Developed World ex-US 40/60 Momentum vs Bill Bernstein Coward's Portfolio Comparison

Simulation Settings
Period: August 2009 - November 2024 (~15 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
December 2014
1.47$
Final Capital
November 2024
3.93%
Yearly Return
6.96
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Bill Bernstein Coward's Portfolio
1.00$
Initial Capital
December 2014
1.83$
Final Capital
November 2024
6.22%
Yearly Return
9.23
Std Deviation
-15.87%
Max Drawdown
26months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
November 2024
5.22%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Bill Bernstein Coward's Portfolio
1.00$
Initial Capital
August 2009
2.99$
Final Capital
November 2024
7.40%
Yearly Return
9.02
Std Deviation
-15.87%
Max Drawdown
26months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.93% compound annual return, with a 6.96% standard deviation, in the last 10 Years.

The Bill Bernstein Coward's Portfolio obtained a 6.22% compound annual return, with a 9.23% standard deviation, in the last 10 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 November 2024 (~15 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_world.webp Developed World ex-US 40/60 Momentum
-- Market Benchmark 		8.99 1.48 3.47 12.64 3.42 3.93 5.22
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_bernstein.webp Coward's Portfolio
Bill Bernstein 		12.22 3.41 8.78 17.59 6.85 6.22 7.40
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since December 2014, now would be worth 1.47$, with a total return of 47.03% (3.93% annualized).

Bill Bernstein Coward's Portfolio: an investment of 1$, since December 2014, now would be worth 1.83$, with a total return of 82.85% (6.22% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.18$, with a total return of 118.15% (5.22% annualized).

Bill Bernstein Coward's Portfolio: an investment of 1$, since August 2009, now would be worth 2.99$, with a total return of 199.02% (7.40% annualized).


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Metrics as of Nov 30, 2024

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

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 August 2009 - 30 November 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.64 17.59
Infl. Adjusted Return (%) 9.64 14.46
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.89
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -2.89
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.04 7.52
Sharpe Ratio 1.23 1.64
Sortino Ratio 1.53 2.14
Ulcer Index 0.96 0.96
Ratio: Return / Standard Deviation 2.09 2.34
Ratio: Return / Deepest Drawdown 4.96 6.08
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Developed World ex-US 40/60 Momentum Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.42 6.85
Infl. Adjusted Return (%) -0.73 2.56
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Negative Period (months) 47 32
RISK INDICATORS
Standard Deviation (%) 8.70 11.01
Sharpe Ratio 0.13 0.41
Sortino Ratio 0.17 0.55
Ulcer Index 7.52 5.82
Ratio: Return / Standard Deviation 0.39 0.62
Ratio: Return / Deepest Drawdown 0.18 0.43
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Developed World ex-US 40/60 Momentum Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.93 6.22
Infl. Adjusted Return (%) 0.97 3.19
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.96 9.23
Sharpe Ratio 0.34 0.50
Sortino Ratio 0.45 0.68
Ulcer Index 5.55 4.46
Ratio: Return / Standard Deviation 0.56 0.67
Ratio: Return / Deepest Drawdown 0.20 0.39
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Developed World ex-US 40/60 Momentum Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.22 7.40
Infl. Adjusted Return (%) 2.59 4.72
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.93 9.02
Sharpe Ratio 0.61 0.71
Sortino Ratio 0.80 0.95
Ulcer Index 4.70 3.98
Ratio: Return / Standard Deviation 0.75 0.82
Ratio: Return / Deepest Drawdown 0.27 0.47
Metrics calculated over the period 1 August 2009 - 30 November 2024

Drawdowns

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

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Developed World ex-US 40/60 Momentum Coward's Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.87 26 Jan 2022
Feb 2024
-14.45 11 Jan 2020
Nov 2020
-8.41 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-6.36 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.85 2 May 2019
Jun 2019
-2.98 6 Feb 2018
Jul 2018
-2.89 3 Apr 2024
Jun 2024
-2.35 2 Sep 2021
Oct 2021
-2.15 2* Oct 2024
In progress
-1.72 2 Nov 2021
Dec 2021

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Developed World ex-US 40/60 Momentum Coward's Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.87 26 Jan 2022
Feb 2024
-14.45 11 Jan 2020
Nov 2020
-12.22 11 May 2011
Mar 2012
-8.94 15 May 2011
Jul 2012
-8.41 8 Sep 2018
Apr 2019
-7.73 6 May 2010
Oct 2010
-7.72 5 Feb 2020
Jun 2020
-6.36 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-5.08 6 Apr 2012
Sep 2012
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 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 November 2024 (~15 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 Coward's Portfolio
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 8.99 -2.55 12.22 -2.89
2023
 10.83 -4.47 11.70 -6.86
2022
 -14.37 -19.07 -10.59 -15.87
2021
 1.27 -2.17 13.60 -2.35
2020
 11.65 -7.72 7.17 -14.45
2019
 14.52 -0.27 16.66 -3.85
2018
 -4.03 -6.00 -4.86 -8.41
2017
 11.62 -0.20 11.81 -0.17
2016
 2.96 -4.27 9.49 -3.00
2015
 0.07 -5.38 -1.25 -6.03
2014
 1.57 -1.52 5.28 -2.42
2013
 8.39 -5.17 16.34 -2.03
2012
 12.90 -3.09 10.41 -5.08
2011
 -0.59 -8.94 -1.01 -12.22
2010
 10.77 -4.04 11.88 -7.73