Developed World ex-US 40/60 Momentum vs US Stocks Minimum Volatility 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
US Stocks Minimum Volatility Portfolio
1.00$
Initial Capital
December 2014
2.81$
Final Capital
November 2024
10.88%
Yearly Return
12.24
Std Deviation
-19.06%
Max Drawdown
10months
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
US Stocks Minimum Volatility Portfolio
1.00$
Initial Capital
August 2009
6.51$
Final Capital
November 2024
12.99%
Yearly Return
12.18
Std Deviation
-19.06%
Max Drawdown
10months
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 US Stocks Minimum Volatility Portfolio obtained a 10.88% compound annual return, with a 12.24% 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_us_author.webp US Stocks Minimum Volatility
-- Market Benchmark 		22.69 5.07 15.12 26.08 9.76 10.88 12.99
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).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since December 2014, now would be worth 2.81$, with a total return of 180.94% (10.88% 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).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since August 2009, now would be worth 6.51$, with a total return of 550.75% (12.99% 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 US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.64 26.08
Infl. Adjusted Return (%) 9.64 22.73
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.74
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -3.74
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.04 8.42
Sharpe Ratio 1.23 2.48
Sortino Ratio 1.53 3.05
Ulcer Index 0.96 1.14
Ratio: Return / Standard Deviation 2.09 3.10
Ratio: Return / Deepest Drawdown 4.96 6.96
Metrics calculated over the period 1 December 2023 - 30 November 2024
Swipe left to see all data
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 (%) 3.42 9.76
Infl. Adjusted Return (%) -0.73 5.35
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) 47 27
RISK INDICATORS
Standard Deviation (%) 8.70 14.91
Sharpe Ratio 0.13 0.50
Sortino Ratio 0.17 0.66
Ulcer Index 7.52 6.60
Ratio: Return / Standard Deviation 0.39 0.65
Ratio: Return / Deepest Drawdown 0.18 0.51
Metrics calculated over the period 1 December 2019 - 30 November 2024
Swipe left to see all data
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 (%) 3.93 10.88
Infl. Adjusted Return (%) 0.97 7.72
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 (%) 6.96 12.24
Sharpe Ratio 0.34 0.76
Sortino Ratio 0.45 1.01
Ulcer Index 5.55 4.93
Ratio: Return / Standard Deviation 0.56 0.89
Ratio: Return / Deepest Drawdown 0.20 0.57
Metrics calculated over the period 1 December 2014 - 30 November 2024
Swipe left to see all data
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 (%) 5.22 12.99
Infl. Adjusted Return (%) 2.59 10.17
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 12.18
Sharpe Ratio 0.61 0.98
Sortino Ratio 0.80 1.32
Ulcer Index 4.70 4.41
Ratio: Return / Standard Deviation 0.75 1.07
Ratio: Return / Deepest Drawdown 0.27 0.68
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 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
-7.72 5 Feb 2020
Jun 2020
-7.56 5 Oct 2018
Feb 2019
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.27 7 Aug 2016
Feb 2017
-5.12 3 Aug 2015
Oct 2015
-4.99 2 Sep 2021
Oct 2021
-4.49 6 Feb 2018
Jul 2018
-4.27 8 Aug 2016
Mar 2017
-3.74 3 Apr 2024
Jun 2024
-3.09 3 Jan 2021
Mar 2021
-2.53 5 Mar 2015
Jul 2015

Loading data
Please wait
Swipe left to see all data
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
-5.38 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
-4.49 6 Feb 2018
Jul 2018

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 US Stocks Minimum Volatility
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 8.99 -2.55 22.69 -3.74
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