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

Period: January 1982 - September 2024 (~43 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bogleheads Three Funds Portfolio
1.00$
Initial Capital
October 1994
10.57$
Final Capital
September 2024
8.18%
Yearly Return
12.39
Std Deviation
-43.68%
Max Drawdown
42 months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
October 1994
18.24$
Final Capital
September 2024
10.16%
Yearly Return
9.63
Std Deviation
-32.52%
Max Drawdown
40 months
Recovery Period
Bogleheads Three Funds Portfolio
1.00$
Initial Capital
January 1982
57.54$
Final Capital
September 2024
9.94%
Yearly Return
12.31
Std Deviation
-43.68%
Max Drawdown
42 months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
January 1982
96.72$
Final Capital
September 2024
11.29%
Yearly Return
9.89
Std Deviation
-32.52%
Max Drawdown
40 months
Recovery Period

The Bogleheads Three Funds Portfolio obtained a 8.18% compound annual return, with a 12.39% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 10.16% compound annual return, with a 9.63% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 30 September 2024 (~43 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Three Funds
Bogleheads 		15.40 2.05 8.57 27.49 10.11 8.53 8.18 9.94
Stocks/Bonds 60/40 Momentum 19.70 2.38 7.41 31.85 7.75 8.92 10.16 11.29
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Bogleheads Three Funds Portfolio: an investment of 1$, since October 1994, now would be worth 10.57$, with a total return of 956.71% (8.18% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since October 1994, now would be worth 18.24$, with a total return of 1723.56% (10.16% annualized).


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Bogleheads Three Funds Portfolio: an investment of 1$, since January 1982, now would be worth 57.54$, with a total return of 5653.84% (9.94% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 96.72$, with a total return of 9571.60% (11.29% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1982 - 30 September 2024 (~43 years)
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Three Funds Stocks/Bonds 60/40 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 60%
Fixed Income 20% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 27.49 31.85
Infl. Adjusted Return (%) 24.72 28.98
DRAWDOWN
Deepest Drawdown Depth (%) -3.44 -4.38
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -2.60 -4.38
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 10.35 10.60
Sharpe Ratio 2.14 2.50
Sortino Ratio 2.93 3.18
Ulcer Index 1.20 1.31
Ratio: Return / Standard Deviation 2.66 3.00
Ratio: Return / Deepest Drawdown 7.99 7.28
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Three Funds Stocks/Bonds 60/40 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 60%
Fixed Income 20% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.11 7.75
Infl. Adjusted Return (%) 5.73 3.47
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -24.21
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.18 -24.21
Start to Recovery (months) 26 32
Longest Negative Period (months) 34 40
RISK INDICATORS
Standard Deviation (%) 14.65 12.88
Sharpe Ratio 0.54 0.43
Sortino Ratio 0.71 0.58
Ulcer Index 8.35 11.57
Ratio: Return / Standard Deviation 0.69 0.60
Ratio: Return / Deepest Drawdown 0.44 0.32
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Three Funds Stocks/Bonds 60/40 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 60%
Fixed Income 20% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.53 8.92
Infl. Adjusted Return (%) 5.53 5.92
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -24.21
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.18 -24.21
Start to Recovery (months) 26 32
Longest Negative Period (months) 34 40
RISK INDICATORS
Standard Deviation (%) 12.27 10.47
Sharpe Ratio 0.57 0.71
Sortino Ratio 0.76 0.95
Ulcer Index 6.42 8.37
Ratio: Return / Standard Deviation 0.69 0.85
Ratio: Return / Deepest Drawdown 0.37 0.37
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Three Funds Stocks/Bonds 60/40 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 60%
Fixed Income 20% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.18 10.16
Infl. Adjusted Return (%) 5.53 7.46
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -32.52
Start to Recovery (months) 42 40
Longest Drawdown Depth (%) -33.38 -21.14
Start to Recovery (months) 57 41
Longest Negative Period (months) 118 53
RISK INDICATORS
Standard Deviation (%) 12.39 9.63
Sharpe Ratio 0.47 0.82
Sortino Ratio 0.62 1.07
Ulcer Index 10.83 8.22
Ratio: Return / Standard Deviation 0.66 1.06
Ratio: Return / Deepest Drawdown 0.19 0.31
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Three Funds Stocks/Bonds 60/40 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 60%
Fixed Income 20% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.94 11.29
Infl. Adjusted Return (%) 6.89 8.19
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -32.52
Start to Recovery (months) 42 40
Longest Drawdown Depth (%) -33.38 -21.14
Start to Recovery (months) 57 41
Longest Negative Period (months) 118 53
RISK INDICATORS
Standard Deviation (%) 12.31 9.89
Sharpe Ratio 0.52 0.78
Sortino Ratio 0.68 1.04
Ulcer Index 9.42 7.35
Ratio: Return / Standard Deviation 0.81 1.14
Ratio: Return / Deepest Drawdown 0.23 0.35
Metrics calculated over the period 1 January 1982 - 30 September 2024

Drawdowns

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

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Three Funds Stocks/Bonds 60/40 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
-32.52 40 Nov 2007
Feb 2011
-24.21 32 Nov 2021
Jun 2024
-23.18 26 Jan 2022
Feb 2024
-21.14 41 Sep 2000
Jan 2004
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-12.46 5 Jul 1998
Nov 1998
-10.73 5 Feb 2020
Jun 2020
-10.53 15 Feb 2018
Apr 2019
-9.88 14 Jun 2015
Jul 2016
-9.29 9 Oct 2018
Jun 2019
-7.14 9 May 2011
Jan 2012
-6.78 3 Aug 1998
Oct 1998

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Three Funds Stocks/Bonds 60/40 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
-32.52 40 Nov 2007
Feb 2011
-24.21 32 Nov 2021
Jun 2024
-23.18 26 Jan 2022
Feb 2024
-21.14 41 Sep 2000
Jan 2004
-20.08 21 Sep 1987
May 1989
-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
-12.46 5 Jul 1998
Nov 1998
-10.73 5 Feb 2020
Jun 2020
-10.53 15 Feb 2018
Apr 2019
-10.52 9 Jan 1982
Sep 1982

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 September 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 60/40 Momentum
Year Return Drawdown Return Drawdown
2024
 15.40% -3.44% 19.70% -4.38%
2023
 18.86% -8.74% 7.65% -5.48%
2022
 -17.06% -23.18% -16.20% -21.97%
2021
 14.95% -3.53% 7.27% -2.88%
2020
 15.39% -17.01% 20.99% -10.73%
2019
 23.65% -4.68% 19.89% -0.92%
2018
 -6.89% -10.53% -1.04% -9.29%
2017
 19.54% 0.00% 23.93% 0.00%
2016
 8.39% -4.82% 4.01% -3.57%
2015
 -1.14% -8.74% 5.58% -4.61%
2014
 6.07% -3.01% 11.10% -2.40%
2013
 20.56% -2.36% 19.91% -2.13%
2012
 14.53% -7.09% 10.22% -3.51%
2011
 -2.14% -15.77% 6.73% -7.14%
2010
 13.50% -9.82% 13.29% -6.43%
2009
 26.45% -15.70% 11.92% -12.79%
2008
 -30.15% -33.07% -21.83% -24.08%
2007
 8.73% -4.35% 13.35% -1.41%
2006
 16.69% -3.08% 8.04% -2.23%
2005
 8.30% -3.34% 12.44% -0.99%
2004
 13.49% -2.83% 11.72% -2.06%
2003
 28.27% -3.88% 17.18% -1.95%
2002
 -13.11% -18.90% -4.07% -11.25%
2001
 -9.84% -18.61% -7.04% -13.57%
2000
 -7.69% -11.84% -1.21% -6.50%
1999
 20.73% -2.88% 23.95% -1.65%
1998
 18.03% -12.46% 32.69% -6.78%
1997
 17.15% -4.61% 25.89% -3.48%
1996
 12.60% -3.77% 19.33% -2.32%
1995
 22.72% -1.03% 32.67% 0.00%
1994
 2.31% -4.84% -1.72% -6.35%
1993
 16.23% -4.16% 11.81% -0.99%
1992
 1.54% -4.66% 5.45% -2.52%
1991
 22.09% -4.27% 28.24% -2.57%
1990
 -8.74% -15.31% 4.36% -7.66%
1989
 20.64% -2.08% 31.11% -1.20%
1988
 17.83% -3.20% 7.18% -3.36%
1987
 10.76% -19.21% 2.02% -20.08%
1986
 29.32% -4.89% 19.66% -5.55%
1985
 35.27% -2.34% 28.33% -1.52%
1984
 4.95% -7.57% 5.51% -7.11%
1983
 19.49% -2.98% 12.26% -3.09%
1982
 16.05% -10.52% 30.72% -2.23%