Developed World ex-US 40/60 Momentum vs DFA Dimensional Retirement Income Fund Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond September 2024.
Reset settings
Close
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.05%
Yearly Return
6.91
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
October 2014
1.46$
Final Capital
September 2024
3.85%
Yearly Return
4.85
Std Deviation
-12.16%
Max Drawdown
29 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.20$
Final Capital
September 2024
5.33%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
August 2009
1.95$
Final Capital
September 2024
4.50%
Yearly Return
4.60
Std Deviation
-12.16%
Max Drawdown
29 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 4.05% compound annual return, with a 6.91% standard deviation, in the last 10 Years.

The DFA Dimensional Retirement Income Fund Portfolio obtained a 3.85% compound annual return, with a 4.85% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 September 2024 (~15 years)
Swipe left to see all data
Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 9.76 0.86 3.79 18.55 3.75 4.05 5.33
Dimensional Retirement Income Fund
DFA 		6.81 0.74 4.56 12.06 4.47 3.85 4.50
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 48.78% (4.05% annualized).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since October 2014, now would be worth 1.46$, with a total return of 45.89% (3.85% annualized).


Loading data
Please wait
Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 119.69% (5.33% annualized).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since August 2009, now would be worth 1.95$, with a total return of 94.85% (4.50% annualized).


Loading data
Please wait

Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 40% 20.4%
Fixed Income 60% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 12.06
Infl. Adjusted Return (%) 15.76 9.42
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -1.33
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -0.83
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 4.24
Sharpe Ratio 1.97 1.58
Sortino Ratio 2.73 2.23
Ulcer Index 0.75 0.44
Ratio: Return / Standard Deviation 2.77 2.85
Ratio: Return / Deepest Drawdown 7.27 9.07
Metrics calculated over the period 1 October 2023 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 40% 20.4%
Fixed Income 60% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 4.47
Infl. Adjusted Return (%) -0.41 0.28
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -12.16
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -12.16
Start to Recovery (months) 35 29
Longest Negative Period (months) 48 34
RISK INDICATORS
Standard Deviation (%) 8.62 6.10
Sharpe Ratio 0.18 0.38
Sortino Ratio 0.24 0.49
Ulcer Index 7.52 4.28
Ratio: Return / Standard Deviation 0.44 0.73
Ratio: Return / Deepest Drawdown 0.19 0.37
Metrics calculated over the period 1 October 2019 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 40% 20.4%
Fixed Income 60% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 3.85
Infl. Adjusted Return (%) 1.16 0.97
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -12.16
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -12.16
Start to Recovery (months) 35 29
Longest Negative Period (months) 56 34
RISK INDICATORS
Standard Deviation (%) 6.91 4.85
Sharpe Ratio 0.37 0.49
Sortino Ratio 0.49 0.64
Ulcer Index 5.54 3.15
Ratio: Return / Standard Deviation 0.59 0.79
Ratio: Return / Deepest Drawdown 0.21 0.32
Metrics calculated over the period 1 October 2014 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 40% 20.4%
Fixed Income 60% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 4.50
Infl. Adjusted Return (%) 2.71 1.90
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -12.16
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -12.16
Start to Recovery (months) 35 29
Longest Negative Period (months) 56 34
RISK INDICATORS
Standard Deviation (%) 6.93 4.60
Sharpe Ratio 0.63 0.77
Sortino Ratio 0.83 1.01
Ulcer Index 4.72 2.65
Ratio: Return / Standard Deviation 0.77 0.98
Ratio: Return / Deepest Drawdown 0.27 0.37
Metrics calculated over the period 1 August 2009 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-12.16 29 Jan 2022
May 2024
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.64 5 Feb 2020
Jun 2020
-4.27 8 Aug 2016
Mar 2017
-3.41 14 May 2015
Jun 2016
-3.15 7 Sep 2018
Mar 2019
-1.62 5 Jan 2021
May 2021
-1.56 3 Sep 2020
Nov 2020
-1.35 4 Oct 2016
Jan 2017
-1.33 7 Feb 2018
Aug 2018
-1.33 2 Sep 2021
Oct 2021
-1.33 2 Oct 2020
Nov 2020

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-12.16 29 Jan 2022
May 2024
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.64 5 Feb 2020
Jun 2020
-4.34 10 May 2013
Feb 2014
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.41 14 May 2015
Jun 2016
-3.15 7 Sep 2018
Mar 2019
-2.88 4 Aug 2011
Nov 2011
-2.00 2 Nov 2010
Dec 2010

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 August 2009 - 30 September 2024 (~15 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

Loading data
Please wait

Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dimensional Retirement Income Fund
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 6.81% -1.33%
2023
 10.83% -4.47% 7.92% -3.32%
2022
 -14.37% -19.07% -9.39% -12.16%
2021
 1.27% -2.17% 7.04% -1.33%
2020
 11.65% -7.72% 8.69% -4.64%
2019
 14.52% -0.27% 10.30% -0.66%
2018
 -4.03% -6.00% -1.96% -3.15%
2017
 11.62% -0.20% 6.78% -0.31%
2016
 2.96% -4.27% 4.66% -1.35%
2015
 0.07% -5.38% -0.87% -3.41%
2014
 1.57% -1.52% 2.89% -1.95%
2013
 8.39% -5.17% 1.29% -4.34%
2012
 12.90% -3.09% 7.36% -1.03%
2011
 -0.59% -8.94% 6.06% -2.88%
2010
 10.77% -4.04% 6.92% -1.91%