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

Period: August 2009 - August 2024 (~15 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
September 2014
1.45$
Final Capital
August 2024
3.81%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
September 2014
1.42$
Final Capital
August 2024
3.55%
Yearly Return
4.90
Std Deviation
-12.16%
Max Drawdown
29 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
August 2024
5.30%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
August 2009
1.93$
Final Capital
August 2024
4.46%
Yearly Return
4.61
Std Deviation
-12.16%
Max Drawdown
29 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.81% compound annual return, with a 6.93% standard deviation, in the last 10 Years.

The DFA Dimensional Retirement Income Fund Portfolio obtained a 3.55% compound annual return, with a 4.90% standard deviation, in the last 10 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 31 August 2024 (~15 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 8.83 1.02 5.89 14.61 3.57 3.81 5.30
Dimensional Retirement Income Fund
DFA 		5.87 0.80 4.85 9.20 4.28 3.55 4.46
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since September 2014, now would be worth 1.45$, with a total return of 45.36% (3.81% annualized).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since September 2014, now would be worth 1.42$, with a total return of 41.79% (3.55% 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 117.83% (5.30% annualized).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since August 2009, now would be worth 1.93$, with a total return of 93.14% (4.46% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 August 2009 - 31 August 2024 (~15 years)
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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 (%) 14.61 9.20
Infl. Adjusted Return (%) 11.92 6.64
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -2.51
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -2.51
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 7.68 4.92
Sharpe Ratio 1.21 0.78
Sortino Ratio 1.64 1.08
Ulcer Index 1.33 0.92
Ratio: Return / Standard Deviation 1.90 1.87
Ratio: Return / Deepest Drawdown 4.60 3.66
Metrics calculated over the period 1 September 2023 - 31 August 2024
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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 (%) 3.57 4.28
Infl. Adjusted Return (%) -0.55 0.14
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 6.09
Sharpe Ratio 0.17 0.35
Sortino Ratio 0.22 0.46
Ulcer Index 7.52 4.28
Ratio: Return / Standard Deviation 0.41 0.70
Ratio: Return / Deepest Drawdown 0.18 0.35
Metrics calculated over the period 1 September 2019 - 31 August 2024
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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 (%) 3.81 3.55
Infl. Adjusted Return (%) 0.97 0.71
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 4.90
Sharpe Ratio 0.34 0.43
Sortino Ratio 0.45 0.57
Ulcer Index 5.55 3.16
Ratio: Return / Standard Deviation 0.55 0.73
Ratio: Return / Deepest Drawdown 0.20 0.29
Metrics calculated over the period 1 September 2014 - 31 August 2024
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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 (%) 5.30 4.46
Infl. Adjusted Return (%) 2.69 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 (%) 6.95 4.61
Sharpe Ratio 0.63 0.76
Sortino Ratio 0.83 1.01
Ulcer Index 4.73 2.66
Ratio: Return / Standard Deviation 0.76 0.97
Ratio: Return / Deepest Drawdown 0.27 0.37
Metrics calculated over the period 1 August 2009 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 August 2009 - 31 August 2024 (~15 years)

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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
-1.95 6 Sep 2014
Feb 2015
-1.62 5 Jan 2021
May 2021
-1.56 3 Sep 2020
Nov 2020
-1.52 6 Sep 2014
Feb 2015
-1.35 4 Oct 2016
Jan 2017
-1.33 7 Feb 2018
Aug 2018

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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

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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 - 31 August 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 Dimensional Retirement Income Fund
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 5.87% -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%