Developed World ex-US 40/60 Momentum vs DFA Dimensional Retirement Income Fund 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
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond November 2024.
Reset settings
Close
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
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
December 2014
1.45$
Final Capital
November 2024
3.77%
Yearly Return
4.89
Std Deviation
-12.16%
Max Drawdown
29months
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
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
August 2009
1.96$
Final Capital
November 2024
4.48%
Yearly Return
4.61
Std Deviation
-12.16%
Max Drawdown
29months
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 DFA Dimensional Retirement Income Fund Portfolio obtained a 3.77% compound annual return, with a 4.89% 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)
Swipe left to see all data
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_dfa.webp Dimensional Retirement Income Fund
DFA 		7.33 1.12 4.43 9.95 4.30 3.77 4.48
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).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since December 2014, now would be worth 1.45$, with a total return of 44.79% (3.77% annualized).


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

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since August 2009, now would be worth 1.96$, with a total return of 95.80% (4.48% annualized).


Loading data
Please wait

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)
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 (%) 12.64 9.95
Infl. Adjusted Return (%) 9.64 7.03
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -1.33
Start to Recovery (months) 4 2*
Longest Drawdown Depth (%) -2.55 -1.33
Start to Recovery (months) 4 2*
Longest Negative Period (months) 3 2
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.04 3.79
Sharpe Ratio 1.23 1.25
Sortino Ratio 1.53 1.55
Ulcer Index 0.96 0.53
Ratio: Return / Standard Deviation 2.09 2.62
Ratio: Return / Deepest Drawdown 4.96 7.47
Metrics calculated over the period 1 December 2023 - 30 November 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 (%) 3.42 4.30
Infl. Adjusted Return (%) -0.73 0.11
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) 47 34
RISK INDICATORS
Standard Deviation (%) 8.70 6.16
Sharpe Ratio 0.13 0.33
Sortino Ratio 0.17 0.42
Ulcer Index 7.52 4.28
Ratio: Return / Standard Deviation 0.39 0.70
Ratio: Return / Deepest Drawdown 0.18 0.35
Metrics calculated over the period 1 December 2019 - 30 November 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 (%) 3.93 3.77
Infl. Adjusted Return (%) 0.97 0.81
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 (%) 6.96 4.89
Sharpe Ratio 0.34 0.45
Sortino Ratio 0.45 0.60
Ulcer Index 5.55 3.16
Ratio: Return / Standard Deviation 0.56 0.77
Ratio: Return / Deepest Drawdown 0.20 0.31
Metrics calculated over the period 1 December 2014 - 30 November 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 (%) 5.22 4.48
Infl. Adjusted Return (%) 2.59 1.87
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 4.61
Sharpe Ratio 0.61 0.75
Sortino Ratio 0.80 1.00
Ulcer Index 4.70 2.64
Ratio: Return / Standard Deviation 0.75 0.97
Ratio: Return / Deepest Drawdown 0.27 0.37
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)

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
-2.15 2* Oct 2024
In progress
-1.62 5 Jan 2021
May 2021
-1.56 3 Sep 2020
Nov 2020
-1.35 4 Oct 2016
Jan 2017
-1.33 2* Oct 2024
In progress
-1.33 7 Feb 2018
Aug 2018

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
-2.15 2* Oct 2024
In progress

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:

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
 8.99 -2.55 7.33 -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