Developed World ex-US 40/60 Momentum Portfolio vs US Stocks Minimum Volatility Portfolio Portfolio Comparison

Simulation Settings
Period: August 2009 - May 2025 (~16 years)
Consolidated Returns as of 31 May 2025
Initial Amount: 1$
Rebalancing: at every Jan 1st
Currency: USD
Inflation: US
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Results
All Data
(2009/08 - 2025/05)
Inflation Adjusted:
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Invested Capital
August 2009
2.33$
Final Capital
May 2025
5.49%
Yearly Return
6.93%
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
1.00$
Invested Capital
August 2009
1.56$
Final Capital
May 2025
2.85%
Yearly Return
6.93%
Std Deviation
-27.53%
Max Drawdown
53months*
Recovery Period
* in progress
US Stocks Minimum Volatility Portfolio
1.00$
Invested Capital
August 2009
6.49$
Final Capital
May 2025
12.54%
Yearly Return
12.15%
Std Deviation
-19.06%
Max Drawdown
10months
Recovery Period
1.00$
Invested Capital
August 2009
4.34$
Final Capital
May 2025
9.72%
Yearly Return
12.15%
Std Deviation
-21.68%
Max Drawdown
31months
Recovery Period

As of May 2025, over the analyzed timeframe, the Developed World ex-US 40/60 Momentum Portfolio obtained a 5.49% compound annual return, with a 6.93% standard deviation. It suffered a maximum drawdown of -19.40% that required 35 months to be recovered.

As of May 2025, over the analyzed timeframe, the US Stocks Minimum Volatility Portfolio obtained a 12.54% compound annual return, with a 12.15% standard deviation. It suffered a maximum drawdown of -19.06% that required 10 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.
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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Weight
(%)
Ticker Name
40.00
IMTM
iShares MSCI Intl Momentum Factor ETF
60.00
BNDX
Vanguard Total International Bond
Weight
(%)
Ticker Name
100.00
USMV
iShares Edge MSCI Min Vol USA
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Portfolio Returns as of May 31, 2025

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
Return Comparison
Capital Growth
All Data
(2009/08 - 2025/05)
Inflation Adjusted:
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Initial Amount $ Final Amount $ Total Return (%) Annualized (%)
Developed World ex-US 40/60 Momentum
1 $ 2.33 $ 132.99% 5.49%
US Stocks Minimum Volatility
1 $ 6.49 $ 548.82% 12.54%

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Initial Amount $ Final Amount $ Total Return (%) Annualized (%)
Developed World ex-US 40/60 Momentum
1 $ 1.56 $ 56.02% 2.85%
US Stocks Minimum Volatility
1 $ 4.34 $ 334.47% 9.72%

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Return (%) as of May 31, 2025
YTD
(5M)
1M 6M 1Y 5Y 10Y MAX
(~16Y)
https://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_world.webp Developed World ex-US 40/60 Momentum
-- Market Benchmark
8.79 2.37 6.81 10.51 4.57 4.39 5.49
https://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp US Stocks Minimum Volatility
-- Market Benchmark
5.68 1.05 -0.30 14.78 10.55 10.54 12.54
Returns over 1 year are annualized.
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Portfolio Metrics as of May 31, 2025

The following metrics, updated as of 31 May 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 June 2024 - 31 May 2025 (1 year)
Period: 1 June 2020 - 31 May 2025 (5 years)
Period: 1 June 2015 - 31 May 2025 (10 years)
Period: 1 August 2009 - 31 May 2025 (~16 years)
1 Year
5 Years
10 Years
All (2009/08 - 2025/05)
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.51 14.78
Infl. Adjusted (%) 7.95 12.11
DRAWDOWN
Deepest Drawdown Depth (%) -2.52 -5.66
Start to Recovery (months) 5 3
Longest Drawdown Depth (%) -2.52 -1.80
Start to Recovery (months) 5 3*
Longest Negative Period (months) 5 6*
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.73 10.35
Sharpe Ratio 1.01 0.97
Sortino Ratio 1.32 1.26
Ulcer Index 0.97 1.83
Ratio: Return / Standard Deviation 1.83 1.43
Ratio: Return / Deepest Drawdown 4.18 2.61
Metrics calculated over the period 1 June 2024 - 31 May 2025
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.57 10.55
Infl. Adjusted (%) -0.05 5.67
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Negative Period (months) 41 27
RISK INDICATORS
Standard Deviation (%) 8.27 12.99
Sharpe Ratio 0.24 0.61
Sortino Ratio 0.32 0.84
Ulcer Index 7.44 5.64
Ratio: Return / Standard Deviation 0.55 0.81
Ratio: Return / Deepest Drawdown 0.24 0.61
Metrics calculated over the period 1 June 2020 - 31 May 2025
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.39 10.54
Infl. Adjusted (%) 1.28 7.25
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.06
Start to Recovery (months) 35 10
Longest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Negative Period (months) 56 27
RISK INDICATORS
Standard Deviation (%) 7.10 12.42
Sharpe Ratio 0.37 0.70
Sortino Ratio 0.49 0.93
Ulcer Index 5.52 4.96
Ratio: Return / Standard Deviation 0.62 0.85
Ratio: Return / Deepest Drawdown 0.23 0.55
Metrics calculated over the period 1 June 2015 - 31 May 2025
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.49 12.54
Infl. Adjusted (%) 2.85 9.72
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.06
Start to Recovery (months) 35 10
Longest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Negative Period (months) 56 27
RISK INDICATORS
Standard Deviation (%) 6.93 12.15
Sharpe Ratio 0.63 0.94
Sortino Ratio 0.84 1.26
Ulcer Index 4.63 4.37
Ratio: Return / Standard Deviation 0.79 1.03
Ratio: Return / Deepest Drawdown 0.28 0.66
Metrics calculated over the period 1 August 2009 - 31 May 2025
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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.

DRAWDOWN COMPARISON
Period: 1 June 2015 - 31 May 2025 (10 years)
Period: 1 August 2009 - 31 May 2025 (~16 years)

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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-19.40 35 Sep 2021
Jul 2024
-19.06 10 Feb 2020
Nov 2020
-17.35 25 Jan 2022
Jan 2024
-12.81 6 May 2010
Oct 2010
-11.70 8 May 2011
Dec 2011
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.56 5 Oct 2018
Feb 2019
-6.00 14 Feb 2018
Mar 2019
-5.66 3 Dec 2024
Feb 2025
-5.38 14 May 2015
Jun 2016
-5.27 7 Aug 2016
Feb 2017
-5.17 6 May 2013
Oct 2013
-5.12 3 Aug 2015
Oct 2015
-4.99 2 Sep 2021
Oct 2021

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
Annualized Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 August 2009 - 31 May 2025 (~16 years)


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

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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.

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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Year Return
(%)
Drawdown
(%)
Return
(%)
Drawdown
(%)
2025
8.79 -0.80 5.68 -1.80
2024
7.00 -2.55 15.74 -5.66
2023
10.83 -4.47 10.33 -4.29
2022
-14.37 -19.07 -9.42 -17.35
2021
1.27 -2.17 20.84 -4.99
2020
11.65 -7.72 5.64 -19.06
2019
14.52 -0.27 27.69 -1.61
2018
-4.03 -6.00 1.36 -7.56
2017
11.62 -0.20 18.91 -0.35
2016
2.96 -4.27 10.57 -5.27
2015
0.07 -5.38 5.45 -5.12
2014
1.57 -1.52 16.33 -3.04
2013
8.39 -5.17 25.09 -3.26
2012
12.90 -3.09 10.82 -2.17
2011
-0.59 -8.94 12.70 -11.70
2010
10.77 -4.04 14.52 -12.81
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