Developed World ex-US 40/60 Momentum Portfolio: ETF allocation and returns

Data Source: from August 2009 to February 2024 (~15 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.67%
1 Day
Mar 01 2024
0.67%
Current Month
March 2024

The Developed World ex-US 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 10 Years, the Developed World ex-US 40/60 Momentum Portfolio obtained a 3.47% compound annual return, with a 6.79% standard deviation.

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Asset Allocation and ETFs

The Developed World ex-US 40/60 Momentum Portfolio has the following asset allocation:

40% Stocks
60% Fixed Income
0% Commodities

The Developed World ex-US 40/60 Momentum Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
40.00
IMTM
USD iShares MSCI Intl Momentum Factor ETF Equity, EAFE, Large Cap
60.00
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 Feb 29, 2024

The Developed World ex-US 40/60 Momentum Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: March 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO
Consolidated returns as of 29 February 2024
Live Update: Mar 01 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Feb 29, 2024
  1 Day Time ET(*) Mar 2024 1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum Portfolio 0.67 0.67 1.89 8.24 12.20 3.85 3.47 5.07
US Inflation Adjusted return 1.89 7.02 9.23 -0.24 0.67 2.47
Components
IMTM
USD iShares MSCI Intl Momentum Factor ETF 1.45 Mar 01 2024 1.45 5.40 15.30 20.62 8.78 5.00 6.55
BNDX
USD Vanguard Total International Bond 0.15 Mar 01 2024 0.15 -0.54 3.57 6.68 0.45 2.10 3.69
Returns over 1 year are annualized | Available data source: since Aug 2009
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.71% , 5Y: 4.10% , 10Y: 2.77%

In 2023, the Developed World ex-US 40/60 Momentum Portfolio granted a 3.82% dividend yield. If you are interested in getting periodic income, please refer to the Developed World ex-US 40/60 Momentum Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 2014, now would be worth 1.41$, with a total return of 40.59% (3.47% annualized).

The Inflation Adjusted Capital now would be 1.07$, with a net total return of 6.93% (0.67% annualized).
An investment of 1$, since August 2009, now would be worth 2.06$, with a total return of 105.72% (5.07% annualized).

The Inflation Adjusted Capital now would be 1.43$, with a net total return of 42.64% (2.47% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Developed World ex-US 40/60 Momentum Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 August 2009 - 29 February 2024 (~15 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~15Y)
Investment Return (%) 1.89 6.22 8.24 12.20 0.14 3.85 3.47 5.07
Infl. Adjusted Return (%) details 1.89 5.65 7.02 9.23 -5.10 -0.24 0.67 2.47
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.54
Pending updates, the monthly inflation after Jan 2024 is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Deepest Drawdown Depth (%) -4.47 -19.40 -19.40 -19.40 -19.40
Start to Recovery (# months) details 4 30* 30* 30* 30*
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 13 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 17 17 17 17
End (yyyy mm) 2023 11 - - - -
Longest Drawdown Depth (%)
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 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 13 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 17 17 17 17
End (yyyy mm) 2023 11 - - - -
Longest negative period (# months) details 7 35 47 56 56
Period Start (yyyy mm) 2023 04 2021 03 2019 12 2018 02 2018 02
Period End (yyyy mm) 2023 10 2024 01 2023 10 2022 09 2022 09
Annualized Return (%) -3.39 -0.50 -0.05 -0.32 -0.32
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -5.37 -26.26 -27.53 -27.53 -27.53
Start to Recovery (# months) details 5 33* 38* 38* 38*
Start (yyyy mm) 2023 08 2021 06 2021 01 2021 01 2021 01
Start to Bottom (# months) 3 16 21 21 21
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 - - - -
Longest Drawdown Depth (%)
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 06 2021 01 2021 01 2021 01
Start to Bottom (# months) 3 16 21 21 21
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 - - - -
Longest negative period (# months) details 8 36* 60* 116 126
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2014 03 2013 05
Period End (yyyy mm) 2023 10 2024 02 2024 02 2023 10 2023 10
Annualized Return (%) -2.39 -5.10 -0.24 -0.39 -0.30
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 7.54 9.16 8.52 6.79 6.96
Sharpe Ratio 0.93 -0.24 0.24 0.34 0.15
Sortino Ratio 1.31 -0.34 0.32 0.45 0.21
Ulcer Index 1.74 9.51 7.51 5.54 4.81
Ratio: Return / Standard Deviation 1.62 0.02 0.45 0.51 0.73
Ratio: Return / Deepest Drawdown 2.73 0.01 0.20 0.18 0.26
% Positive Months details 66% 55% 61% 62% 65%
Positive Months 8 20 37 75 115
Negative Months 4 16 23 45 60
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 3.47 6.14
Worst 10 Years Return (%) - Annualized 2.52
Best 10 Years Return (%) - Annualized 0.67 4.26
Worst 10 Years Return (%) - Annualized -0.26
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 17.45 9.00 7.14 3.47
Worst Rolling Return (%) - Annualized -17.61 -2.24 0.42
% Positive Periods 75% 84% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.26 28.16 20.11 10.72
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.69
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 14.45 5.35 5.06 0.67
Worst Rolling Return (%) - Annualized -23.86 -7.45 -3.22
% Positive Periods 65% 72% 65% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.26 28.16 20.11 10.72
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.69
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Aug 2009 - Feb 2024)
Best Rolling Return (%) - Annualized 17.45 9.05 8.18 6.14
Worst Rolling Return (%) - Annualized -17.61 -2.24 0.42 2.52
% Positive Periods 79% 90% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.26 28.16 20.11 10.72
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - -
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 14.45 7.27 6.03 4.26
Worst Rolling Return (%) - Annualized -23.86 -7.45 -3.22 -0.26
% Positive Periods 69% 83% 81% 96%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.26 28.16 20.11 10.72
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - -
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 29 February 2024
Swipe left to see all data
Asset
IMTM
BNDX
IMTM
-
0.47
BNDX
0.47
-
Asset
IMTM
BNDX
IMTM
-
0.55
BNDX
0.55
-
Asset
IMTM
BNDX
IMTM
-
0.39
BNDX
0.39
-
Asset
IMTM
BNDX
IMTM
-
0.24
BNDX
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.

DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 August 2009 - 29 February 2024 (~15 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-19.40% Sep 2021 Sep 2022 13 in progress 17 30 10.39
-7.72% Feb 2020 Mar 2020 2 Jun 2020 3 5 3.78
-6.00% Feb 2018 Dec 2018 11 Mar 2019 3 14 2.72
-5.38% May 2015 Sep 2015 5 Jun 2016 9 14 2.83
-4.27% Aug 2016 Nov 2016 4 Mar 2017 4 8 2.09
-1.62% Jan 2021 Feb 2021 2 May 2021 3 5 0.94
-1.52% Sep 2014 Dec 2014 4 Feb 2015 2 6 1.05
-1.33% Oct 2020 Oct 2020 1 Nov 2020 1 2 0.77
-0.78% Jul 2014 Jul 2014 1 Aug 2014 1 2 0.45
-0.54% Jun 2021 Jun 2021 1 Jul 2021 1 2 0.31
-0.29% Mar 2014 Mar 2014 1 May 2014 2 3 0.18
-0.27% May 2019 May 2019 1 Jun 2019 1 2 0.16
-0.20% Nov 2017 Nov 2017 1 Dec 2017 1 2 0.12
-0.06% Sep 2019 Sep 2019 1 Oct 2019 1 2 0.04
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 37 3.3 Months 30.58%
 
DD = 0% 30.58%
 
0% < DD <= -5% 58 2.1 Months 47.93%
 
DD <= -5% 78.51%
 
-5% < DD <= -10% 10 12.1 Months 8.26%
 
DD <= -10% 86.78%
 
-10% < DD <= -15% 13 9.3 Months 10.74%
 
DD <= -15% 97.52%
 
-15% < DD <= -20% 3 40.3 Months 2.48%
 
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
-27.53% Jan 2021 Sep 2022 21 in progress 17 38 17.13
-7.46% Feb 2018 Dec 2018 11 Jun 2019 6 17 3.46
-7.45% Feb 2020 Mar 2020 2 Jun 2020 3 5 3.47
-5.89% May 2015 Sep 2015 5 Jul 2016 10 15 3.25
-5.03% Aug 2016 Nov 2016 4 May 2017 6 10 2.59
-1.47% Sep 2014 Oct 2014 2 Jan 2015 3 5 1.00
-1.44% Oct 2020 Oct 2020 1 Nov 2020 1 2 0.83
-0.89% Jul 2014 Jul 2014 1 Aug 2014 1 2 0.52
-0.61% Mar 2014 Apr 2014 2 May 2014 1 3 0.39
-0.47% Nov 2017 Nov 2017 1 Jan 2018 2 3 0.26
-0.22% Sep 2019 Sep 2019 1 Oct 2019 1 2 0.12
-0.08% Nov 2019 Nov 2019 1 Dec 2019 1 2 0.05
-0.07% Jul 2019 Jul 2019 1 Aug 2019 1 2 0.04
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 27 4.5 Months 22.31%
 
DD = 0% 22.31%
 
0% < DD <= -5% 60 2.0 Months 49.59%
 
DD <= -5% 71.90%
 
-5% < DD <= -10% 9 13.4 Months 7.44%
 
DD <= -10% 79.34%
 
-10% < DD <= -15% 2 60.5 Months 1.65%
 
DD <= -15% 80.99%
 
-15% < DD <= -20% 5 24.2 Months 4.13%
 
DD <= -20% 85.12%
 
-20% < DD <= -25% 16 7.6 Months 13.22%
 
DD <= -25% 98.35%
 
-25% < DD <= -30% 2 60.5 Months 1.65%
 
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
-19.40% Sep 2021 Sep 2022 13 in progress 17 30 10.39
-8.94% May 2011 Sep 2011 5 Jul 2012 10 15 3.88
-7.72% Feb 2020 Mar 2020 2 Jun 2020 3 5 3.78
-6.00% Feb 2018 Dec 2018 11 Mar 2019 3 14 2.72
-5.38% May 2015 Sep 2015 5 Jun 2016 9 14 2.83
-5.17% May 2013 Jun 2013 2 Oct 2013 4 6 3.27
-4.27% Aug 2016 Nov 2016 4 Mar 2017 4 8 2.09
-4.04% May 2010 May 2010 1 Jul 2010 2 3 2.68
-2.00% Nov 2010 Nov 2010 1 Dec 2010 1 2 1.16
-1.66% Jan 2010 Jan 2010 1 Mar 2010 2 3 0.99
-1.62% Jan 2021 Feb 2021 2 May 2021 3 5 0.94
-1.52% Sep 2014 Dec 2014 4 Feb 2015 2 6 1.05
-1.33% Oct 2020 Oct 2020 1 Nov 2020 1 2 0.77
-1.20% Jan 2014 Jan 2014 1 Feb 2014 1 2 0.69
-0.78% Jul 2014 Jul 2014 1 Aug 2014 1 2 0.45
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 65 2.7 Months 36.93%
 
DD = 0% 36.93%
 
0% < DD <= -5% 80 2.2 Months 45.45%
 
DD <= -5% 82.39%
 
-5% < DD <= -10% 15 11.7 Months 8.52%
 
DD <= -10% 90.91%
 
-10% < DD <= -15% 13 13.5 Months 7.39%
 
DD <= -15% 98.30%
 
-15% < DD <= -20% 3 58.7 Months 1.70%
 
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
-27.53% Jan 2021 Sep 2022 21 in progress 17 38 17.13
-9.95% May 2011 Sep 2011 5 Sep 2012 12 17 4.66
-7.46% Feb 2018 Dec 2018 11 Jun 2019 6 17 3.46
-7.45% Feb 2020 Mar 2020 2 Jun 2020 3 5 3.47
-5.89% May 2015 Sep 2015 5 Jul 2016 10 15 3.25
-5.54% May 2013 Aug 2013 4 Dec 2013 4 8 3.17
-5.03% Aug 2016 Nov 2016 4 May 2017 6 10 2.59
-3.99% May 2010 May 2010 1 Jul 2010 2 3 2.63
-2.25% Nov 2010 Nov 2010 1 Feb 2011 3 4 1.01
-1.72% Dec 2009 Jan 2010 2 Mar 2010 2 4 0.90
-1.47% Sep 2014 Oct 2014 2 Jan 2015 3 5 1.00
-1.44% Jan 2014 Jan 2014 1 Feb 2014 1 2 0.83
-1.44% Oct 2020 Oct 2020 1 Nov 2020 1 2 0.83
-0.89% Jul 2014 Jul 2014 1 Aug 2014 1 2 0.52
-0.74% Oct 2009 Oct 2009 1 Nov 2009 1 2 0.43
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 47 3.7 Months 26.70%
 
DD = 0% 26.70%
 
0% < DD <= -5% 86 2.0 Months 48.86%
 
DD <= -5% 75.57%
 
-5% < DD <= -10% 18 9.8 Months 10.23%
 
DD <= -10% 85.80%
 
-10% < DD <= -15% 2 88.0 Months 1.14%
 
DD <= -15% 86.93%
 
-15% < DD <= -20% 5 35.2 Months 2.84%
 
DD <= -20% 89.77%
 
-20% < DD <= -25% 16 11.0 Months 9.09%
 
DD <= -25% 98.86%
 
-25% < DD <= -30% 2 88.0 Months 1.14%
 
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 40/60 MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 August 2009 - 29 February 2024 (~15 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 -17.61 10/2021
09/2022
0.82$ -2.89 0.97$ 4.44 1.04$ 9.60 1.09$ 17.45 04/2020
03/2021
1.17$ 12.20 24.77%
2Y -7.10 10/2020
09/2022
0.86$ -4.23 0.91$ 4.24 1.08$ 7.39 1.15$ 13.08 01/2019
12/2020
1.27$ 1.40 20.62%
3Y -2.24 10/2019
09/2022
0.93$ -0.28 0.99$ 4.48 1.14$ 6.50 1.20$ 9.00 01/2019
12/2021
1.29$ 0.14 15.29%
5Y 0.42 10/2017
09/2022
1.02$ 1.88 1.09$ 4.06 1.22$ 6.46 1.36$ 7.14 02/2016
01/2021
1.41$ 3.85 0.00%
7Y 2.38 10/2015
09/2022
1.17$ 2.77 1.21$ 3.56 1.27$ 5.00 1.40$ 5.23 01/2015
12/2021
1.42$ 4.08 0.00%
10Y 3.47 03/2014
02/2024
1.40$ 3.47 1.40$ 3.47 1.40$ 3.47 1.40$ 3.47 03/2014
02/2024
1.40$ 3.47 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 -23.86 10/2021
09/2022
0.76$ -5.92 0.94$ 2.21 1.02$ 7.23 1.07$ 14.45 04/2020
03/2021
1.14$ 9.23 34.86%
2Y -12.99 10/2020
09/2022
0.75$ -9.64 0.81$ 2.05 1.04$ 5.01 1.10$ 11.07 01/2019
12/2020
1.23$ -2.80 30.93%
3Y -7.45 10/2020
09/2023
0.79$ -5.24 0.85$ 2.40 1.07$ 4.44 1.13$ 5.35 11/2018
10/2021
1.16$ -5.10 27.06%
5Y -3.22 10/2017
09/2022
0.84$ -1.93 0.90$ 2.08 1.10$ 3.80 1.20$ 5.06 01/2016
12/2020
1.27$ -0.24 34.43%
7Y -1.05 10/2016
09/2023
0.92$ -0.49 0.96$ 0.17 1.01$ 2.96 1.22$ 3.41 05/2014
04/2021
1.26$ 0.60 43.24%
10Y 0.67 03/2014
02/2024
1.06$ 0.67 1.06$ 0.67 1.06$ 0.67 1.06$ 0.67 03/2014
02/2024
1.06$ 0.67 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 -17.61 10/2021
09/2022
0.82$ -1.39 0.98$ 5.30 1.05$ 11.56 1.11$ 17.45 04/2020
03/2021
1.17$ 12.20 20.12%
2Y -7.10 10/2020
09/2022
0.86$ 0.82 1.01$ 4.83 1.09$ 7.83 1.16$ 13.08 01/2019
12/2020
1.27$ 1.40 13.16%
3Y -2.24 10/2019
09/2022
0.93$ 1.53 1.04$ 4.92 1.15$ 7.35 1.23$ 9.05 06/2010
05/2013
1.29$ 0.14 9.29%
5Y 0.42 10/2017
09/2022
1.02$ 2.43 1.12$ 4.64 1.25$ 6.54 1.37$ 8.18 08/2009
07/2014
1.48$ 3.85 0.00%
7Y 2.38 10/2015
09/2022
1.17$ 3.22 1.24$ 4.91 1.39$ 5.41 1.44$ 6.66 08/2009
07/2016
1.57$ 4.08 0.00%
10Y 2.52 11/2013
10/2023
1.28$ 3.03 1.34$ 5.09 1.64$ 5.87 1.76$ 6.14 10/2011
09/2021
1.81$ 3.47 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 -23.86 10/2021
09/2022
0.76$ -4.01 0.95$ 3.10 1.03$ 9.23 1.09$ 14.45 04/2020
03/2021
1.14$ 9.23 30.49%
2Y -12.99 10/2020
09/2022
0.75$ -2.80 0.94$ 2.71 1.05$ 5.77 1.11$ 11.07 01/2019
12/2020
1.23$ -2.80 19.74%
3Y -7.45 10/2020
09/2023
0.79$ -2.77 0.91$ 3.11 1.09$ 5.20 1.16$ 7.27 10/2011
09/2014
1.23$ -5.10 16.43%
5Y -3.22 10/2017
09/2022
0.84$ -1.07 0.94$ 2.92 1.15$ 4.59 1.25$ 6.03 08/2009
07/2014
1.33$ -0.24 18.10%
7Y -1.05 10/2016
09/2023
0.92$ -0.12 0.99$ 3.19 1.24$ 3.71 1.29$ 4.98 08/2009
07/2016
1.40$ 0.60 17.39%
10Y -0.26 11/2013
10/2023
0.97$ 0.40 1.04$ 3.29 1.38$ 3.91 1.46$ 4.26 08/2009
07/2019
1.51$ 0.67 3.57%
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 40/60 Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Developed World ex-US 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.
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
0.41
60%
-1.07
20%
-0.31
60%
0.50
80%
0.33
60%
0.60
60%
1.60
100%
-0.61
60%
-1.88
20%
0.65
60%
2.69
80%
1.24
80%
Best 3.5
2023
1.9
2024
2.4
2023
3.7
2020
2.8
2020
3.6
2019
3.2
2022
1.1
2019
0.4
2020
2.8
2022
5.3
2022
3.4
2023
Worst -3.1
2022
-2.4
2020
-5.5
2020
-5.0
2022
-1.8
2023
-4.4
2022
0.2
2019
-4.0
2022
-5.1
2022
-1.3
2020
-1.3
2021
-2.3
2022
Monthly Seasonality over the period Sep 2009 - Feb 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
0.93
70%
-0.36
50%
0.25
70%
0.53
90%
0.41
60%
0.49
60%
1.09
90%
-0.43
50%
-1.10
30%
0.06
50%
1.23
70%
0.55
60%
Best 3.5
2023
1.9
2024
2.4
2023
3.7
2020
2.8
2020
3.6
2019
3.2
2022
1.1
2019
1.3
2017
2.8
2022
5.3
2022
3.4
2023
Worst -3.1
2022
-2.4
2020
-5.5
2020
-5.0
2022
-1.8
2023
-4.4
2022
-0.8
2014
-4.0
2022
-5.1
2022
-3.9
2018
-1.7
2016
-2.3
2022
Monthly Seasonality over the period Sep 2009 - Feb 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
0.69
67%
0.17
67%
0.58
71%
0.89
93%
-0.53
43%
0.41
57%
1.39
93%
-0.30
53%
-0.17
47%
0.46
60%
0.87
67%
0.77
73%
Best 3.5
2023
1.9
2014
3.7
2010
3.7
2020
2.8
2020
3.6
2019
4.2
2010
3.0
2009
4.5
2010
3.7
2011
5.3
2022
3.4
2023
Worst -3.1
2022
-2.4
2020
-5.5
2020
-5.0
2022
-4.0
2010
-4.4
2022
-0.8
2014
-4.0
2022
-5.1
2022
-3.9
2018
-2.0
2010
-2.3
2022
Monthly Seasonality over the period Sep 2009 - Feb 2024

Monthly Returns

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

DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 August 2009 - 29 February 2024 (~15 years)
75 Positive Months (63%) - 45 Negative Months (38%)
115 Positive Months (66%) - 60 Negative Months (34%)
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(Scroll down to see all data)
Investment Returns, up to January 2015, 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:
  • IMTM - iShares MSCI Intl Momentum Factor ETF (IMTM), up to January 2015
  • BNDX - Vanguard Total International Bond (BNDX), up to December 2013

Portfolio efficiency

The following portfolios granted a higher return over 10 Years and a less severe drawdown at the same time.

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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
US Stocks Minimum Volatility +10.62 12.06 -19.06 100 0 0
Stocks/Bonds 40/60 with Bitcoin +9.01 8.96 -19.39 39 59 2
Golden Butterfly with Bitcoin +8.72 9.54 -18.74 40 40 20
Permanent Portfolio with Bitcoin Harry Browne +8.16 8.43 -16.88 25 50 25
Desert Portfolio with Bitcoin Gyroscopic Investing +8.11 7.22 -15.73 30 60 10
Shield Strategy Aim Ways +7.87 8.92 -19.36 42 38 20
Perfect Portfolio Ben Stein +7.22 11.77 -18.62 80 20 0
In Saecula Saeculorum Fulvio Marchese +6.61 8.43 -18.89 45 45 10
Robust Alpha Architect +6.57 11.25 -19.09 70 20 10
Sheltered Sam 70/30 Bill Bernstein +6.29 10.57 -17.80 67.9 30 2.1
Gold Pivot Ptf Aim Ways +6.28 7.85 -15.46 22 44 34
Andrew Tobias Portfolio Andrew Tobias +5.94 9.75 -18.85 66.7 33.3 0
Stocks/Bonds 40/60 +5.74 7.77 -18.63 40 60 0
One-Decision Portfolio Marvin Appel +5.66 8.92 -16.74 50 50 0
Coward's Portfolio Bill Bernstein +5.61 9.09 -15.87 60 40 0
Sheltered Sam 60/40 Bill Bernstein +5.60 9.20 -16.49 58.2 40 1.8
Aim comfortable trip Aim Ways +5.52 7.35 -15.56 40 45 15
Golden Butterfly Tyler +5.42 8.37 -17.79 40 40 20
Dynamic 60/40 Income +5.40 9.17 -18.21 60 40 0
Ideal Index Frank Armstrong +5.35 10.39 -18.25 70 30 0
Five Asset Roger Gibson +5.25 11.03 -19.30 60 20 20
Big Rocks Portfolio Larry Swedroe +5.09 9.24 -15.71 60 40 0
Sandwich Portfolio Bob Clyatt +5.04 8.43 -19.10 55 45 0
Edge Select Moderately Conservative Merrill Lynch +4.92 7.47 -18.53 37 63 0
Sheltered Sam 50/50 Bill Bernstein +4.90 7.85 -15.17 48.5 50 1.5
PISI Portfolio Davide Pisicchio +4.89 7.09 -18.36 30 60 10
Permanent Portfolio Harry Browne +4.86 7.25 -15.92 25 50 25
Desert Portfolio Gyroscopic Investing +4.76 5.78 -14.72 30 60 10
Lifepath Fund iShares +4.74 7.63 -18.92 40.4 59.6 0
Simplified Permanent Portfolio +4.68 7.18 -16.43 25 50 25
LifeStrategy Conservative Growth Vanguard +4.66 7.43 -18.57 40 60 0
Simple Money Portfolio Tim Maurer +4.61 9.39 -18.44 60 40 0
Dynamic 40/60 Income +4.54 7.79 -17.33 40 60 0
Ultimate Buy&Hold FundAdvice +4.42 9.30 -18.44 60 40 0
Sheltered Sam 40/60 Bill Bernstein +4.19 6.55 -13.86 38.8 60 1.2
Ulcer Free Strategy Aim Ways +4.14 5.93 -17.05 7 82 11
7Twelve Portfolio Craig Israelsen +3.93 9.61 -17.90 50 33.3 16.7
Rob Arnott Portfolio Rob Arnott +3.85 7.74 -17.86 30 60 10
Stocks/Bonds 20/80 Momentum +3.73 5.87 -17.91 20 80 0
Stocks/Bonds 20/80 +3.58 5.83 -16.57 20 80 0
Sheltered Sam 30/70 Bill Bernstein +3.47 5.31 -12.55 29.1 70 0.9
Developed World ex-US 40/60 Momentum +3.47 6.79 -19.40 40 60 0

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

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5 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Developed World ex-US 40/60 Momentum +3.85 8.52 -19.40 40 60 0
Developed World ex-US 40/60 +3.02 9.30 -19.57 40 60 0

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

Swipe left to see all data
10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Couch Potato Scott Burns +6.96 9.22 -19.77 50 50 0
Stocks/Bonds 40/60 Momentum +6.03 7.88 -21.11 40 60 0
Stocks/Bonds 40/60 +5.74 7.77 -18.63 40 60 0
One-Decision Portfolio Marvin Appel +5.66 8.92 -16.74 50 50 0
Four Square Scott Burns +5.19 8.56 -19.67 50 50 0
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