Bogleheads Three Funds vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Period: January 1982 - November 2024 (~43 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bogleheads Three Funds Portfolio
1.00$
Initial Capital
December 1994
10.93$
Final Capital
November 2024
8.30%
Yearly Return
12.39
Std Deviation
-43.68%
Max Drawdown
42months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
December 1994
11.68$
Final Capital
November 2024
8.54%
Yearly Return
7.05
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period
Bogleheads Three Funds Portfolio
1.00$
Initial Capital
January 1982
58.33$
Final Capital
November 2024
9.94%
Yearly Return
12.30
Std Deviation
-43.68%
Max Drawdown
42months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
January 1982
55.99$
Final Capital
November 2024
9.83%
Yearly Return
7.45
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period

The Bogleheads Three Funds Portfolio obtained a 8.30% compound annual return, with a 12.39% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.54% compound annual return, with a 7.05% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 30 November 2024 (~43 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Three Funds
Bogleheads 		16.98 3.63 9.66 22.68 9.45 8.36 8.30 9.94
Stocks/Bonds 40/60 Momentum 17.30 3.77 9.89 22.04 5.41 6.47 8.54 9.83
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Bogleheads Three Funds Portfolio: an investment of 1$, since December 1994, now would be worth 10.93$, with a total return of 993.06% (8.30% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 11.68$, with a total return of 1068.06% (8.54% annualized).


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Bogleheads Three Funds Portfolio: an investment of 1$, since January 1982, now would be worth 58.33$, with a total return of 5732.77% (9.94% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 55.99$, with a total return of 5498.72% (9.83% annualized).


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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 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 22.68 22.04
Infl. Adjusted Return (%) 19.79 19.17
DRAWDOWN
Deepest Drawdown Depth (%) -3.44 -3.77
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -3.44 -3.77
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.22 7.60
Sharpe Ratio 2.12 2.21
Sortino Ratio 2.59 2.61
Ulcer Index 1.13 1.13
Ratio: Return / Standard Deviation 2.76 2.90
Ratio: Return / Deepest Drawdown 6.60 5.85
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.45 5.41
Infl. Adjusted Return (%) 5.13 1.25
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Negative Period (months) 34 46
RISK INDICATORS
Standard Deviation (%) 14.74 10.19
Sharpe Ratio 0.49 0.31
Sortino Ratio 0.64 0.41
Ulcer Index 8.36 10.18
Ratio: Return / Standard Deviation 0.64 0.53
Ratio: Return / Deepest Drawdown 0.41 0.26
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.36 6.47
Infl. Adjusted Return (%) 5.30 3.47
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Negative Period (months) 34 46
RISK INDICATORS
Standard Deviation (%) 12.33 8.09
Sharpe Ratio 0.55 0.61
Sortino Ratio 0.73 0.80
Ulcer Index 6.42 7.31
Ratio: Return / Standard Deviation 0.68 0.80
Ratio: Return / Deepest Drawdown 0.36 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.30 8.54
Infl. Adjusted Return (%) 5.64 5.88
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -21.11
Start to Recovery (months) 42 35
Longest Drawdown Depth (%) -33.38 -21.11
Start to Recovery (months) 57 35
Longest Negative Period (months) 118 46
RISK INDICATORS
Standard Deviation (%) 12.39 7.05
Sharpe Ratio 0.48 0.89
Sortino Ratio 0.63 1.16
Ulcer Index 10.83 5.25
Ratio: Return / Standard Deviation 0.67 1.21
Ratio: Return / Deepest Drawdown 0.19 0.40
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.94 9.83
Infl. Adjusted Return (%) 6.88 6.78
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -21.11
Start to Recovery (months) 42 35
Longest Drawdown Depth (%) -33.38 -21.11
Start to Recovery (months) 57 35
Longest Negative Period (months) 118 46
RISK INDICATORS
Standard Deviation (%) 12.30 7.45
Sharpe Ratio 0.52 0.84
Sortino Ratio 0.68 1.13
Ulcer Index 9.40 4.68
Ratio: Return / Standard Deviation 0.81 1.32
Ratio: Return / Deepest Drawdown 0.23 0.47
Metrics calculated over the period 1 January 1982 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)

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Three Funds Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-33.38 57 Apr 2000
Dec 2004
-23.18 26 Jan 2022
Feb 2024
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-12.46 5 Jul 1998
Nov 1998
-10.53 15 Feb 2018
Apr 2019
-9.88 14 Jun 2015
Jul 2016
-8.48 28 Feb 2001
May 2003
-7.10 4 Feb 2020
May 2020
-5.89 6 Oct 2018
Mar 2019
-4.68 2 May 2019
Jun 2019
-4.61 2 Aug 1997
Sep 1997

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Three Funds Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-33.38 57 Apr 2000
Dec 2004
-23.18 26 Jan 2022
Feb 2024
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-19.21 17 Sep 1987
Jan 1989
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-15.31 14 Jan 1990
Feb 1991
-13.77 19 Sep 1987
Mar 1989
-12.46 5 Jul 1998
Nov 1998
-10.53 15 Feb 2018
Apr 2019
-10.52 9 Jan 1982
Sep 1982
-9.88 14 Jun 2015
Jul 2016
-8.48 28 Feb 2001
May 2003

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 January 1982 - 30 November 2024 (~43 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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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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Three Funds Stocks/Bonds 40/60 Momentum
Year Return Drawdown Return Drawdown
2024
 16.98% -3.44% 17.30% -3.77%
2023
 18.86% -8.74% 6.90% -5.19%
2022
 -17.06% -23.18% -15.17% -19.48%
2021
 14.95% -3.53% 4.23% -2.38%
2020
 15.39% -17.01% 16.57% -7.10%
2019
 23.65% -4.68% 16.20% -0.81%
2018
 -6.89% -10.53% -0.73% -5.89%
2017
 19.54% 0.00% 17.14% 0.00%
2016
 8.39% -4.82% 3.51% -3.61%
2015
 -1.14% -8.74% 3.91% -2.95%
2014
 6.07% -3.01% 9.34% -1.49%
2013
 20.56% -2.36% 12.57% -1.74%
2012
 14.53% -7.09% 7.87% -2.05%
2011
 -2.14% -15.77% 7.13% -3.62%
2010
 13.50% -9.82% 10.93% -3.48%
2009
 26.45% -15.70% 9.16% -9.41%
2008
 -30.15% -33.07% -12.27% -15.80%
2007
 8.73% -4.35% 11.21% -0.82%
2006
 16.69% -3.08% 6.78% -1.50%
2005
 8.30% -3.34% 9.09% -0.93%
2004
 13.49% -2.83% 9.22% -2.12%
2003
 28.27% -3.88% 12.78% -1.27%
2002
 -13.11% -18.90% 0.04% -5.36%
2001
 -9.84% -18.61% -1.88% -6.89%
2000
 -7.69% -11.84% 2.99% -3.33%
1999
 20.73% -2.88% 15.71% -1.69%
1998
 18.03% -12.46% 24.65% -4.13%
1997
 17.15% -4.61% 20.41% -2.69%
1996
 12.60% -3.77% 14.08% -1.52%
1995
 22.72% -1.03% 27.84% 0.00%
1994
 2.31% -4.84% -2.03% -5.91%
1993
 16.23% -4.16% 11.10% -0.87%
1992
 1.54% -4.66% 6.01% -2.11%
1991
 22.09% -4.27% 23.91% -1.79%
1990
 -8.74% -15.31% 5.79% -5.29%
1989
 20.64% -2.08% 25.29% -1.01%
1988
 17.83% -3.20% 7.24% -2.95%
1987
 10.76% -19.21% 1.86% -13.77%
1986
 29.32% -4.89% 18.14% -4.37%
1985
 35.27% -2.34% 26.30% -0.74%
1984
 4.95% -7.57% 8.68% -6.28%
1983
 19.49% -2.98% 9.91% -2.81%
1982
 16.05% -10.52% 30.86% -1.48%