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

Data Source: from August 2009 to May 2023 (~14 years)
Consolidated Returns as of 31 May 2023
Live Update: Jun 02 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.27%
1 Day
Jun 02 2023
0.95%
Current Month
June 2023

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 3.09% compound annual return, with a 6.63% standard deviation.

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 ETF Name Investment Themes
40.00
IMTM
iShares MSCI Intl Momentum Factor ETF Equity, EAFE, Large Cap
60.00
BNDX
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 May 31, 2023

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

Portfolio returns are calculated in USD, assuming: June 2023 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 31 May 2023
Live Update: Jun 02 2023
Swipe left to see all data
    Chg (%) Return (%) Return (%) as of May 31, 2023
    1 Day Time ET(*) Jun 2023 1M 6M 1Y 5Y 10Y MAX
(~14Y)
Developed World ex-US 40/60 Momentum Portfolio 0.27 0.95 -1.85 1.24 -1.39 1.88 3.09 4.63
US Inflation Adjusted return -1.85 -0.65 -4.99 -1.86 0.40 2.07
Components
IMTM
iShares MSCI Intl Momentum Factor ETF 1.27 Jun 02 2023 2.79 -4.70 1.76 -1.51 3.53 4.32 5.54
BNDX
Vanguard Total International Bond -0.39 Jun 02 2023 -0.28 0.14 0.92 -1.31 0.44 1.86 6.61
Returns over 1 year are annualized | Available data source: since Aug 2009
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Apr 2023. Waiting for updates, inflation of May 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.79% , 5Y: 3.81% , 10Y: 2.68%

In 2022, the Developed World ex-US 40/60 Momentum Portfolio granted a 1.66% 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.

Portfolio Metrics as of May 31, 2023

Metrics of Developed World ex-US 40/60 Momentum Portfolio, updated as of 31 May 2023.

Portfolio metrics are calculated based on monthly returns, assuming:
DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO
Portfolio Metrics
Data Source: 1 August 2009 - 31 May 2023 (~14 years)
Swipe left to see all data
Metrics as of May 31, 2023
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~14Y)
Portfolio Return (%) -1.85 2.05 1.24 -1.39 0.13 1.88 3.09 4.63
US Inflation (%) 0.00 0.84 1.90 3.79 5.77 3.81 2.68 2.51
Infl. Adjusted Return (%) -1.85 1.20 -0.65 -4.99 -5.33 -1.86 0.40 2.07
Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 11.82 8.81 8.26 6.63 6.89
Sharpe Ratio -0.39 -0.10 0.07 0.35 0.09
Sortino Ratio -0.54 -0.14 0.09 0.46 0.12
MAXIMUM DRAWDOWN
Drawdown Depth (%) -10.04 -19.40 -19.40 -19.40 -19.40
Start (yyyy mm) 2022 06 2021 09 2021 09 2021 09 2021 09
Bottom (yyyy mm) 2022 09 2022 09 2022 09 2022 09 2022 09
Start to Bottom (# months) 4 13 13 13 13
Start to Recovery (# months) in progress
11
> 21
> 21
> 21
> 21
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 17.45 9.05 8.18 6.14
Worst Return (%) -17.61 -2.24 0.42 2.75
% Positive Periods 79% 95% 100% 100%
MONTHS
Positive 0 2 3 6 20 36 75 109
Negative 1 1 3 6 16 24 45 57
% Positive 0% 67% 50% 50% 56% 60% 63% 66%
WITHDRAWAL RATES (WR)
Safe WR (%) 33.15 20.65 11.27 9.63
Perpetual WR (%) 0.00 0.00 0.40 2.03
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
  • 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).
  • Maximum Drawdown: 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.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative 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).

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 May 2023
Swipe left to see all data
Asset
IMTM
BNDX
IMTM
-
0.76
BNDX
0.76
-
Asset
IMTM
BNDX
IMTM
-
0.49
BNDX
0.49
-
Asset
IMTM
BNDX
IMTM
-
0.35
BNDX
0.35
-
Asset
IMTM
BNDX
IMTM
-
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.

Capital Growth as of May 31, 2023

An investment of 1000$, since June 2013, now would be worth 1355.25$, with a total return of 35.53% (3.09% annualized).

The Inflation Adjusted Capital now would be 1040.67$, with a net total return of 4.07% (0.40% annualized).
An investment of 1000$, since August 2009, now would be worth 1871.09$, with a total return of 87.11% (4.63% annualized).

The Inflation Adjusted Capital now would be 1328.25$, with a net total return of 32.82% (2.07% annualized).

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
Updated to May 2023
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-19.40% Sep 2021 Sep 2022 13 in progress 8 21
-7.72% Feb 2020 Mar 2020 2 Jun 2020 3 5
-6.00% Feb 2018 Dec 2018 11 Mar 2019 3 14
-5.38% May 2015 Sep 2015 5 Jun 2016 9 14
-4.27% Aug 2016 Nov 2016 4 Mar 2017 4 8
-1.68% Aug 2013 Aug 2013 1 Sep 2013 1 2
-1.65% Jun 2013 Jun 2013 1 Jul 2013 1 2
-1.62% Jan 2021 Feb 2021 2 May 2021 3 5
-1.52% Sep 2014 Dec 2014 4 Feb 2015 2 6
-1.33% Oct 2020 Oct 2020 1 Nov 2020 1 2
-1.20% Jan 2014 Jan 2014 1 Feb 2014 1 2
-0.78% Jul 2014 Jul 2014 1 Aug 2014 1 2
-0.54% Jun 2021 Jun 2021 1 Jul 2021 1 2
-0.29% Mar 2014 Mar 2014 1 May 2014 2 3
-0.27% May 2019 May 2019 1 Jun 2019 1 2
-0.20% Nov 2017 Nov 2017 1 Dec 2017 1 2
-0.06% Sep 2019 Sep 2019 1 Oct 2019 1 2
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-19.40% Sep 2021 Sep 2022 13 in progress 8 21
-8.94% May 2011 Sep 2011 5 Jul 2012 10 15
-7.72% Feb 2020 Mar 2020 2 Jun 2020 3 5
-6.00% Feb 2018 Dec 2018 11 Mar 2019 3 14
-5.38% May 2015 Sep 2015 5 Jun 2016 9 14
-5.17% May 2013 Jun 2013 2 Oct 2013 4 6
-4.27% Aug 2016 Nov 2016 4 Mar 2017 4 8
-4.04% May 2010 May 2010 1 Jul 2010 2 3
-2.00% Nov 2010 Nov 2010 1 Dec 2010 1 2
-1.66% Jan 2010 Jan 2010 1 Mar 2010 2 3
-1.62% Jan 2021 Feb 2021 2 May 2021 3 5
-1.52% Sep 2014 Dec 2014 4 Feb 2015 2 6
-1.33% Oct 2020 Oct 2020 1 Nov 2020 1 2
-1.20% Jan 2014 Jan 2014 1 Feb 2014 1 2
-0.78% Jul 2014 Jul 2014 1 Aug 2014 1 2
-0.54% Jun 2021 Jun 2021 1 Jul 2021 1 2
-0.44% Oct 2009 Oct 2009 1 Nov 2009 1 2
-0.29% Mar 2014 Mar 2014 1 May 2014 2 3
-0.27% May 2019 May 2019 1 Jun 2019 1 2
-0.20% Nov 2017 Nov 2017 1 Dec 2017 1 2

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
Data Source: from August 2009 to May 2023
Swipe left to see all data
Rolling
Period
Annualized Return (%) Negative
Periods
Average Latest Best Worst
1 Year
4.51 -1.39 17.45
Apr 2020 - Mar 2021
-17.61
Oct 2021 - Sep 2022
21.29%
2 Years
4.71 -5.54 13.08
Jan 2019 - Dec 2020
-7.10
Oct 2020 - Sep 2022
8.39%
3 Years
5.01 0.13 9.05
Jun 2010 - May 2013
-2.24
Oct 2019 - Sep 2022
4.58%
5 Years
4.76 1.88 8.18
Aug 2009 - Jul 2014
0.42
Oct 2017 - Sep 2022
0.00%
7 Years
4.71 2.94 6.66
Aug 2009 - Jul 2016
2.38
Oct 2015 - Sep 2022
0.00%
10 Years
4.92 3.09 6.14
Oct 2011 - Sep 2021
2.75
Oct 2012 - Sep 2022
0.00%
Annualized rolling and average 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
0.90
60%
-1.21
20%
-0.31
60%
0.50
80%
0.33
60%
0.07
40%
1.59
100%
-0.37
60%
-1.28
40%
0.02
60%
1.69
80%
0.28
60%
 Capital Growth on monthly avg returns
100
100.90
99.68
99.37
99.87
100.20
100.27
101.86
101.49
100.19
100.20
101.90
102.18
Best 3.5
2023
1.2
2019
2.4
2023
3.7
2020
2.8
2020
3.6
2019
3.2
2022
1.1
2019
0.5
2018
2.8
2022
5.3
2022
2.6
2020
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
-3.9
2018
-1.3
2021
-2.3
2022
Monthly Seasonality over the period Jun 2018 - May 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
0.72
60%
-0.36
50%
0.25
70%
0.53
90%
0.41
60%
0.10
50%
1.23
90%
-0.46
50%
-0.44
40%
0.25
60%
0.76
70%
0.29
60%
 Capital Growth on monthly avg returns
100
100.72
100.36
100.60
101.13
101.55
101.65
102.90
102.42
101.97
102.22
103.00
103.30
Best 3.5
2023
1.9
2014
2.4
2023
3.7
2020
2.8
2020
3.6
2019
3.2
2022
1.1
2019
4.0
2013
2.8
2022
5.3
2022
2.6
2020
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 Jun 2013 - May 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
0.67
64%
0.05
64%
0.58
71%
0.89
93%
-0.53
43%
0.27
54%
1.44
92%
-0.22
57%
0.00
50%
0.55
64%
0.56
64%
0.59
71%
 Capital Growth on monthly avg returns
100
100.67
100.72
101.31
102.21
101.66
101.93
103.40
103.17
103.17
103.73
104.32
104.93
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
2.6
2020
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 Aug 2009 - May 2023

Monthly/Yearly Returns

Developed World ex-US 40/60 Momentum Portfolio data source starts from August 2009: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Aug 2009 - May 2023
109 Positive Months (66%) - 57 Negative Months (34%)
MONTHLY RETURNS TABLE
Aug 2009 - May 2023
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2023
+3.61 +1.37 3.5 -1.9 2.4 1.5 -1.8
2022
-14.37 -19.57 -3.1 -2.1 -0.5 -5.0 0.3 -4.4 3.2 -4.0 -5.1 2.8 5.3 -2.3
2021
+1.27 -5.39 -0.8 -0.8 0.2 1.4 0.7 -0.5 1.4 0.2 -2.2 1.8 -1.3 1.4
2020
+11.65 +10.15 1.5 -2.4 -5.5 3.7 2.8 2.1 2.6 0.9 0.4 -1.3 4.0 2.6
2019
+14.52 +11.96 3.3 1.2 1.8 0.8 -0.3 3.6 0.2 1.1 -0.1 0.7 0.2 1.2
2018
-4.03 -5.83 2.1 -1.8 0.3 0.2 -0.3 -0.4 0.7 -0.1 0.5 -3.9 0.2 -1.4
2017
+11.62 +9.32 1.5 0.7 1.3 0.8 1.6 0.2 1.3 0.8 1.3 1.3 -0.2 0.5
2016
+2.96 +0.86 -0.9 0.2 2.3 1.0 0.8 1.6 1.3 -0.1 -0.2 -2.3 -1.7 1.1
2015
+0.07 -0.65 1.2 1.4 0.4 0.7 -0.9 -0.4 0.5 -3.0 -1.7 2.2 0.1 -0.2
2014
+1.57 +0.81 -1.2 1.9 -0.3 0.1 1.4 0.9 -0.8 1.1 -1.5 0.0 0.5 -0.5
2013
+8.39 +6.79 1.7 0.5 1.4 3.0 -3.6 -1.6 2.0 -1.7 4.0 1.3 0.5 0.8
2012
+12.90 +10.96 1.9 1.5 0.6 0.8 -3.1 2.4 1.8 1.7 1.7 0.3 1.4 1.2
2011
-0.59 -3.45 0.3 1.6 0.0 3.0 -0.9 -0.5 0.5 -3.6 -4.7 3.7 -1.2 1.5
2010
+10.77 +9.14 -1.7 0.6 3.7 0.3 -4.0 0.5 4.2 0.4 4.5 1.6 -2.0 2.6
2009
- - 3.0 2.9 -0.4 2.1 0.1

Portofolio Returns, up to January 2015, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

  • IMTM - iShares MSCI Intl Momentum Factor ETF: simulated historical serie, up to January 2015
  • BNDX - Vanguard Total International Bond: simulated historical serie, up to December 2013

Portfolio efficiency

Compared to the Developed World ex-US 40/60 Momentum Portfolio, the following portfolios granted a higher return over 10 Years and a less severe drawdown at the same time.

Swipe left to see all data
10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
US Stocks Minimum Volatility +10.21 12.08 -19.06 100 0 0
Perfect Portfolio Ben Stein +6.83 11.58 -18.62 80 20 0
Robust Alpha Architect +6.20 11.01 -19.09 70 20 10
Sheltered Sam 70/30 Bill Bernstein +6.13 10.29 -17.80 67.9 30 2.1
Andrew Tobias Portfolio Andrew Tobias +5.80 9.61 -18.85 66.7 33.3 0
Stocks/Bonds 40/60 +5.55 7.38 -18.63 40 60 0
Golden Butterfly Tyler +5.50 7.90 -17.79 40 40 20
Coward's Portfolio Bill Bernstein +5.45 8.83 -15.87 60 40 0
Sheltered Sam 60/40 Bill Bernstein +5.44 8.95 -16.49 58.2 40 1.8
One-Decision Portfolio Marvin Appel +5.37 8.49 -16.74 50 50 0
Ideal Index Frank Armstrong +5.25 10.12 -18.25 70 30 0
Big Rocks Portfolio Larry Swedroe +5.07 8.97 -15.71 60 40 0
Sandwich Portfolio Bob Clyatt +5.00 8.15 -19.10 55 45 0
Five Asset Roger Gibson +4.94 10.79 -19.30 60 20 20
Dynamic 60/40 Income +4.90 8.82 -18.21 60 40 0
Simple Money Portfolio Tim Maurer +4.88 9.17 -18.44 60 40 0
Sheltered Sam 50/50 Bill Bernstein +4.74 7.64 -15.17 48.5 50 1.5
Edge Select Moderately Conservative Merrill Lynch +4.72 7.12 -18.53 37 63 0
Permanent Portfolio Harry Browne +4.66 7.02 -15.92 25 50 25
Lifepath Fund iShares +4.61 7.29 -18.92 40.4 59.6 0
Desert Portfolio Gyroscopic Investing +4.55 5.60 -14.72 30 60 10
LifeStrategy Conservative Growth Vanguard +4.51 7.12 -18.57 40 60 0
Simplified Permanent Portfolio +4.49 7.06 -16.43 25 50 25
Ultimate Buy&Hold FundAdvice +4.46 9.04 -18.44 60 40 0
Dynamic 40/60 Income +4.02 7.53 -17.33 40 60 0
Sheltered Sam 40/60 Bill Bernstein +4.02 6.37 -13.86 38.8 60 1.2
7Twelve Portfolio Craig Israelsen +3.71 9.40 -17.90 50 33.3 16.7
Rob Arnott Portfolio Rob Arnott +3.64 7.38 -17.86 30 60 10
Zefiro Portfolio Zefiro SCF +3.50 7.31 -15.09 20 50 30
Stocks/Bonds 20/80 Momentum +3.50 5.51 -17.91 20 80 0
Stocks/Bonds 20/80 +3.48 5.42 -16.57 20 80 0
Sheltered Sam 30/70 Bill Bernstein +3.28 5.16 -12.55 29.1 70 0.9
Edge Select Conservative Merrill Lynch +3.14 4.45 -12.44 21 79 0
Developed World ex-US 40/60 Momentum +3.09 6.63 -19.40 40 60 0

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

Swipe left to see all data
5 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Developed World ex-US 40/60 Momentum +1.88 8.26 -19.40 40 60 0
Developed World ex-US 40/60 +1.71 8.92 -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 +6.61 9.01 -19.77 50 50 0
Stocks/Bonds 40/60 Momentum +5.58 7.52 -21.11 40 60 0
Stocks/Bonds 40/60 +5.55 7.38 -18.63 40 60 0
One-Decision Portfolio Marvin Appel +5.37 8.49 -16.74 50 50 0
Four Square Scott Burns +4.95 8.37 -19.67 50 50 0