Developed World ex-US 20/80 Portfolio: ETF allocation and returns

Data Source: from January 1985 to January 2024 (~39 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 03:59PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.08%
1 Day
Feb 27 2024, 03:59PM Eastern Time
0.00%
Current Month
February 2024

The Developed World ex-US 20/80 Portfolio is a Low Risk portfolio and can be implemented with 2 ETFs.

It's exposed for 20% on the Stock Market.

In the last 30 Years, the Developed World ex-US 20/80 Portfolio obtained a 5.00% compound annual return, with a 5.26% standard deviation.

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Asset Allocation and ETFs

The Developed World ex-US 20/80 Portfolio has the following asset allocation:

20% Stocks
80% Fixed Income
0% Commodities

The Developed World ex-US 20/80 Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
20.00
VEA
USD Vanguard FTSE Developed Markets Equity, EAFE, Large Cap
80.00
BNDX
USD Vanguard Total International Bond Bond, Developed Markets, 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 Jan 31, 2024

The Developed World ex-US 20/80 Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: February 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DEVELOPED WORLD EX-US 20/80 PORTFOLIO
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 03:59PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
Developed World ex-US 20/80 Portfolio -0.08 0.00 -0.69 3.73 5.94 1.85 2.86 5.00 7.19
US Inflation Adjusted return -0.99 2.03 2.75 -2.22 0.08 2.41 4.28
Components
VEA
USD Vanguard FTSE Developed Markets 0.19 03:59PM, Feb 27 2024 3.07 -1.09 1.47 7.00 6.66 4.96 4.84 7.90
BNDX
USD Vanguard Total International Bond -0.14 03:59PM, Feb 27 2024 -0.76 -0.59 4.35 5.65 0.60 2.20 4.69 6.61
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the Developed World ex-US 20/80 Portfolio granted a 4.46% dividend yield. If you are interested in getting periodic income, please refer to the Developed World ex-US 20/80 Portfolio: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 4.32$, with a total return of 332.41% (5.00% annualized).

The Inflation Adjusted Capital now would be 2.04$, with a net total return of 104.28% (2.41% annualized).
An investment of 1$, since January 1985, now would be worth 15.09$, with a total return of 1409.48% (7.19% annualized).

The Inflation Adjusted Capital now would be 5.14$, with a net total return of 414.23% (4.28% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Developed World ex-US 20/80 Portfolio, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
DEVELOPED WORLD EX-US 20/80 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) -0.69 7.65 3.73 5.94 -1.22 1.85 2.86 4.54 5.00 7.19
Infl. Adjusted Return (%) details -0.99 6.90 2.03 2.75 -6.51 -2.22 0.08 1.92 2.41 4.28
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 2.79
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -3.65 -16.80 -16.80 -16.80 -16.80 -16.80 -16.80
Start to Recovery (# months) details 4 30* 30* 30* 30* 30* 30*
Start (yyyy mm) 2023 08 2021 08 2021 08 2021 08 2021 08 2021 08 2021 08
Start to Bottom (# months) 3 14 14 14 14 14 14
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 16 16 16 16 16 16
End (yyyy mm) 2023 11 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2021 08 2021 08 2021 08 2021 08 2021 08 2021 08
Start to Bottom (# months) 3 14 14 14 14 14 14
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 16 16 16 16 16 16
End (yyyy mm) 2023 11 - - - - - -
Longest negative period (# months) details 9 36* 55 59 59 59 59
Period Start (yyyy mm) 2023 02 2021 02 2019 04 2017 11 2017 11 2017 11 2017 11
Period End (yyyy mm) 2023 10 2024 01 2023 10 2022 09 2022 09 2022 09 2022 09
Annualized Return (%) -2.11 -1.22 -0.08 -0.14 -0.14 -0.14 -0.14
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -4.56 -24.56 -25.20 -25.20 -25.20 -25.20 -25.20
Start to Recovery (# months) details 5 36* 37* 37* 37* 37* 37*
Start (yyyy mm) 2023 08 2021 02 2021 01 2021 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 3 20 21 21 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 16 16 16 16 16 16
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2021 02 2021 01 2021 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 3 20 21 21 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 16 16 16 16 16 16
End (yyyy mm) 2023 12 - - - - - -
Longest negative period (# months) details 9 36* 60* 119* 134 134 134
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2014 03 2012 09 2012 09 2012 09
Period End (yyyy mm) 2023 10 2024 01 2024 01 2024 01 2023 10 2023 10 2023 10
Annualized Return (%) -5.15 -6.51 -2.22 -0.06 -0.02 -0.02 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 7.06 7.73 6.93 5.36 5.32 5.26 5.85
Sharpe Ratio 0.12 -0.44 0.01 0.32 0.60 0.52 0.55
Sortino Ratio 0.19 -0.65 0.02 0.43 0.79 0.71 0.77
Ulcer Index 1.43 8.82 6.94 4.98 4.37 3.83 3.45
Ratio: Return / Standard Deviation 0.84 -0.16 0.27 0.53 0.85 0.95 1.23
Ratio: Return / Deepest Drawdown 1.63 -0.07 0.11 0.17 0.27 0.30 0.43
% Positive Months details 50% 47% 58% 62% 69% 66% 68%
Positive Months 6 17 35 75 166 239 321
Negative Months 6 19 25 45 74 121 148
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 2.86 6.96 7.76 12.64
Worst 10 Years Return (%) - Annualized 2.18 2.18 2.18
Best 10 Years Return (%) - Annualized 0.08 5.11 5.11 8.73
Worst 10 Years Return (%) - Annualized -0.59 -0.59 -0.59
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 24.13 12.87 10.31 7.76 6.88 5.00
Worst Rolling Return (%) - Annualized -15.42 -3.44 0.04 2.18 4.36
% Positive Periods 88% 92% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.05 28.34 19.55 10.76 6.63 5.10
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.01 2.60
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 21.51 10.24 8.09 5.11 4.53 2.41
Worst Rolling Return (%) - Annualized -21.82 -7.98 -3.58 -0.59 1.74
% Positive Periods 80% 89% 92% 95% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.05 28.34 19.55 10.76 6.63 5.10
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.01 2.60
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Jan 2024)
Best Rolling Return (%) - Annualized 41.14 23.04 17.56 12.64 10.00 8.67
Worst Rolling Return (%) - Annualized -15.42 -3.44 0.04 2.18 4.36 4.86
% Positive Periods 89% 94% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.05 28.34 19.55 10.76 6.63 5.10
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.01 2.56
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 38.94 19.44 13.40 8.73 6.76 5.82
Worst Rolling Return (%) - Annualized -21.82 -7.98 -3.58 -0.59 1.74 2.28
% Positive Periods 82% 92% 94% 96% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.05 28.34 19.55 10.76 6.63 5.10
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.01 2.56
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 January 2024
Swipe left to see all data
Asset
VEA
BNDX
VEA
-
0.76
BNDX
0.76
-
Asset
VEA
BNDX
VEA
-
0.54
BNDX
0.54
-
Asset
VEA
BNDX
VEA
-
0.41
BNDX
0.41
-
Asset
VEA
BNDX
VEA
-
0.19
BNDX
0.19
-
Asset
VEA
BNDX
VEA
-
0.22
BNDX
0.22
-

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.

DEVELOPED WORLD EX-US 20/80 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-16.80% Aug 2021 Sep 2022 14 in progress 16 30 9.63
-15.55% Mar 2008 Nov 2008 9 Aug 2009 9 18 8.92
-7.46% Dec 1996 Apr 1997 5 Sep 1998 17 22 3.35
-6.51% Feb 1994 Feb 1995 13 Jul 1995 5 18 4.66
-5.99% Feb 2020 Mar 2020 2 Jul 2020 4 6 2.79
-4.48% May 2013 Jun 2013 2 Dec 2013 6 8 2.44
-3.06% Apr 2015 Sep 2015 6 Mar 2016 6 12 1.67
-2.76% Oct 2016 Nov 2016 2 Apr 2017 5 7 1.55
-2.68% Aug 2011 Sep 2011 2 Dec 2011 3 5 1.39
-2.07% May 1999 May 1999 1 Oct 1999 5 6 1.32
-1.97% Aug 2018 Oct 2018 3 Jan 2019 3 6 1.11
-1.93% May 2012 May 2012 1 Jul 2012 2 3 0.98
-1.80% Nov 2010 Nov 2010 1 Feb 2011 3 4 0.93
-1.64% Jan 2000 Jan 2000 1 Mar 2000 2 3 0.82
-1.64% Feb 1999 Feb 1999 1 Apr 1999 2 3 0.82
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 165 2.2 Months 45.71%
 
DD = 0% 45.71%
 
0% < DD <= -5% 148 2.4 Months 41.00%
 
DD <= -5% 86.70%
 
-5% < DD <= -10% 29 12.4 Months 8.03%
 
DD <= -10% 94.74%
 
-10% < DD <= -15% 15 24.1 Months 4.16%
 
DD <= -15% 98.89%
 
-15% < DD <= -20% 4 90.3 Months 1.11%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-25.20% Jan 2021 Sep 2022 21 in progress 16 37 16.62
-16.24% Nov 2007 Oct 2008 12 Sep 2009 11 23 8.42
-9.36% Feb 1994 Feb 1995 13 Oct 1995 8 21 6.06
-8.16% Dec 1996 Apr 1997 5 Sep 1998 17 22 4.44
-5.71% Feb 2020 Mar 2020 2 Jul 2020 4 6 2.41
-4.75% May 2013 Jun 2013 2 Feb 2014 8 10 2.58
-3.86% Mar 2015 Aug 2015 6 Jun 2016 10 16 2.09
-3.19% Aug 2011 Sep 2011 2 Jan 2012 4 6 1.69
-3.15% Feb 2018 Oct 2018 9 Mar 2019 5 14 1.45
-3.10% Oct 2016 Nov 2016 2 May 2017 6 8 2.01
-2.44% Feb 2001 Jun 2001 5 Aug 2001 2 7 1.09
-2.13% May 1999 May 1999 1 Nov 1999 6 7 1.56
-2.08% Sep 2005 Oct 2005 2 Dec 2005 2 4 1.07
-2.05% Nov 2010 Nov 2010 1 Apr 2011 5 6 1.24
-1.98% Jan 1996 Feb 1996 2 Aug 1996 6 8 1.41
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 107 3.4 Months 29.64%
 
DD = 0% 29.64%
 
0% < DD <= -5% 193 1.9 Months 53.46%
 
DD <= -5% 83.10%
 
-5% < DD <= -10% 29 12.4 Months 8.03%
 
DD <= -10% 91.14%
 
-10% < DD <= -15% 7 51.6 Months 1.94%
 
DD <= -15% 93.07%
 
-15% < DD <= -20% 8 45.1 Months 2.22%
 
DD <= -20% 95.29%
 
-20% < DD <= -25% 16 22.6 Months 4.43%
 
DD <= -25% 99.72%
 
-25% < DD <= -30% 1 361.0 Months 0.28%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-16.80% Aug 2021 Sep 2022 14 in progress 16 30 9.63
-15.55% Mar 2008 Nov 2008 9 Aug 2009 9 18 8.92
-7.46% Dec 1996 Apr 1997 5 Sep 1998 17 22 3.35
-7.02% Jan 1990 Apr 1990 4 Jul 1990 3 7 3.62
-6.51% Feb 1994 Feb 1995 13 Jul 1995 5 18 4.66
-6.31% Aug 1990 Sep 1990 2 Dec 1990 3 5 3.33
-5.99% Feb 2020 Mar 2020 2 Jul 2020 4 6 2.79
-4.48% May 2013 Jun 2013 2 Dec 2013 6 8 2.44
-4.18% Jan 1992 Mar 1992 3 Jul 1992 4 7 2.38
-3.32% May 1986 May 1986 1 Jun 1986 1 2 1.92
-3.06% Apr 2015 Sep 2015 6 Mar 2016 6 12 1.67
-2.76% Oct 2016 Nov 2016 2 Apr 2017 5 7 1.55
-2.68% Aug 2011 Sep 2011 2 Dec 2011 3 5 1.39
-2.58% Sep 1987 Oct 1987 2 Jan 1988 3 5 1.55
-2.33% Aug 1989 Aug 1989 1 Nov 1989 3 4 1.26
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 232 2.0 Months 49.36%
 
DD = 0% 49.36%
 
0% < DD <= -5% 187 2.5 Months 39.79%
 
DD <= -5% 89.15%
 
-5% < DD <= -10% 32 14.7 Months 6.81%
 
DD <= -10% 95.96%
 
-10% < DD <= -15% 15 31.3 Months 3.19%
 
DD <= -15% 99.15%
 
-15% < DD <= -20% 4 117.5 Months 0.85%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-25.20% Jan 2021 Sep 2022 21 in progress 16 37 16.62
-16.24% Nov 2007 Oct 2008 12 Sep 2009 11 23 8.42
-10.22% Jan 1990 Sep 1990 9 Apr 1991 7 16 5.49
-9.36% Feb 1994 Feb 1995 13 Oct 1995 8 21 6.06
-8.16% Dec 1996 Apr 1997 5 Sep 1998 17 22 4.44
-5.71% Feb 2020 Mar 2020 2 Jul 2020 4 6 2.41
-4.94% Jan 1992 Apr 1992 4 Aug 1992 4 8 2.69
-4.75% May 2013 Jun 2013 2 Feb 2014 8 10 2.58
-3.86% Mar 2015 Aug 2015 6 Jun 2016 10 16 2.09
-3.59% May 1986 May 1986 1 Jul 1986 2 3 1.80
-3.39% Apr 1987 Oct 1987 7 Jan 1988 3 10 1.81
-3.19% Aug 2011 Sep 2011 2 Jan 2012 4 6 1.69
-3.15% Feb 2018 Oct 2018 9 Mar 2019 5 14 1.45
-3.10% Oct 2016 Nov 2016 2 May 2017 6 8 2.01
-2.79% Feb 1985 Feb 1985 1 Apr 1985 2 3 1.40
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 156 3.0 Months 33.19%
 
DD = 0% 33.19%
 
0% < DD <= -5% 245 1.9 Months 52.13%
 
DD <= -5% 85.32%
 
-5% < DD <= -10% 36 13.1 Months 7.66%
 
DD <= -10% 92.98%
 
-10% < DD <= -15% 8 58.8 Months 1.70%
 
DD <= -15% 94.68%
 
-15% < DD <= -20% 8 58.8 Months 1.70%
 
DD <= -20% 96.38%
 
-20% < DD <= -25% 16 29.4 Months 3.40%
 
DD <= -25% 99.79%
 
-25% < DD <= -30% 1 470.0 Months 0.21%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

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 20/80 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1985 - 31 January 2024 (~39 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 -15.42 10/2021
09/2022
0.84$ 1.07 1.01$ 5.83 1.05$ 10.35 1.10$ 24.13 03/2009
02/2010
1.24$ 5.94 11.75%
2Y -6.64 01/2021
12/2022
0.87$ 2.59 1.05$ 5.54 1.11$ 8.55 1.17$ 16.55 03/2009
02/2011
1.35$ -1.47 9.20%
3Y -3.44 10/2019
09/2022
0.90$ 3.44 1.10$ 5.60 1.17$ 8.04 1.26$ 12.87 03/2009
02/2012
1.43$ -1.22 7.08%
5Y 0.04 10/2017
09/2022
1.00$ 4.07 1.22$ 5.83 1.32$ 7.31 1.42$ 10.31 03/2009
02/2014
1.63$ 1.85 0.00%
7Y 1.32 10/2016
09/2023
1.09$ 4.34 1.34$ 5.91 1.49$ 6.96 1.60$ 8.20 09/1998
08/2005
1.73$ 2.57 0.00%
10Y 2.18 11/2013
10/2023
1.24$ 4.87 1.60$ 6.14 1.81$ 6.99 1.96$ 7.76 01/1998
12/2007
2.11$ 2.86 0.00%
15Y 3.40 11/2007
10/2022
1.65$ 4.99 2.07$ 6.01 2.40$ 6.57 2.59$ 7.16 01/1998
12/2012
2.82$ 5.01 0.00%
20Y 4.36 11/2003
10/2023
2.34$ 4.84 2.57$ 5.86 3.12$ 6.39 3.45$ 6.88 03/1995
02/2015
3.78$ 4.54 0.00%
30Y 5.00 02/1994
01/2024
4.32$ 5.00 4.32$ 5.00 4.32$ 5.00 4.32$ 5.00 02/1994
01/2024
4.32$ 5.00 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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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 -21.82 10/2021
09/2022
0.78$ -1.39 0.98$ 3.26 1.03$ 7.58 1.07$ 21.51 03/2009
02/2010
1.21$ 2.75 19.20%
2Y -12.58 01/2021
12/2022
0.76$ 0.23 1.00$ 3.37 1.06$ 6.16 1.12$ 15.10 11/2008
10/2010
1.32$ -5.91 14.24%
3Y -7.98 10/2019
09/2022
0.77$ 1.38 1.04$ 3.37 1.10$ 5.49 1.17$ 10.24 03/2009
02/2012
1.33$ -6.51 10.15%
5Y -3.58 10/2017
09/2022
0.83$ 1.91 1.09$ 3.55 1.19$ 4.87 1.26$ 8.09 03/2009
02/2014
1.47$ -2.22 7.97%
7Y -2.13 10/2016
09/2023
0.86$ 2.41 1.18$ 3.66 1.28$ 4.42 1.35$ 6.59 11/2008
10/2015
1.56$ -0.89 8.30%
10Y -0.59 11/2013
10/2023
0.94$ 2.90 1.33$ 3.79 1.45$ 4.44 1.54$ 5.11 03/2009
02/2019
1.64$ 0.08 4.56%
15Y 0.99 11/2007
10/2022
1.15$ 2.51 1.44$ 3.76 1.73$ 4.08 1.82$ 4.64 01/1998
12/2012
1.97$ 2.39 0.00%
20Y 1.74 11/2003
10/2023
1.41$ 2.27 1.56$ 3.64 2.04$ 4.06 2.21$ 4.53 03/1995
02/2015
2.42$ 1.92 0.00%
30Y 2.41 02/1994
01/2024
2.04$ 2.41 2.04$ 2.41 2.04$ 2.41 2.04$ 2.41 02/1994
01/2024
2.04$ 2.41 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 -15.42 10/2021
09/2022
0.84$ 1.45 1.01$ 6.67 1.06$ 12.87 1.12$ 41.14 05/1985
04/1986
1.41$ 5.94 10.48%
2Y -6.64 01/2021
12/2022
0.87$ 3.15 1.06$ 6.48 1.13$ 10.83 1.22$ 30.27 03/1985
02/1987
1.69$ -1.47 6.95%
3Y -3.44 10/2019
09/2022
0.90$ 3.90 1.12$ 6.45 1.20$ 9.28 1.30$ 23.04 03/1985
02/1988
1.86$ -1.22 5.30%
5Y 0.04 10/2017
09/2022
1.00$ 4.34 1.23$ 6.44 1.36$ 9.44 1.56$ 17.56 01/1985
12/1989
2.24$ 1.85 0.00%
7Y 1.32 10/2016
09/2023
1.09$ 4.65 1.37$ 6.57 1.56$ 8.81 1.80$ 15.21 01/1985
12/1991
2.69$ 2.57 0.00%
10Y 2.18 11/2013
10/2023
1.24$ 5.06 1.63$ 6.53 1.88$ 8.19 2.19$ 12.64 01/1985
12/1994
3.28$ 2.86 0.00%
15Y 3.40 11/2007
10/2022
1.65$ 5.24 2.15$ 6.40 2.53$ 7.78 3.07$ 11.17 01/1985
12/1999
4.89$ 5.01 0.00%
20Y 4.36 11/2003
10/2023
2.34$ 5.66 3.00$ 6.45 3.49$ 7.74 4.44$ 10.00 01/1985
12/2004
6.72$ 4.54 0.00%
30Y 4.86 11/1993
10/2023
4.15$ 5.52 5.00$ 6.63 6.86$ 7.38 8.45$ 8.67 03/1985
02/2015
12.09$ 5.00 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 -21.82 10/2021
09/2022
0.78$ -1.10 0.98$ 3.82 1.03$ 9.82 1.09$ 38.94 05/1985
04/1986
1.38$ 2.75 17.90%
2Y -12.58 01/2021
12/2022
0.76$ 0.65 1.01$ 3.71 1.07$ 7.45 1.15$ 27.03 03/1985
02/1987
1.61$ -5.91 11.66%
3Y -7.98 10/2019
09/2022
0.77$ 1.92 1.05$ 3.85 1.11$ 6.21 1.19$ 19.44 03/1985
02/1988
1.70$ -6.51 7.60%
5Y -3.58 10/2017
09/2022
0.83$ 2.49 1.13$ 4.03 1.21$ 5.79 1.32$ 13.40 01/1985
12/1989
1.87$ -2.22 5.85%
7Y -2.13 10/2016
09/2023
0.86$ 2.97 1.22$ 3.98 1.31$ 5.48 1.45$ 10.85 01/1985
12/1991
2.05$ -0.89 5.96%
10Y -0.59 11/2013
10/2023
0.94$ 3.18 1.36$ 4.02 1.48$ 5.07 1.63$ 8.73 01/1985
12/1994
2.31$ 0.08 3.14%
15Y 0.99 11/2007
10/2022
1.15$ 3.24 1.61$ 3.99 1.79$ 4.87 2.04$ 7.74 01/1985
12/1999
3.06$ 2.39 0.00%
20Y 1.74 11/2003
10/2023
1.41$ 3.44 1.96$ 3.98 2.18$ 4.69 2.49$ 6.76 01/1985
12/2004
3.70$ 1.92 0.00%
30Y 2.28 11/1993
10/2023
1.96$ 2.94 2.38$ 4.10 3.33$ 4.62 3.87$ 5.82 03/1985
02/2015
5.46$ 2.41 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 20/80 Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Developed World ex-US 20/80 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
0.28
40%
-0.91
20%
-0.42
60%
0.18
80%
0.20
40%
0.26
80%
1.45
100%
-0.63
40%
-1.45
40%
0.19
60%
2.27
60%
0.67
80%
Best 3.7
2023
0.7
2019
2.6
2023
2.7
2020
1.3
2020
2.4
2019
3.6
2022
1.3
2019
0.4
2020
1.5
2022
4.5
2023
3.7
2023
Worst -1.9
2022
-1.9
2023
-5.1
2020
-3.8
2022
-0.7
2023
-3.2
2022
0.6
2019
-4.0
2022
-4.2
2022
-0.8
2023
-0.2
2021
-2.6
2022
Monthly Seasonality over the period Feb 1985 - Jan 2024
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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
0.56
50%
-0.15
50%
0.16
80%
0.29
80%
0.29
50%
0.14
70%
1.13
90%
-0.35
50%
-0.78
40%
0.09
60%
1.17
60%
0.43
70%
Best 3.7
2023
1.5
2014
2.6
2023
2.7
2020
1.3
2017
2.4
2019
3.6
2022
1.3
2019
0.4
2020
1.8
2015
4.5
2023
3.7
2023
Worst -1.9
2022
-1.9
2023
-5.1
2020
-3.8
2022
-0.7
2023
-3.2
2022
-0.1
2014
-4.0
2022
-4.2
2022
-1.6
2018
-1.3
2016
-2.6
2022
Monthly Seasonality over the period Feb 1985 - Jan 2024
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
0.52
68%
0.38
64%
0.46
72%
0.72
82%
0.45
51%
0.32
64%
1.05
77%
0.35
64%
0.19
62%
0.64
74%
0.71
64%
1.34
79%
Best 4.4
1985
5.7
1986
5.2
1986
3.2
2009
5.2
1985
3.8
1986
4.6
2009
4.2
1986
4.7
1998
5.1
1998
4.5
2023
5.0
1991
Worst -4.2
1997
-2.4
2009
-5.1
2020
-3.8
2022
-3.3
1986
-3.2
2022
-1.8
1997
-4.1
1990
-5.8
2008
-5.9
2008
-2.4
1997
-2.6
2022
Monthly Seasonality over the period Feb 1985 - Jan 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Developed World ex-US 20/80 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DEVELOPED WORLD EX-US 20/80 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1985 - 31 January 2024 (~39 years)
239 Positive Months (66%) - 121 Negative Months (34%)
321 Positive Months (68%) - 148 Negative Months (32%)
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(Scroll down to see all data)
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:
  • VEA - Vanguard FTSE Developed Markets (VEA), up to December 2007
  • BNDX - Vanguard Total International Bond (BNDX), up to December 2013

Portfolio efficiency

The following portfolios 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 Author Return Dev.Std Drawdown Stocks Bonds Comm
Simplified Permanent Portfolio +6.77 6.90 -16.43 25 50 25
Desert Portfolio Gyroscopic Investing +6.50 5.52 -14.72 30 60 10
Permanent Portfolio Harry Browne +6.39 6.60 -15.92 25 50 25
Larry Portfolio Larry Swedroe +5.73 5.59 -15.96 30 70 0
Stocks/Bonds 20/80 +5.59 4.93 -16.57 20 80 0
Sheltered Sam 30/70 Bill Bernstein +5.58 5.23 -16.58 29.1 70 0.9
LifeStrategy Income Fund Vanguard +5.33 4.80 -16.61 20 80 0
Dimensional Retirement Income Fund DFA +5.33 4.79 -12.91 20.4 79.6 0
Edge Select Conservative Merrill Lynch +5.11 4.28 -12.44 21 79 0
Sheltered Sam 20/80 Bill Bernstein +5.02 4.15 -11.24 19.4 80 0.6
Developed World ex-US 20/80 +5.00 5.26 -16.80 20 80 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Low Risk categorization.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Ulcer Free Strategy Aim Ways +6.56 5.52 -17.05 7 82 11
High Yield Bonds Income +6.44 8.83 -23.97 0 100 0
Stocks/Bonds 20/80 Momentum +6.09 4.97 -17.91 20 80 0
All Country World 20/80 +5.61 5.65 -17.97 20 80 0
Stocks/Bonds 20/80 +5.59 4.93 -16.57 20 80 0
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