Developed World ex-US 40/60 Momentum vs US Stocks Minimum Volatility Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.47% compound annual return, with a 6.79% standard deviation, in the last 10 Years.

The US Stocks Minimum Volatility Portfolio obtained a 10.62% compound annual return, with a 12.06% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US 40/60 Momentum Portfolio US Stocks Minimum Volatility Portfolio
Portfolio Risk Medium Very High
Asset Allocation Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
10 Years Stats Return +3.47% +10.62%
Std Dev 6.79% 12.06%
Max Drawdown -19.40% -19.06%
All time Stats
(Since Aug 2009)
Return +5.07% +12.45%
Std Dev 6.96% 12.28%
Max Drawdown -19.40% -19.06%
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 40/60 Momentum Portfolio +1.89 +8.24 +12.20 +3.85 +3.47 +5.07
US Stocks Minimum Volatility Portfolio +2.09 +9.89 +17.47 +9.15 +10.62 +12.45
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.41$, with a total return of 40.59% (3.47% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since March 2014, now would be worth 2.74$, with a total return of 174.45% (10.62% annualized).

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.06$, with a total return of 105.72% (5.07% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since August 2009, now would be worth 5.53$, with a total return of 453.33% (12.45% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US 40/60 Momentum Portfolio
US Stocks Minimum Volatility Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-19.40% Sep 2021 Sep 2022 (13) In progress (30) 10.39
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-7.72% Feb 2020 Mar 2020 (2) Jun 2020 (5) 3.78
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-6.00% Feb 2018 Dec 2018 (11) Mar 2019 (14) 2.72
-5.38% May 2015 Sep 2015 (5) Jun 2016 (14) 2.83
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.12% Aug 2015 Sep 2015 (2) Oct 2015 (3) 3.42
-4.99% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.88
-4.49% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.17
-4.27% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.09
-3.09% Jan 2021 Feb 2021 (2) Mar 2021 (3) 2.06
-2.53% Mar 2015 Jun 2015 (4) Jul 2015 (5) 1.21
-2.05% Nov 2021 Nov 2021 (1) Dec 2021 (2) 1.18
-1.62% Jan 2021 Feb 2021 (2) May 2021 (5) 0.94
-1.61% May 2019 May 2019 (1) Jun 2019 (2) 0.93
-1.52% Sep 2014 Dec 2014 (4) Feb 2015 (6) 1.05
-1.42% Jul 2014 Jul 2014 (1) Aug 2014 (2) 0.82
-1.39% Jan 2016 Jan 2016 (1) Mar 2016 (3) 0.72

Drawdown comparison chart since August 2009.

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Developed World ex-US 40/60 Momentum Portfolio
US Stocks Minimum Volatility Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-19.40% Sep 2021 Sep 2022 (13) In progress (30) 10.39
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-12.81% May 2010 Jun 2010 (2) Oct 2010 (6) 7.65
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-8.94% May 2011 Sep 2011 (5) Jul 2012 (15) 3.88
-7.72% Feb 2020 Mar 2020 (2) Jun 2020 (5) 3.78
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-6.00% Feb 2018 Dec 2018 (11) Mar 2019 (14) 2.72
-5.38% May 2015 Sep 2015 (5) Jun 2016 (14) 2.83
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.17% May 2013 Jun 2013 (2) Oct 2013 (6) 3.27
-5.12% Aug 2015 Sep 2015 (2) Oct 2015 (3) 3.42
-4.99% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.88
-4.49% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.17
-4.27% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.09
-4.04% May 2010 May 2010 (1) Jul 2010 (3) 2.68
-3.68% Jan 2010 Jan 2010 (1) Mar 2010 (3) 1.87
-3.26% Aug 2013 Aug 2013 (1) Oct 2013 (3) 1.68
-3.09% Jan 2021 Feb 2021 (2) Mar 2021 (3) 2.06

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
+2.78%
0.00%
+4.31%
0.00%
2023
+10.84%
-4.47%
+10.34%
-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%