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

Data Source: from August 2009 to November 2023 (~14 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 11 2023, 11:00AM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.03%
1 Day
Dec 11 2023, 11:00AM Eastern Time
0.67%
Current Month
December 2023

The Developed World ex-US 60/40 Momentum Portfolio is a High Risk portfolio and can be implemented with 2 ETFs.

It's exposed for 60% on the Stock Market.

In the last 10 Years, the Developed World ex-US 60/40 Momentum Portfolio obtained a 3.36% compound annual return, with a 8.88% standard deviation.

Table of contents

Asset Allocation and ETFs

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

60% Stocks
40% Fixed Income
0% Commodities

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

Weight (%) Ticker Currency ETF Name Investment Themes
60.00
IMTM
USD iShares MSCI Intl Momentum Factor ETF Equity, EAFE, Large Cap
40.00
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 Nov 30, 2023

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

Returns are calculated in USD, assuming: December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DEVELOPED WORLD EX-US 60/40 MOMENTUM PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 11 2023, 11:00AM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Nov 30, 2023
  1 Day Time ET(*) Dec 2023 1M 6M 1Y 5Y 10Y MAX
(~14Y)
Developed World ex-US 60/40 Momentum Portfolio 0.03 0.67 6.14 4.48 5.95 4.51 3.36 5.16
US Inflation Adjusted return 6.14 3.28 2.52 0.42 0.52 2.57
Components
IMTM
USD iShares MSCI Intl Momentum Factor ETF 0.12 10:58AM, Dec 11 2023 0.54 7.95 6.43 8.31 6.93 3.87 5.80
BNDX
USD Vanguard Total International Bond -0.11 11:00AM, Dec 11 2023 0.86 3.43 1.56 2.49 0.52 2.06 3.61
Returns over 1 year are annualized | Available data source: since Aug 2009
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023. Waiting for updates, inflation of Nov 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.35% , 5Y: 4.07% , 10Y: 2.82%
Live update: World Markets and Indexes

In 2022, the Developed World ex-US 60/40 Momentum Portfolio granted a 1.84% dividend yield. If you are interested in getting periodic income, please refer to the Developed World ex-US 60/40 Momentum Portfolio: Dividend Yield page.

Capital Growth as of Nov 30, 2023

An investment of 1$, since December 2013, now would be worth 1.39$, with a total return of 39.10% (3.36% annualized).

The Inflation Adjusted Capital now would be 1.05$, with a net total return of 5.37% (0.52% annualized).
An investment of 1$, since August 2009, now would be worth 2.06$, with a total return of 105.67% (5.16% annualized).

The Inflation Adjusted Capital now would be 1.44$, with a net total return of 43.96% (2.57% annualized).
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Portfolio Metrics as of Nov 30, 2023

Metrics of Developed World ex-US 60/40 Momentum Portfolio, updated as of 30 November 2023.

Metrics are calculated based on monthly returns, assuming:
DEVELOPED WORLD EX-US 60/40 MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
Swipe left to see all data
Metrics as of Nov 30, 2023
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~14Y)
Investment Return (%) 6.14 2.10 4.48 5.95 -0.69 4.51 3.36 5.16
Infl. Adjusted Return (%) details 6.14 1.89 3.28 2.52 -6.08 0.42 0.52 2.57
US Inflation (%) 0.00 0.21 1.17 3.35 5.74 4.07 2.82 2.52
Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y MAX
Deepest Drawdown Depth (%) -5.80 -22.23 -22.23 -22.23 -22.23
Start to Recovery (# months) details 4* 25* 25* 25* 25*
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2021 11
Start to Bottom (# months) 3 11 11 11 11
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 14 14 14 14
End (yyyy mm) - - - - -
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 11 2021 11 2021 11 2021 11
Start to Bottom (# months) 3 11 11 11 11
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 14 14 14 14
End (yyyy mm) - - - - -
Longest negative period (# months) details 11 36* 41 56 56
Period Start (yyyy mm) 2022 12 2020 12 2019 05 2018 02 2018 02
Period End (yyyy mm) 2023 10 2023 11 2022 09 2022 09 2022 09
Annualized Return (%) -0.20 -0.69 -0.12 -0.56 -0.56
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -6.40 -29.60 -29.60 -29.60 -29.60
Start to Recovery (# months) details 4* 35* 35* 35* 35*
Start (yyyy mm) 2023 08 2021 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 3 21 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 14 14 14 14
End (yyyy mm) - - - - -
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 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 3 21 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 1 14 14 14 14
End (yyyy mm) - - - - -
Longest negative period (# months) details 11 36* 59 119 119
Period Start (yyyy mm) 2022 12 2020 12 2018 12 2013 12 2013 12
Period End (yyyy mm) 2023 10 2023 11 2023 10 2023 10 2023 10
Annualized Return (%) -3.72 -6.08 -0.78 -0.07 -0.07
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 10.19 11.24 10.92 8.88 9.55
Sharpe Ratio 0.11 -0.23 0.26 0.26 0.12
Sortino Ratio 0.16 -0.33 0.35 0.35 0.16
Ulcer Index 2.45 10.08 8.04 6.27 5.91
Ratio: Return / Standard Deviation 0.58 -0.06 0.41 0.38 0.54
Ratio: Return / Deepest Drawdown 1.03 -0.03 0.20 0.15 0.23
% Positive Months details 50% 52% 61% 60% 61%
Positive Months 6 19 37 72 106
Negative Months 6 17 23 48 66
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 3.36 7.07
Worst 10 Years Return (%) - Annualized 2.80
Best 10 Years Return (%) - Annualized 0.52 5.06
Worst 10 Years Return (%) - Annualized 0.00
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 25.60 11.83 8.56 3.36
Worst Rolling Return (%) - Annualized -20.02 -1.42 0.49
% Positive Periods 66% 90% 100% 100%
Best Rolling Return (%) - Annualized 22.40 8.01 6.43 0.52
Worst Rolling Return (%) - Annualized -26.08 -6.54 -3.15
% Positive Periods 60% 74% 70% 100%
Over all the available data source (Aug 2009 - Nov 2023)
Best Rolling Return (%) - Annualized 25.60 11.83 8.56 7.07
Worst Rolling Return (%) - Annualized -20.02 -1.42 0.49 2.80
% Positive Periods 70% 94% 100% 100%
Best Rolling Return (%) - Annualized 22.40 8.76 6.43 5.06
Worst Rolling Return (%) - Annualized -26.08 -6.54 -3.15 0.00
% Positive Periods 65% 83% 84% 100%
WITHDRAWAL RATES (WR)
1Y 3Y 5Y 10Y MAX
Safe WR (%) 31.00 21.98 10.68 9.72
Perpetual WR (%) 0.00 0.42 0.52 2.51
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 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).
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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 30 November 2023
Swipe left to see all data
Asset
IMTM
BNDX
IMTM
-
0.68
BNDX
0.68
-
Asset
IMTM
BNDX
IMTM
-
0.54
BNDX
0.54
-
Asset
IMTM
BNDX
IMTM
-
0.38
BNDX
0.38
-
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 60/40 MOMENTUM PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-22.23% Nov 2021 Sep 2022 11 in progress 14 25 12.01
-10.52% Feb 2018 Dec 2018 11 Jun 2019 6 17 4.70
-10.46% Feb 2020 Mar 2020 2 Jun 2020 3 5 5.30
-7.73% May 2015 Sep 2015 5 Jul 2016 10 15 4.34
-5.21% Aug 2016 Nov 2016 4 Mar 2017 4 8 2.46
-4.02% Jul 2014 Dec 2014 6 Apr 2015 4 10 2.20
-2.69% Sep 2021 Sep 2021 1 Oct 2021 1 2 1.55
-2.52% Jan 2014 Jan 2014 1 Feb 2014 1 2 1.45
-2.13% Oct 2020 Oct 2020 1 Nov 2020 1 2 1.23
-1.30% Jan 2021 Feb 2021 2 Apr 2021 2 4 0.83
-0.97% Jun 2021 Jun 2021 1 Jul 2021 1 2 0.56
-0.80% Mar 2014 Apr 2014 2 May 2014 1 3 0.50
-0.39% Nov 2017 Nov 2017 1 Dec 2017 1 2 0.23
-0.35% Jul 2019 Jul 2019 1 Aug 2019 1 2 0.20
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-29.60% Jan 2021 Sep 2022 21 in progress 14 35 17.10
-11.72% Feb 2018 Dec 2018 11 Dec 2019 12 23 5.36
-10.51% Feb 2020 Mar 2020 2 Jun 2020 3 5 5.20
-8.25% May 2015 Sep 2015 5 May 2017 20 25 4.29
-2.88% Jan 2014 Jan 2014 1 Feb 2015 13 14 1.83
-2.17% Oct 2020 Oct 2020 1 Nov 2020 1 2 1.25
-0.40% Nov 2017 Nov 2017 1 Dec 2017 1 2 0.23
-0.29% Mar 2015 Mar 2015 1 Apr 2015 1 2 0.17
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-22.23% Nov 2021 Sep 2022 11 in progress 14 25 12.01
-15.10% May 2011 Sep 2011 5 Nov 2012 14 19 7.35
-10.52% Feb 2018 Dec 2018 11 Jun 2019 6 17 4.70
-10.46% Feb 2020 Mar 2020 2 Jun 2020 3 5 5.30
-7.73% May 2015 Sep 2015 5 Jul 2016 10 15 4.34
-6.85% Apr 2010 Jun 2010 3 Sep 2010 3 6 3.74
-5.64% May 2013 Jun 2013 2 Sep 2013 3 5 3.77
-5.21% Aug 2016 Nov 2016 4 Mar 2017 4 8 2.46
-4.02% Jul 2014 Dec 2014 6 Apr 2015 4 10 2.20
-3.50% Jan 2010 Jan 2010 1 Mar 2010 2 3 2.25
-2.69% Sep 2021 Sep 2021 1 Oct 2021 1 2 1.55
-2.52% Jan 2014 Jan 2014 1 Feb 2014 1 2 1.45
-2.48% Nov 2010 Nov 2010 1 Dec 2010 1 2 1.43
-2.13% Oct 2020 Oct 2020 1 Nov 2020 1 2 1.23
-1.30% Jan 2021 Feb 2021 2 Apr 2021 2 4 0.83
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-29.60% Jan 2021 Sep 2022 21 in progress 14 35 17.10
-15.84% May 2011 Sep 2011 5 Jan 2013 16 21 7.95
-11.72% Feb 2018 Dec 2018 11 Dec 2019 12 23 5.36
-10.51% Feb 2020 Mar 2020 2 Jun 2020 3 5 5.20
-8.25% May 2015 Sep 2015 5 May 2017 20 25 4.29
-7.06% Apr 2010 May 2010 2 Sep 2010 4 6 3.87
-6.03% May 2013 Jun 2013 2 Oct 2013 4 6 3.79
-3.83% Jan 2010 Jan 2010 1 Mar 2010 2 3 2.49
-2.88% Jan 2014 Jan 2014 1 Feb 2015 13 14 1.83
-2.52% Nov 2010 Nov 2010 1 Dec 2010 1 2 1.45
-2.17% Oct 2020 Oct 2020 1 Nov 2020 1 2 1.25
-1.15% Oct 2009 Oct 2009 1 Nov 2009 1 2 0.66
-1.03% Mar 2011 Mar 2011 1 Apr 2011 1 2 0.60
-0.45% Feb 2013 Feb 2013 1 Mar 2013 1 2 0.26
-0.40% Nov 2017 Nov 2017 1 Dec 2017 1 2 0.23

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 60/40 MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 August 2009 - 30 November 2023 (~14 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 -20.02 10/2021
09/2022 		0.79$ -4.68 0.95$ 4.05 1.04$ 12.45 1.12$ 25.60 04/2020
03/2021 		1.25$ 5.95 33.03%
2Y -7.21 10/2020
09/2022 		0.86$ -3.85 0.92$ 3.76 1.07$ 9.50 1.19$ 16.49 01/2019
12/2020 		1.35$ -3.05 27.84%
3Y -1.42 10/2019
09/2022 		0.95$ 1.13 1.03$ 4.87 1.15$ 7.62 1.24$ 11.83 01/2019
12/2021 		1.39$ -0.69 9.41%
5Y 0.49 10/2017
09/2022 		1.02$ 2.25 1.11$ 4.14 1.22$ 7.71 1.44$ 8.56 02/2016
01/2021 		1.50$ 4.51 0.00%
7Y 2.99 10/2015
09/2022 		1.22$ 3.51 1.27$ 4.75 1.38$ 5.68 1.47$ 6.25 01/2015
12/2021 		1.52$ 4.93 0.00%
10Y 3.36 12/2013
11/2023 		1.39$ 3.36 1.39$ 3.36 1.39$ 3.36 1.39$ 3.36 12/2013
11/2023 		1.39$ 3.36 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 -26.08 10/2021
09/2022 		0.73$ -7.95 0.92$ 2.10 1.02$ 9.76 1.09$ 22.40 04/2020
03/2021 		1.22$ 2.52 39.45%
2Y -13.11 10/2020
09/2022 		0.75$ -9.28 0.82$ 1.67 1.03$ 6.72 1.13$ 14.41 01/2019
12/2020 		1.30$ -7.86 36.08%
3Y -6.54 10/2020
09/2023 		0.81$ -3.55 0.89$ 2.82 1.08$ 5.25 1.16$ 8.01 01/2019
12/2021 		1.26$ -6.08 25.88%
5Y -3.15 10/2017
09/2022 		0.85$ -1.32 0.93$ 2.03 1.10$ 5.43 1.30$ 6.43 02/2016
01/2021 		1.36$ 0.42 29.51%
7Y -0.21 10/2015
09/2022 		0.98$ 0.31 1.02$ 1.32 1.09$ 3.71 1.29$ 4.07 02/2014
01/2021 		1.32$ 1.35 10.81%
10Y 0.52 12/2013
11/2023 		1.05$ 0.52 1.05$ 0.52 1.05$ 0.52 1.05$ 0.52 12/2013
11/2023 		1.05$ 0.52 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 -20.02 10/2021
09/2022 		0.79$ -3.76 0.96$ 6.02 1.06$ 14.28 1.14$ 25.60 04/2020
03/2021 		1.25$ 5.95 29.19%
2Y -7.21 10/2020
09/2022 		0.86$ -0.98 0.98$ 4.93 1.10$ 10.56 1.22$ 16.49 01/2019
12/2020 		1.35$ -3.05 19.46%
3Y -1.42 10/2019
09/2022 		0.95$ 1.72 1.05$ 5.71 1.18$ 8.17 1.26$ 11.83 01/2019
12/2021 		1.39$ -0.69 5.84%
5Y 0.49 10/2017
09/2022 		1.02$ 2.80 1.14$ 4.83 1.26$ 7.37 1.42$ 8.56 02/2016
01/2021 		1.50$ 4.51 0.00%
7Y 2.99 10/2015
09/2022 		1.22$ 3.90 1.30$ 5.12 1.41$ 5.75 1.47$ 6.83 10/2011
09/2018 		1.58$ 4.93 0.00%
10Y 2.80 11/2013
10/2023 		1.31$ 3.58 1.42$ 5.57 1.71$ 6.18 1.82$ 7.07 10/2011
09/2021 		1.97$ 3.36 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 -26.08 10/2021
09/2022 		0.73$ -6.60 0.93$ 3.78 1.03$ 12.08 1.12$ 22.40 04/2020
03/2021 		1.22$ 2.52 34.16%
2Y -13.11 10/2020
09/2022 		0.75$ -1.98 0.96$ 2.85 1.05$ 7.89 1.16$ 14.41 01/2019
12/2020 		1.30$ -7.86 25.50%
3Y -6.54 10/2020
09/2023 		0.81$ -0.38 0.98$ 3.59 1.11$ 6.00 1.19$ 8.76 10/2011
09/2014 		1.28$ -6.08 16.79%
5Y -3.15 10/2017
09/2022 		0.85$ -0.51 0.97$ 3.17 1.16$ 5.43 1.30$ 6.43 02/2016
01/2021 		1.36$ 0.42 15.93%
7Y -0.21 10/2015
09/2022 		0.98$ 0.75 1.05$ 3.44 1.26$ 3.91 1.30$ 5.22 10/2011
09/2018 		1.42$ 1.35 4.49%
10Y 0.00 11/2013
10/2023 		1.00$ 0.96 1.10$ 3.67 1.43$ 4.35 1.53$ 5.06 10/2011
09/2021 		1.63$ 0.52 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 60/40 Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Developed World ex-US 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.
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
1.03
60%
-1.47
20%
-0.39
80%
0.85
80%
0.41
60%
0.82
60%
1.72
80%
-0.66
60%
-2.30
40%
1.02
60%
3.39
80%
0.60
60%
Best 4.5
2019 		1.7
2019 		2.3
2023 		4.8
2020 		4.0
2020 		4.6
2019 		3.4
2020 		1.7
2020 		0.2
2020 		4.0
2022 		6.9
2022 		3.6
2020
Worst -3.9
2022 		-3.9
2020 		-6.8
2020 		-6.0
2022 		-2.8
2023 		-5.7
2022 		-0.4
2019 		-4.1
2022 		-6.3
2022 		-2.1
2020 		-2.5
2021 		-2.8
2018
Monthly Seasonality over the period Sep 2009 - Nov 2023
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.77
60%
-0.49
40%
0.27
70%
0.85
80%
0.50
60%
0.63
70%
1.16
80%
-0.60
50%
-1.40
40%
0.07
50%
1.49
60%
0.46
60%
Best 4.5
2019 		2.7
2014 		3.2
2016 		4.8
2020 		4.0
2020 		4.6
2019 		3.4
2020 		1.7
2020 		2.1
2017 		4.0
2022 		6.9
2022 		3.6
2020
Worst -3.9
2022 		-3.9
2020 		-6.8
2020 		-6.0
2022 		-2.8
2023 		-5.7
2022 		-1.4
2014 		-4.1
2022 		-6.3
2022 		-5.8
2018 		-2.5
2021 		-2.8
2018
Monthly Seasonality over the period Sep 2009 - Nov 2023
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.67
64%
0.03
57%
0.75
71%
1.21
79%
-0.88
43%
0.55
57%
1.58
79%
-0.63
47%
-0.24
53%
0.63
60%
1.06
60%
0.83
71%
Best 4.5
2019 		2.7
2014 		5.4
2010 		4.8
2020 		4.0
2020 		4.6
2019 		6.3
2010 		3.3
2009 		7.0
2010 		5.7
2011 		6.9
2022 		4.3
2010
Worst -3.9
2022 		-3.9
2020 		-6.8
2020 		-6.0
2022 		-6.6
2010 		-5.7
2022 		-1.4
2014 		-5.7
2011 		-7.6
2011 		-5.8
2018 		-2.5
2021 		-2.8
2018
Monthly Seasonality over the period Sep 2009 - Nov 2023

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Developed World ex-US 60/40 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 60/40 MOMENTUM PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 August 2009 - 30 November 2023 (~14 years)
72 Positive Months (60%) - 48 Negative Months (40%)
106 Positive Months (62%) - 66 Negative Months (38%)
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(Scroll down to see all data)
Investment Returns, up to January 2015, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can see details about extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • IMTM - iShares MSCI Intl Momentum Factor ETF, up to January 2015
  • BNDX - Vanguard Total International Bond, 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
Cape US Sector Value Robert Shiller +13.36 15.80 -21.00 100 0 0
US Stocks Minimum Volatility +10.13 12.15 -19.06 100 0 0
Stocks/Bonds 60/40 +7.37 10.11 -20.69 60 40 0
Aim Bold Strategy Aim Ways +6.91 9.41 -20.16 45 40 15
Perfect Portfolio Ben Stein +6.67 11.80 -18.62 80 20 0
Couch Potato Scott Burns +6.57 9.18 -19.77 50 50 0
Sheltered Sam 80/20 Bill Bernstein +6.51 11.91 -19.89 77.6 20 2.4
Seven Value Scott Burns +6.32 11.79 -20.44 71.5 28.5 0
No Brainer Portfolio Bill Bernstein +6.15 11.60 -19.76 75 25 0
Long Term Portfolio Ben Stein +6.14 11.88 -20.52 80 20 0
Robust Alpha Architect +6.04 11.21 -19.09 70 20 10
Sheltered Sam 70/30 Bill Bernstein +5.88 10.51 -17.80 67.9 30 2.1
Six Ways from Sunday Scott Burns +5.78 11.50 -19.67 66.7 33.3 0
Margaritaville Scott Burns +5.74 10.70 -21.96 67 33 0
Edge Select Moderate Merrill Lynch +5.73 9.27 -20.56 53 47 0
LifeStrategy Moderate Growth Vanguard +5.71 9.67 -20.84 60 40 0
Tilt Toward Value Time Inc +5.66 9.73 -20.45 60 40 0
Dimensional 2030 Retirement Income DFA +5.64 9.30 -20.34 55.9 44.1 0
Simple and Cheap Time Inc +5.58 9.66 -21.27 60 40 0
One-Decision Portfolio Marvin Appel +5.48 8.80 -16.74 50 50 0
Andrew Tobias Portfolio Andrew Tobias +5.48 9.77 -18.85 66.7 33.3 0
All Country World 60/40 +5.48 10.05 -21.52 60 40 0
Stocks/Bonds 40/60 Momentum +5.44 7.77 -21.11 40 60 0
Marc Faber Portfolio Marc Faber +5.43 9.66 -19.93 50 25 25
Stocks/Bonds 40/60 +5.41 7.69 -18.63 40 60 0
Coffeehouse Bill Schultheis +5.35 10.11 -19.65 60 40 0
Five Fold Scott Burns +5.31 9.81 -21.60 60 40 0
Golden Butterfly Tyler +5.29 8.22 -17.79 40 40 20
Dynamic 60/40 Income +5.24 9.11 -18.21 60 40 0
Sheltered Sam 60/40 Bill Bernstein +5.24 9.14 -16.49 58.2 40 1.8
Coward's Portfolio Bill Bernstein +5.17 9.04 -15.87 60 40 0
Nano Portfolio John Wasik +5.17 9.93 -22.12 60 40 0
Five Asset Roger Gibson +5.17 11.03 -19.30 60 20 20
Pinwheel +5.16 10.03 -19.49 65 25 10
Gone Fishin' Portfolio Alexander Green +5.11 11.25 -21.98 65 30 5
Ideal Index Frank Armstrong +4.92 10.34 -18.25 70 30 0
Permanent Portfolio Harry Browne +4.86 7.22 -15.92 25 50 25
Four Square Scott Burns +4.84 8.53 -19.67 50 50 0
All Weather Portfolio Ray Dalio +4.74 8.16 -20.58 30 55 15
Big Rocks Portfolio Larry Swedroe +4.73 9.15 -15.71 60 40 0
Stocks/Bonds 40/60 ESG +4.71 7.77 -19.76 40 60 0
Sandwich Portfolio Bob Clyatt +4.71 8.36 -19.10 55 45 0
Simplified Permanent Portfolio +4.66 7.18 -16.43 25 50 25
Edge Select Moderately Conservative Merrill Lynch +4.63 7.40 -18.53 37 63 0
Sheltered Sam 50/50 Bill Bernstein +4.59 7.79 -15.17 48.5 50 1.5
Gold +4.57 14.20 -20.76 0 0 100
Desert Portfolio Gyroscopic Investing +4.54 5.74 -14.72 30 60 10
Robo Advisor 50 Betterment +4.52 9.07 -20.25 49.9 50.1 0
Ivy Portfolio Mebane Faber +4.48 11.53 -21.77 60 20 20
GAA Global Asset Allocation Mebane Faber +4.46 8.64 -20.65 40.5 49.5 10
Lifepath Fund iShares +4.43 7.55 -18.92 40.4 59.6 0
LifeStrategy Conservative Growth Vanguard +4.37 7.37 -18.57 40 60 0
Simple Money Portfolio Tim Maurer +4.32 9.31 -18.44 60 40 0
Dynamic 40/60 Income +4.28 7.75 -17.33 40 60 0
All Country World 40/60 +4.28 7.86 -19.52 40 60 0
Ultimate Buy&Hold FundAdvice +4.10 9.21 -18.44 60 40 0
Sheltered Sam 40/60 Bill Bernstein +3.93 6.49 -13.86 38.8 60 1.2
Rob Arnott Portfolio Rob Arnott +3.83 7.66 -17.86 30 60 10
Zefiro Portfolio Zefiro SCF +3.73 7.41 -15.09 20 50 30
7Twelve Portfolio Craig Israelsen +3.65 9.60 -17.90 50 33.3 16.7
Stocks/Bonds 20/80 Momentum +3.41 5.78 -17.91 20 80 0
Stocks/Bonds 20/80 +3.39 5.73 -16.57 20 80 0
Developed World ex-US 60/40 Momentum +3.36 8.88 -22.23 60 40 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 60/40 Momentum +4.51 10.92 -22.23 60 40 0
Developed World ex-US 60/40 +3.95 12.18 -22.40 60 40 0

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

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10 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Simple Path to Wealth JL Collins +8.81 12.07 -22.24 75 25 0
Stocks/Bonds 60/40 Momentum +7.42 10.19 -24.21 60 40 0
Stocks/Bonds 60/40 +7.37 10.11 -20.69 60 40 0
Aim Bold Strategy Aim Ways +6.91 9.41 -20.16 45 40 15
Edge Select Moderately Aggressive Merrill Lynch +6.90 11.11 -22.31 69 31 0
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