Bogleheads Three Funds vs Stocks/Bonds 80/20 Momentum Portfolio Comparison

Simulation Settings
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 80/20 Momentum Portfolio
1.00$
Initial Capital
December 1994
29.74$
Final Capital
November 2024
11.97%
Yearly Return
12.46
Std Deviation
-43.61%
Max Drawdown
52months
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 80/20 Momentum Portfolio
1.00$
Initial Capital
January 1982
170.12$
Final Capital
November 2024
12.71%
Yearly Return
12.56
Std Deviation
-43.61%
Max Drawdown
52months
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 80/20 Momentum Portfolio obtained a 11.97% compound annual return, with a 12.46% 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 80/20 Momentum 31.48 6.00 14.39 37.42 10.60 11.22 11.97 12.71
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 80/20 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 29.74$, with a total return of 2873.99% (11.97% 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 80/20 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 170.12$, with a total return of 16911.88% (12.71% 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 80/20 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 80%
Fixed Income 20% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 22.68 37.42
Infl. Adjusted Return (%) 19.41 33.77
DRAWDOWN
Deepest Drawdown Depth (%) -3.44 -4.94
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -3.44 -4.94
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.22 11.57
Sharpe Ratio 2.12 2.78
Sortino Ratio 2.59 3.47
Ulcer Index 1.13 1.43
Ratio: Return / Standard Deviation 2.76 3.23
Ratio: Return / Deepest Drawdown 6.60 7.58
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Three Funds Stocks/Bonds 80/20 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 80%
Fixed Income 20% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.45 10.60
Infl. Adjusted Return (%) 5.06 6.16
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -27.23
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.18 -27.23
Start to Recovery (months) 26 32
Longest Negative Period (months) 34 39
RISK INDICATORS
Standard Deviation (%) 14.74 16.10
Sharpe Ratio 0.49 0.52
Sortino Ratio 0.64 0.71
Ulcer Index 8.36 12.99
Ratio: Return / Standard Deviation 0.64 0.66
Ratio: Return / Deepest Drawdown 0.41 0.39
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Three Funds Stocks/Bonds 80/20 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 80%
Fixed Income 20% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.36 11.22
Infl. Adjusted Return (%) 5.27 8.05
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -27.23
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.18 -27.23
Start to Recovery (months) 26 32
Longest Negative Period (months) 34 39
RISK INDICATORS
Standard Deviation (%) 12.33 13.18
Sharpe Ratio 0.55 0.73
Sortino Ratio 0.73 0.99
Ulcer Index 6.42 9.46
Ratio: Return / Standard Deviation 0.68 0.85
Ratio: Return / Deepest Drawdown 0.36 0.41
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Three Funds Stocks/Bonds 80/20 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 80%
Fixed Income 20% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.30 11.97
Infl. Adjusted Return (%) 5.63 9.22
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -43.61
Start to Recovery (months) 42 52
Longest Drawdown Depth (%) -33.38 -32.75
Start to Recovery (months) 57 52
Longest Negative Period (months) 118 112
RISK INDICATORS
Standard Deviation (%) 12.39 12.46
Sharpe Ratio 0.48 0.78
Sortino Ratio 0.63 1.02
Ulcer Index 10.83 11.96
Ratio: Return / Standard Deviation 0.67 0.96
Ratio: Return / Deepest Drawdown 0.19 0.27
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Three Funds Stocks/Bonds 80/20 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 80%
Fixed Income 20% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.94 12.71
Infl. Adjusted Return (%) 6.87 9.57
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -43.61
Start to Recovery (months) 42 52
Longest Drawdown Depth (%) -33.38 -32.75
Start to Recovery (months) 57 52
Longest Negative Period (months) 118 112
RISK INDICATORS
Standard Deviation (%) 12.30 12.56
Sharpe Ratio 0.52 0.73
Sortino Ratio 0.68 0.97
Ulcer Index 9.40 10.59
Ratio: Return / Standard Deviation 0.81 1.01
Ratio: Return / Deepest Drawdown 0.23 0.29
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 80/20 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-43.61 52 Nov 2007
Feb 2012
-33.38 57 Apr 2000
Dec 2004
-32.75 52 Sep 2000
Dec 2004
-27.23 32 Nov 2021
Jun 2024
-23.18 26 Jan 2022
Feb 2024
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-14.33 5 Feb 2020
Jun 2020
-12.46 5 Jul 1998
Nov 1998
-12.46 9 Oct 2018
Jun 2019
-10.53 15 Feb 2018
Apr 2019
-9.88 14 Jun 2015
Jul 2016
-9.24 3 Aug 1998
Oct 1998
-6.55 3 Sep 2020
Nov 2020

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Three Funds Stocks/Bonds 80/20 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-43.61 52 Nov 2007
Feb 2012
-33.38 57 Apr 2000
Dec 2004
-32.75 52 Sep 2000
Dec 2004
-27.23 32 Nov 2021
Jun 2024
-25.63 21 Sep 1987
May 1989
-23.18 26 Jan 2022
Feb 2024
-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
-14.33 5 Feb 2020
Jun 2020
-12.46 5 Jul 1998
Nov 1998
-12.46 9 Oct 2018
Jun 2019
-10.53 15 Feb 2018
Apr 2019

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 80/20 Momentum
Year Return Drawdown Return Drawdown
2024
 16.98% -3.44% 31.48% -4.94%
2023
 18.86% -8.74% 8.40% -5.89%
2022
 -17.06% -23.18% -17.23% -24.45%
2021
 14.95% -3.53% 10.32% -3.67%
2020
 15.39% -17.01% 25.42% -14.33%
2019
 23.65% -4.68% 23.57% -1.46%
2018
 -6.89% -10.53% -1.35% -12.46%
2017
 19.54% 0.00% 30.71% 0.00%
2016
 8.39% -4.82% 4.51% -3.62%
2015
 -1.14% -8.74% 7.25% -6.22%
2014
 6.07% -3.01% 12.86% -3.39%
2013
 20.56% -2.36% 27.24% -2.48%
2012
 14.53% -7.09% 12.58% -5.19%
2011
 -2.14% -15.77% 6.33% -10.88%
2010
 13.50% -9.82% 15.66% -9.31%
2009
 26.45% -15.70% 14.68% -16.18%
2008
 -30.15% -33.07% -31.40% -32.66%
2007
 8.73% -4.35% 15.50% -1.97%
2006
 16.69% -3.08% 9.30% -2.94%
2005
 8.30% -3.34% 15.79% -1.04%
2004
 13.49% -2.83% 14.21% -2.13%
2003
 28.27% -3.88% 21.59% -3.04%
2002
 -13.11% -18.90% -8.17% -17.08%
2001
 -9.84% -18.61% -12.19% -20.18%
2000
 -7.69% -11.84% -5.41% -9.70%
1999
 20.73% -2.88% 32.18% -1.61%
1998
 18.03% -12.46% 40.72% -9.24%
1997
 17.15% -4.61% 31.37% -4.22%
1996
 12.60% -3.77% 24.58% -3.09%
1995
 22.72% -1.03% 37.49% 0.00%
1994
 2.31% -4.84% -1.40% -6.80%
1993
 16.23% -4.16% 12.52% -1.57%
1992
 1.54% -4.66% 4.88% -2.94%
1991
 22.09% -4.27% 32.57% -3.31%
1990
 -8.74% -15.31% 2.93% -10.02%
1989
 20.64% -2.08% 36.94% -1.39%
1988
 17.83% -3.20% 7.13% -4.35%
1987
 10.76% -19.21% 2.18% -25.63%
1986
 29.32% -4.89% 21.18% -6.69%
1985
 35.27% -2.34% 30.36% -2.61%
1984
 4.95% -7.57% 2.34% -8.41%
1983
 19.49% -2.98% 14.60% -3.36%
1982
 16.05% -10.52% 30.58% -3.58%