Performance of non-U.S. 60-40

A subscriber asked about the performance of a strategy that each month rebalances to 60% international equities and 40% international corporate bonds (both non-U.S.), and how this performance compares to that of a portfolio that each month allocates 50% to Simple Asset Class ETF Value Strategy (SACEVS) Best Value and 50% to Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted (EW) Top 2. To investigate, we use:

• iShares MSCI ACWI ex U.S. ETF (ACWX) to represent international equities.
• SPDR Bloomberg International Corporate Bond ETF (IBND) to represent international corporate bonds.

We begin the test at the end of May 2010, limited by IBND inception. We ignore monthly rebalancing frictions for both strategies. Using monthly dividend-adjusted prices for ACWX and IBND starting May 2010 and monthly gross returns for SACEVS Best Value-SACEMS EW Top 2 50-50 starting June 2010, all through May 2023, we find that: (more…)