Developed World ex-US Stocks Momentum vs Robert Shiller Cape US Sector Value Portfolio Comparison

Last Update: 31 March 2024

The Developed World ex-US Stocks Momentum Portfolio obtained a 5.68% compound annual return, with a 13.68% standard deviation, in the last 10 Years.

The Robert Shiller Cape US Sector Value Portfolio obtained a 14.28% compound annual return, with a 15.76% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US Stocks Momentum Portfolio Robert Shiller Cape US Sector Value Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
10 Years Stats Return +5.68% +14.28%
Std Dev 13.68% 15.76%
Max Drawdown -28.57% -21.00%
All time Stats
(Since Nov 2012)		 Return +7.05% +15.60%
Std Dev 13.60% 15.22%
Max Drawdown -28.57% -21.00%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from November 2012

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US Stocks Momentum Portfolio +5.32 +25.94 +24.32 +9.51 +5.68 +7.05
Robert Shiller Cape US Sector Value Portfolio +2.38 +19.06 +24.86 +14.72 +14.28 +15.60
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since April 2014, now would be worth 1.74$, with a total return of 73.68% (5.68% annualized).

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since April 2014, now would be worth 3.80$, with a total return of 279.99% (14.28% annualized).

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since November 2012, now would be worth 2.18$, with a total return of 117.73% (7.05% annualized).

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since November 2012, now would be worth 5.23$, with a total return of 423.12% (15.60% annualized).

Drawdowns

Drawdown comparison chart since April 2014.

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Developed World ex-US Stocks Momentum Portfolio
Robert Shiller Cape US Sector Value Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-21.00% Feb 2020 Mar 2020 (2) Jul 2020 (6) 10.24
-20.07% Jan 2022 Sep 2022 (9) Jul 2023 (19) 9.80
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-15.27% Oct 2018 Dec 2018 (3) Apr 2019 (7) 7.29
-8.74% Aug 2015 Sep 2015 (2) Oct 2015 (3) 5.37
-8.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.42
-5.96% May 2019 May 2019 (1) Jun 2019 (2) 3.44
-5.62% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.44
-5.00% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.89
-4.58% Jan 2016 Jan 2016 (1) Mar 2016 (3) 2.58
-4.02% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.25
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.14% Oct 2016 Oct 2016 (1) Nov 2016 (2) 1.81
-2.77% Dec 2014 Jan 2015 (2) Feb 2015 (3) 1.45
-2.05% Sep 2014 Sep 2014 (1) Oct 2014 (2) 1.18
-2.04% Aug 2019 Aug 2019 (1) Oct 2019 (3) 1.12

Drawdown comparison chart since November 2012.

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Developed World ex-US Stocks Momentum Portfolio
Robert Shiller Cape US Sector Value Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-21.00% Feb 2020 Mar 2020 (2) Jul 2020 (6) 10.24
-20.07% Jan 2022 Sep 2022 (9) Jul 2023 (19) 9.80
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-15.27% Oct 2018 Dec 2018 (3) Apr 2019 (7) 7.29
-8.74% Aug 2015 Sep 2015 (2) Oct 2015 (3) 5.37
-8.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.42
-6.52% May 2013 Jun 2013 (2) Sep 2013 (5) 4.30
-5.96% May 2019 May 2019 (1) Jun 2019 (2) 3.44
-5.62% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.44
-5.15% Jan 2014 Jan 2014 (1) Jun 2014 (6) 2.47
-5.00% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.89
-4.58% Jan 2016 Jan 2016 (1) Mar 2016 (3) 2.58
-4.02% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.25
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.84% Jan 2014 Jan 2014 (1) Feb 2014 (2) 2.22
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.14% Oct 2016 Oct 2016 (1) Nov 2016 (2) 1.81

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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Year Return Drawdown Return Drawdown
2024
+14.41%
 0.00%
+5.54%
 -1.09%
2023
+13.91%
 -8.35%
+27.65%
 -8.27%
2022
-16.80%
 -28.32%
-15.62%
 -20.07%
2021
+6.60%
 -4.63%
+27.80%
 -5.00%
2020
+22.16%
 -15.97%
+19.47%
 -21.00%
2019
+24.51%
 -2.38%
+32.61%
 -5.96%
2018
-14.30%
 -19.22%
-3.51%
 -15.27%
2017
+25.46%
 -0.73%
+21.38%
 -0.24%
2016
+0.47%
 -7.09%
+18.06%
 -4.58%
2015
-1.60%
 -12.26%
+4.57%
 -8.74%
2014
-9.19%
 -9.77%
+15.77%
 -3.84%
2013
+22.20%
 -6.52%
+33.36%
 -2.99%