Stocks/Bonds 60/40 Momentum Portfolio: ETF allocation and returns

Data Source: from January 1982 to June 2024 (~43 years)
Consolidated Returns as of 30 June 2024
Live Update: Jul 26 2024
Currency: USD

PORTFOLIO • LIVE PERFORMANCE (USD currency)

0.96%

1 Day

Jul 26 2024

1.47%

Current Month

July 2024

The Stocks/Bonds 60/40 Momentum Portfolio can be implemented with 2 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.

The asset allocation is the following: 60% on the Stock Market, 40% 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 40% allocation to bonds, leading to its classification as high risk.

As of June 2024, in the previous 30 Years, the Stocks/Bonds 60/40 Momentum Portfolio obtained a 10.09% compound annual return, with a 9.64% standard deviation. It suffered a maximum drawdown of -32.52% that required 40 months to be recovered.

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Asset Allocation and ETFs

The Stocks/Bonds 60/40 Momentum Portfolio has the following asset allocation:

          60% Stocks
        
          40% Fixed Income
        
          0% Commodities

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The Stocks/Bonds 60/40 Momentum Portfolio can be implemented with the following ETFs:

Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
60.00	MTUM	USD	iShares Edge MSCI USA Momentum Fctr	Equity, U.S., Large Cap, Growth (USD)
40.00	BND	USD	Vanguard Total Bond Market	Bond, U.S., All-Term (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.

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Portfolio and ETF Returns as of Jun 30, 2024

The Stocks/Bonds 60/40 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.

the actual US Inflation rates.

July 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.

STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO

Data Source: 1 January 1982 - 30 June 2024 (~43 years)

Live Update: Jul 26 2024

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			Chg (%)		Return (%)	Return (%) as of Jun 30, 2024
			1 Day	*Time ET^()**	Jul 2024	1M	6M	1Y	5Y	10Y	30Y	MAX (~43Y)
Stocks/Bonds 60/40 Momentum Portfolio			0.96		-1.47	3.24	14.43	22.25	7.09	8.63	10.09	11.24
US Inflation Adjusted return						3.30	12.86	18.71	2.81	5.66	7.38	8.14
*Components*
MTUM	USD	iShares Edge MSCI USA Momentum Fctr	1.34	Jul 26 2024	-3.48	4.54	24.44	36.05	11.76	13.29	13.10	13.80
BND	USD	Vanguard Total Bond Market	0.40	Jul 26 2024	1.55	0.88	-0.58	2.56	-0.26	1.31	4.34	6.41
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jun 2024. Inflation (annualized) is 1Y: 2.98% , 5Y: 4.17% , 10Y: 2.81% , 30Y: 2.53%

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In 2023, the Stocks/Bonds 60/40 Momentum Portfolio granted a 2.16% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 60/40 Momentum Portfolio: Dividend Yield page.

Capital Growth as of Jun 30, 2024

An investment of 1$, from July 1994 to June 2024, would be worth 17.90$, with a total return of 1689.92% (10.09% annualized).

The Inflation Adjusted Capital would be 8.46$, with a net total return of 745.65% (7.38% annualized).

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An investment of 1$, from January 1982 to June 2024, would be worth 92.46$, with a total return of 9146.38% (11.24% annualized).

The Inflation Adjusted Capital would be 27.79$, with a net total return of 2679.39% (8.14% annualized).

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Portfolio Metrics as of Jun 30, 2024

Metrics of Stocks/Bonds 60/40 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.

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.

the actual US Inflation rates.

STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO

Advanced Metrics

Data Source: 1 January 1982 - 30 June 2024 (~43 years)

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	Metrics as of Jun 30, 2024
	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~43Y)
Investment Return (%)	3.24	2.69	14.43	22.25	2.15	7.09	8.63	8.34	10.09	11.24
Infl. Adjusted Return (%)	3.30	2.42	12.86	18.71	-2.68	2.81	5.66	5.64	7.38	8.14
US Inflation (%)	-0.06	0.26	1.40	2.98	4.97	4.17	2.81	2.56	2.53	2.87
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:			Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)			0.00	-5.48	-24.21	-24.21	-24.21	-32.52	-32.52	-32.52
Start to Recovery (# months)				4	32	32	32	40	40	40
Start (yyyy mm)				2023 08	2021 11	2021 11	2021 11	2007 11	2007 11	2007 11
Start to Bottom (# months)				3	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	21	21	21	24	24	24
End (yyyy mm)				2023 11	2024 06	2024 06	2024 06	2011 02	2011 02	2011 02
Longest Drawdown Depth (%)				same	same	same	same	same	-21.14	-21.14
Start to Recovery (# months)				same	same	same	same	same	41	41
Start (yyyy mm)				2023 08	2021 11	2021 11	2021 11	2007 11	2000 09	2000 09
Start to Bottom (# months)				3	11	11	11	16	25	25
Bottom (yyyy mm)				2023 10	2022 09	2022 09	2022 09	2009 02	2002 09	2002 09
Bottom to End (# months)				1	21	21	21	24	16	16
End (yyyy mm)				2023 11	2024 06	2024 06	2024 06	2011 02	2004 01	2004 01
Longest negative period (# months)				4	34	40	40	53	53	53
Period Start (yyyy mm)				2023 07	2021 07	2020 07	2020 07	2004 10	2004 10	2004 10
Period End (yyyy mm)				2023 10	2024 04	2023 10	2023 10	2009 02	2009 02	2009 02
Annualized Return (%)				-13.05	-0.26	-0.29	-0.29	-0.02	-0.02	-0.02
Deepest Drawdown Depth (%)			-11.46	-6.38	-29.63	-29.63	-29.63	-33.64	-33.64	-33.64
Start to Recovery (# months)			32*	4	32*	32*	32*	52	52	52
Start (yyyy mm)				2023 08	2021 11	2021 11	2021 11	2007 11	2007 11	2007 11
Start to Bottom (# months)				3	24	24	24	16	16	16
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2009 02	2009 02	2009 02
Bottom to End (# months)				1	8	8	8	36	36	36
End (yyyy mm)				2023 11	-	-	-	2012 02	2012 02	2012 02
Longest Drawdown Depth (%)				same	same	same	same	same	-24.67	-24.67
Start to Recovery (# months)				same	same	same	same	same	57	57
Start (yyyy mm)				2023 08	2021 11	2021 11	2021 11	2007 11	2000 09	2000 09
Start to Bottom (# months)				3	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	8	8	8	36	32	32
End (yyyy mm)				2023 11	-	-	-	2012 02	2005 05	2005 05
Longest negative period (# months)				4	36*	53	69	69	119	119
Period Start (yyyy mm)				2023 07	2021 07	2019 07	2018 02	2018 02	1999 04	1999 04
Period End (yyyy mm)				2023 10	2024 06	2023 11	2023 10	2023 10	2009 02	2009 02
Annualized Return (%)				-16.01	-2.68	-0.50	-0.68	-0.68	-0.14	-0.14
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)				12.11	13.33	12.84	10.48	9.74	9.64	9.91
Sharpe Ratio				1.40	-0.06	0.40	0.69	0.71	0.81	0.73
Sortino Ratio				1.85	-0.08	0.54	0.93	0.93	1.06	0.97
Ulcer Index				2.24	14.69	11.57	8.37	8.67	8.22	7.37
Ratio: Return / Standard Deviation				1.84	0.16	0.55	0.82	0.86	1.05	1.13
Ratio: Return / Deepest Drawdown				4.06	0.09	0.29	0.36	0.26	0.31	0.35
Positive Months (%)				66.66	55.55	60.00	61.66	63.75	64.72	66.07
Positive Months				8	20	36	74	153	233	337
Negative Months				4	16	24	46	87	127	173
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized							8.63	12.67	14.22	18.37
Worst 10 Years Return (%) - Annualized							8.63	6.78	2.81	2.81
Best 10 Years Return (%) - Annualized							5.66	10.72	11.46	15.20
Worst 10 Years Return (%) - Annualized							5.66	3.97	0.21	0.21
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Jun 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized				38.32	28.17	26.80	14.22	11.08	10.09
Worst Rolling Return (%) - Annualized				-28.28	-6.27	0.29	2.81	6.57	10.09
Positive Periods (%)				82.2	85.2	100.0	100.0	100.0	100.0
Best Rolling Return (%) - Annualized				36.45	25.64	23.86	11.46	8.56	7.38
Worst Rolling Return (%) - Annualized				-28.28	-8.26	-2.30	0.21	4.40	7.38
Positive Periods (%)				79.3	76.6	98.0	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative	3.73	5.40	6.15	13.71	7.34	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)	4.89	7.40	8.98	20.10	11.60	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative	5.63	8.68	10.79	24.15	15.55	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)	6.84	10.77	13.75	26.38	18.82	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)				83.18	27.82	17.73	9.72	6.11	10.37
Perpetual Withdrawal Rate (%)				---	---	---	0.24	3.53	9.14
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Jan 1982 - Jun 2024)
Best Rolling Return (%) - Annualized				46.80	28.17	26.80	18.37	15.05	12.24
Worst Rolling Return (%) - Annualized				-28.28	-6.27	0.29	2.81	6.57	9.05
Positive Periods (%)				84.1	89.8	100.0	100.0	100.0	100.0
Best Rolling Return (%) - Annualized				43.25	25.64	23.86	15.20	11.46	8.99
Worst Rolling Return (%) - Annualized				-28.28	-8.26	-2.30	0.21	4.40	6.37
Positive Periods (%)				79.1	84.0	98.6	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative	3.78	5.36	5.94	11.14	5.44	0.00	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)	4.96	7.41	8.85	17.53	9.76	0.00	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative	5.73	8.73	10.71	23.38	12.12	0.00	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)	6.97	10.88	13.75	25.25	16.51	0.00	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)				83.18	27.82	17.73	9.72	6.11	7.95
Perpetual Withdrawal Rate (%)				---	---	---	0.24	3.53	7.05
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| 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.
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.
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.

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Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS

Monthly correlations as of 30 June 2024

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Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.

A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Learn about historical correlations here: see how the main asset classes relate 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 60/40 MOMENTUM PORTFOLIO

Drawdown periods

Drawdown periods - Inflation Adjusted

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 January 1982 - 30 June 2024 (~43 years)

Inflation Adjusted:

Chart Table Range

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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.

STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 January 1982 - 30 June 2024 (~43 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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If you need a deeper detail about rolling returns, please refer to the Stocks/Bonds 60/40 Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Stocks/Bonds 60/40 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 January 1982 to June 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Stocks/Bonds 60/40 Momentum Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO

Monthly Returns Distribution

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 January 1982 - 30 June 2024 (~43 years)

233 Positive Months (65%) - 127 Negative Months (35%)

337 Positive Months (66%) - 173 Negative Months (34%)

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Investment Returns, up to December 2013, 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:

iShares Edge MSCI USA Momentum Fctr (MTUM), up to December 2013
Vanguard Total Bond Market (BND), 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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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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

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The first official book of

Mastering ETF Investing

Build wealth
with Lazy Portfolios and Passive Investing

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