Developed World ex-US Stocks Momentum vs US Stocks Value Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US Stocks Momentum Portfolio obtained a 5.00% compound annual return, with a 13.60% standard deviation, in the last 10 Years.

The US Stocks Value Portfolio obtained a 10.17% compound annual return, with a 15.48% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US Stocks Momentum Portfolio US Stocks Value Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
10 Years Stats Return +5.00% +10.17%
Std Dev 13.60% 15.48%
Max Drawdown -28.57% -26.06%
All time Stats
(Since Aug 2009)
Return +6.55% +12.27%
Std Dev 15.24% 15.14%
Max Drawdown -28.57% -26.06%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US Stocks Momentum Portfolio +5.40 +15.30 +20.62 +8.78 +5.00 +6.55
US Stocks Value Portfolio +2.83 +11.48 +20.53 +12.23 +10.17 +12.27
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.63$, with a total return of 62.90% (5.00% annualized).

US Stocks Value Portfolio: an investment of 1$, since March 2014, now would be worth 2.63$, with a total return of 163.31% (10.17% annualized).

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.52$, with a total return of 152.39% (6.55% annualized).

US Stocks Value Portfolio: an investment of 1$, since August 2009, now would be worth 5.41$, with a total return of 440.61% (12.27% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US Stocks Momentum Portfolio
US Stocks 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
-26.06% Jan 2020 Mar 2020 (3) Dec 2020 (12) 13.06
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.63% Jan 2022 Sep 2022 (9) Jan 2023 (13) 6.87
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-12.56% Feb 2018 Dec 2018 (11) Apr 2019 (15) 5.22
-10.70% Jun 2015 Jan 2016 (8) Jun 2016 (13) 5.85
-9.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.98
-7.76% May 2019 May 2019 (1) Jul 2019 (3) 3.88
-3.99% Jan 2015 Jan 2015 (1) Feb 2015 (2) 2.31
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.32% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.91
-3.12% Nov 2021 Nov 2021 (1) Dec 2021 (2) 1.80
-3.08% Feb 2023 Feb 2023 (1) Jun 2023 (5) 1.90
-2.81% Aug 2019 Aug 2019 (1) Sep 2019 (2) 1.62
-2.21% Sep 2014 Sep 2014 (1) Oct 2014 (2) 1.27
-1.99% Mar 2014 Apr 2014 (2) May 2014 (3) 1.17
-1.95% Jul 2014 Jul 2014 (1) Aug 2014 (2) 1.12

Drawdown comparison chart since August 2009.

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Developed World ex-US Stocks Momentum Portfolio
US Stocks 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
-26.91% May 2011 Sep 2011 (5) Apr 2013 (24) 14.61
-26.06% Jan 2020 Mar 2020 (3) Dec 2020 (12) 13.06
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-19.14% May 2011 Sep 2011 (5) Mar 2012 (11) 8.53
-16.63% Jan 2022 Sep 2022 (9) Jan 2023 (13) 6.87
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.08% Apr 2010 Jun 2010 (3) Sep 2010 (6) 8.07
-13.77% May 2010 Jun 2010 (2) Dec 2010 (8) 7.49
-12.56% Feb 2018 Dec 2018 (11) Apr 2019 (15) 5.22
-10.70% Jun 2015 Jan 2016 (8) Jun 2016 (13) 5.85
-9.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.98
-7.76% May 2019 May 2019 (1) Jul 2019 (3) 3.88
-7.18% Jan 2010 Jan 2010 (1) Mar 2010 (3) 4.79
-6.74% Apr 2012 May 2012 (2) Aug 2012 (5) 3.01
-6.52% May 2013 Jun 2013 (2) Sep 2013 (5) 4.30
-5.15% Jan 2014 Jan 2014 (1) Jun 2014 (6) 2.47
-3.99% Jan 2015 Jan 2015 (1) Feb 2015 (2) 2.31
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96

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
+8.63%
0.00%
+2.94%
0.00%
2023
+13.91%
-8.35%
+21.75%
-9.27%
2022
-16.80%
-28.32%
-5.39%
-16.63%
2021
+6.60%
-4.63%
+25.21%
-3.32%
2020
+22.16%
-15.97%
+1.55%
-26.06%
2019
+24.51%
-2.38%
+31.48%
-7.76%
2018
-14.30%
-19.22%
-9.18%
-12.56%
2017
+25.46%
-0.73%
+15.08%
-1.63%
2016
+0.47%
-7.09%
+18.48%
-5.38%
2015
-1.60%
-12.26%
-4.32%
-10.50%
2014
-9.19%
-9.77%
+12.75%
-3.59%
2013
+22.20%
-6.52%
+32.19%
-3.90%
2012
+17.94%
-8.24%
+17.36%
-6.74%
2011
-14.36%
-26.91%
-0.29%
-19.14%
2010
+14.14%
-14.08%
+15.81%
-13.77%