Developed World ex-US 40/60 Momentum Portfolio vs Stocks/Bonds 20/80 Momentum Portfolio 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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Results
10 Years
All (since August 2009)
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
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
Stocks/Bonds 20/80 Momentum Portfolio
1.00$
Initial Capital
December 2014
1.48$
Final Capital
November 2024
4.01%
Yearly Return
6.09%
Std Deviation
-17.91%
Max Drawdown
37months*
Recovery Period
* in progress
1.00$
Initial Capital
August 2009
2.15$
Final Capital
November 2024
5.12%
Yearly Return
5.26%
Std Deviation
-17.91%
Max Drawdown
37months*
Recovery Period
* in progress

As of November 2024, over the analyzed timeframe, the Developed World ex-US 40/60 Momentum Portfolio obtained a 5.22% 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 November 2024, over the analyzed timeframe, the Stocks/Bonds 20/80 Momentum Portfolio obtained a 5.12% compound annual return, with a 5.26% standard deviation. It suffered a maximum drawdown of -17.91% which has been ongoing for 37 months and is still in progress.

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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Developed World ex-US 40/60 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
40.00
IMTM
iShares MSCI Intl Momentum Factor ETF
60.00
BNDX
Vanguard Total International Bond
Stocks/Bonds 20/80 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
20.00
MTUM
iShares Edge MSCI USA Momentum Fctr
80.00
BND
Vanguard Total Bond Market
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Portfolio Returns as of Nov 30, 2024

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
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_us_author.webp Stocks/Bonds 20/80 Momentum
-- Market Benchmark 		10.21 2.49 7.36 14.39 2.72 4.01 5.12
Return over 1 year are annualized.
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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).

Stocks/Bonds 20/80 Momentum Portfolio: an investment of 1$, since December 2014, now would be worth 1.48$, with a total return of 48.23% (4.01% 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).

Stocks/Bonds 20/80 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.15$, with a total return of 115.07% (5.12% annualized).


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Portfolio Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk, with the best value in each row highlighted within the table.

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 Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.64 14.39
Infl. Adjusted Return (%) 9.64 11.35
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.12
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -3.12
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 3
RISK INDICATORS
Standard Deviation (%) 6.04 6.29
Sharpe Ratio 1.23 1.46
Sortino Ratio 1.53 1.75
Ulcer Index 0.96 1.03
Ratio: Return / Standard Deviation 2.09 2.29
Ratio: Return / Deepest Drawdown 4.96 4.62
Metrics calculated over the period 1 December 2023 - 30 November 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.42 2.72
Infl. Adjusted Return (%) -0.73 -1.40
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 37*
Longest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 37*
Longest Negative Period (months) 47 48
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.70 7.82
Sharpe Ratio 0.13 0.06
Sortino Ratio 0.17 0.07
Ulcer Index 7.52 8.88
Ratio: Return / Standard Deviation 0.39 0.35
Ratio: Return / Deepest Drawdown 0.18 0.15
Metrics calculated over the period 1 December 2019 - 30 November 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.93 4.01
Infl. Adjusted Return (%) 0.97 1.05
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 37*
Longest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 37*
Longest Negative Period (months) 56 53
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.96 6.09
Sharpe Ratio 0.34 0.40
Sortino Ratio 0.45 0.53
Ulcer Index 5.55 6.35
Ratio: Return / Standard Deviation 0.56 0.66
Ratio: Return / Deepest Drawdown 0.20 0.22
Metrics calculated over the period 1 December 2014 - 30 November 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.22 5.12
Infl. Adjusted Return (%) 2.59 2.50
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 37*
Longest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 37*
Longest Negative Period (months) 56 53
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.93 5.26
Sharpe Ratio 0.61 0.78
Sortino Ratio 0.80 1.02
Ulcer Index 4.70 5.15
Ratio: Return / Standard Deviation 0.75 0.97
Ratio: Return / Deepest Drawdown 0.27 0.29
Metrics calculated over the period 1 August 2009 - 30 November 2024
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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 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 Stocks/Bonds 20/80 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.91 37* Nov 2021
In progress
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.64 9 Aug 2016
Apr 2017
-3.46 3 Feb 2020
Apr 2020
-3.12 6 Sep 2018
Feb 2019
-2.95 6 Jan 2021
Jun 2021
-2.26 3 Sep 2020
Nov 2020
-2.15 2* Oct 2024
In progress
-1.89 7 Feb 2018
Aug 2018
-1.62 5 Jan 2021
May 2021
-1.56 2 Sep 2021
Oct 2021

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Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.91 37* Nov 2021
In progress
-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
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.64 9 Aug 2016
Apr 2017
-3.46 3 Feb 2020
Apr 2020
-3.12 6 Sep 2018
Feb 2019
-2.95 6 Jan 2021
Jun 2021
-2.48 6 May 2013
Oct 2013
-2.26 3 Sep 2020
Nov 2020

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.

Swipe left to see all data
Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 8.99 -2.55 10.21 -3.12
2023
 10.83 -4.47 6.16 -5.43
2022
 -14.37 -19.07 -14.14 -17.00
2021
 1.27 -2.17 1.18 -2.95
2020
 11.65 -7.72 12.14 -3.46
2019
 14.52 -0.27 12.52 -0.69
2018
 -4.03 -6.00 -0.42 -3.12
2017
 11.62 -0.20 10.35 0.00
2016
 2.96 -4.27 3.02 -3.64
2015
 0.07 -5.38 2.23 -1.48
2014
 1.57 -1.52 7.58 -0.83
2013
 8.39 -5.17 5.23 -2.48
2012
 12.90 -3.09 5.51 -0.69
2011
 -0.59 -8.94 7.52 -0.70
2010
 10.77 -4.04 8.56 -0.70
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Mastering ETF Investing
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English book
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