86
60% |
2.97
80% |
-0.44
40% |
| Best |
3.2 2019 |
1.3 2019 |
2.0 2019 |
6.0 2020 |
2.6 2020 |
3.3 2019 |
3.7 2020 |
3.3 2020 |
-0.8 2019 |
3.8 2022 |
6.4 2023 |
1.6 2020 |
| Worst |
-4.9 2022 |
-3.3 2023 |
-5.3 2020 |
-7.4 2022 |
-2.6 2023 |
-3.4 2022 |
0.6 2023 |
-2.5 2022 |
-4.8 2022 |
-2.1 2020 |
-1.6 2021 |
-2.1 2018 |
Monthly Seasonality over the period Feb 1982 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.73
80% |
-0.18
50% |
-0.19
50% |
0.49
60% |
0.86
80% |
0.83
70% |
1.50
90% |
0.69
60% |
-1.24
30% |
0.47
60% |
1.73
70% |
-0.07
50% |
| Best |
3.2 2019 |
2.9 2014 |
2.6 2016 |
6.0 2020 |
2.6 2020 |
3.3 2019 |
3.7 2020 |
3.3 2020 |
1.0 2017 |
3.8 2022 |
6.4 2023 |
1.6 2020 |
| Worst |
-4.9 2022 |
-3.3 2023 |
-5.3 2020 |
-7.4 2022 |
-2.6 2023 |
-3.4 2022 |
-0.6 2014 |
-2.7 2015 |
-4.8 2022 |
-4.8 2018 |
-1.8 2016 |
-2.1 2018 |
Monthly Seasonality over the period Feb 1982 - 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 |
0.97
74% |
0.37
64% |
0.51
64% |
0.98
69% |
0.86
71% |
0.65
67% |
1.03
69% |
0.82
69% |
0.09
60% |
0.84
71% |
1.25
71% |
1.07
71% |
| Best |
6.0 1987 |
5.1 1986 |
4.6 2000 |
6.0 2020 |
5.9 1985 |
3.3 2019 |
5.3 1989 |
7.8 1982 |
4.1 1998 |
7.4 1982 |
6.4 2023 |
6.5 1991 |
| Worst |
-4.9 2022 |
-4.8 2009 |
-5.3 2020 |
-7.4 2022 |
-4.3 1984 |
-3.4 2022 |
-2.8 1983 |
-4.1 1998 |
-4.8 2022 |
-8.9 1987 |
-3.1 1987 |
-2.1 2018 |
Monthly Seasonality over the period Feb 1982 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Stocks/Bonds 40/60 Momentum Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
STOCKS/BONDS 40/60 MOMENTUM PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
241 Positive Months (67%) - 119 Negative Months (33%)
344 Positive Months (68%) - 159 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to December 2013, 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:
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:
- MTUM - iShares Edge MSCI USA Momentum Fctr, up to December 2013
- BND - Vanguard Total Bond Market, up to December 2007
Portfolio efficiency
No other portfolio in our database granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 40/60 Momentum | +7.75 | 6.99 | -21.11 | 40 | 60 | 0 | ||
The following portfolios share asset allocation strategy and/or similar asset weights.
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5 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 40/60 with Bitcoin | +7.06 | 10.64 | -19.39 | 39 | 59 | 2 | ||
| Stocks/Bonds 40/60 2x Leveraged | +5.86 | 18.53 | -36.46 | 40 | 60 | 0 | ||
| Stocks/Bonds 40/60 ESG | +5.73 | 9.85 | -19.76 | 40 | 60 | 0 | ||
| Stocks/Bonds 40/60 | +5.34 | 9.96 | -18.63 | 40 | 60 | 0 | ||
| Stocks/Bonds 40/60 Momentum | +3.80 | 9.72 | -21.11 | 40 | 60 | 0 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Medium Risk categorization.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Couch Potato | +7.83 | 8.76 | -27.04 | 50 | 50 | 0 | ||
| Stocks/Bonds 40/60 Momentum | +7.75 | 6.99 | -21.11 | 40 | 60 | 0 | ||
| All Weather Portfolio | +7.19 | 7.39 | -20.58 | 30 | 55 | 15 | ||
| Robo Advisor 50 | +7.16 | 9.32 | -30.72 | 49.9 | 50.1 | 0 | ||
| One-Decision Portfolio | +6.85 | 8.38 | -31.96 | 50 | 50 | 0 | ||
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