Dedalo Invest Dedalo Three vs Stocks/Bonds 60/40 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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Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
December 1994
18.33$
Final Capital
November 2024
10.18%
Yearly Return
15.49
Std Deviation
-52.14%
Max Drawdown
59months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
December 1994
19.15$
Final Capital
November 2024
10.34%
Yearly Return
9.64
Std Deviation
-32.52%
Max Drawdown
40months
Recovery Period
Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
January 1982
101.77$
Final Capital
November 2024
11.37%
Yearly Return
15.35
Std Deviation
-52.14%
Max Drawdown
59months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
January 1982
100.51$
Final Capital
November 2024
11.34%
Yearly Return
9.90
Std Deviation
-32.52%
Max Drawdown
40months
Recovery Period

The Dedalo Invest Dedalo Three Portfolio obtained a 10.18% compound annual return, with a 15.49% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 10.34% compound annual return, with a 9.64% 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)
Dedalo Three
Dedalo Invest 		25.39 5.95 14.26 31.98 14.03 11.83 10.18 11.37
Stocks/Bonds 60/40 Momentum 24.39 4.94 12.22 29.72 8.04 8.87 10.34 11.34
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since December 1994, now would be worth 18.33$, with a total return of 1732.59% (10.18% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 19.15$, with a total return of 1814.54% (10.34% annualized).


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Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since January 1982, now would be worth 101.77$, with a total return of 10077.25% (11.37% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 100.51$, with a total return of 9950.75% (11.34% 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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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 31.98 29.72
Infl. Adjusted Return (%) 28.87 26.66
DRAWDOWN
Deepest Drawdown Depth (%) -4.12 -4.38
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -4.12 -4.38
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 9.60 9.47
Sharpe Ratio 2.79 2.59
Sortino Ratio 3.52 3.13
Ulcer Index 1.19 1.26
Ratio: Return / Standard Deviation 3.33 3.14
Ratio: Return / Deepest Drawdown 7.76 6.79
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.03 8.04
Infl. Adjusted Return (%) 9.53 3.77
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Negative Period (months) 30 40
RISK INDICATORS
Standard Deviation (%) 18.17 13.03
Sharpe Ratio 0.65 0.44
Sortino Ratio 0.85 0.60
Ulcer Index 9.09 11.57
Ratio: Return / Standard Deviation 0.77 0.62
Ratio: Return / Deepest Drawdown 0.56 0.33
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.83 8.87
Infl. Adjusted Return (%) 8.68 5.80
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Negative Period (months) 30 40
RISK INDICATORS
Standard Deviation (%) 15.37 10.54
Sharpe Ratio 0.67 0.69
Sortino Ratio 0.89 0.93
Ulcer Index 7.01 8.37
Ratio: Return / Standard Deviation 0.77 0.84
Ratio: Return / Deepest Drawdown 0.47 0.37
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.18 10.34
Infl. Adjusted Return (%) 7.48 7.64
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -32.52
Start to Recovery (months) 59 40
Longest Drawdown Depth (%) -44.69 -21.14
Start to Recovery (months) 65 41
Longest Negative Period (months) 137 53
RISK INDICATORS
Standard Deviation (%) 15.49 9.64
Sharpe Ratio 0.51 0.83
Sortino Ratio 0.66 1.10
Ulcer Index 14.63 8.22
Ratio: Return / Standard Deviation 0.66 1.07
Ratio: Return / Deepest Drawdown 0.20 0.32
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.37 11.34
Infl. Adjusted Return (%) 8.28 8.25
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -32.52
Start to Recovery (months) 59 40
Longest Drawdown Depth (%) -44.69 -21.14
Start to Recovery (months) 65 41
Longest Negative Period (months) 137 53
RISK INDICATORS
Standard Deviation (%) 15.35 9.90
Sharpe Ratio 0.51 0.78
Sortino Ratio 0.67 1.04
Ulcer Index 12.74 7.33
Ratio: Return / Standard Deviation 0.74 1.15
Ratio: Return / Deepest Drawdown 0.22 0.35
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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Dedalo Three Stocks/Bonds 60/40 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-32.52 40 Nov 2007
Feb 2011
-25.03 24 Jan 2022
Dec 2023
-24.21 32 Nov 2021
Jun 2024
-21.23 7 Jan 2020
Jul 2020
-21.14 41 Sep 2000
Jan 2004
-17.27 5 Jul 1998
Nov 1998
-13.86 7 Oct 2018
Apr 2019
-10.73 5 Feb 2020
Jun 2020
-10.24 14 Jun 2015
Jul 2016
-9.29 9 Oct 2018
Jun 2019
-7.51 5 Apr 2000
Aug 2000
-7.14 9 May 2011
Jan 2012
-6.78 3 Aug 1998
Oct 1998

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Dedalo Three Stocks/Bonds 60/40 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-32.52 40 Nov 2007
Feb 2011
-28.32 20 Sep 1987
Apr 1989
-25.03 24 Jan 2022
Dec 2023
-24.21 32 Nov 2021
Jun 2024
-21.23 7 Jan 2020
Jul 2020
-21.14 41 Sep 2000
Jan 2004
-20.08 21 Sep 1987
May 1989
-17.64 9 Jun 1990
Feb 1991
-17.27 5 Jul 1998
Nov 1998
-13.86 7 Oct 2018
Apr 2019
-12.44 10 Jan 1982
Oct 1982
-10.73 5 Feb 2020
Jun 2020
-10.24 14 Jun 2015
Jul 2016

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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Dedalo Three Stocks/Bonds 60/40 Momentum
Year Return Drawdown Return Drawdown
2024
 25.39% -4.12% 24.39% -4.38%
2023
 24.84% -9.28% 7.65% -5.48%
2022
 -19.06% -25.03% -16.20% -21.97%
2021
 23.45% -4.36% 7.27% -2.88%
2020
 19.70% -21.23% 20.99% -10.73%
2019
 29.51% -6.31% 19.89% -0.92%
2018
 -6.58% -13.86% -1.04% -9.29%
2017
 22.20% 0.00% 23.93% 0.00%
2016
 11.53% -6.09% 4.01% -3.57%
2015
 -0.31% -9.69% 5.58% -4.61%
2014
 9.88% -3.55% 11.10% -2.40%
2013
 30.30% -2.87% 19.91% -2.13%
2012
 16.65% -7.77% 10.22% -3.51%
2011
 -1.57% -18.86% 6.73% -7.14%
2010
 16.12% -13.01% 13.29% -6.43%
2009
 30.02% -18.21% 11.92% -12.79%
2008
 -38.58% -39.39% -21.83% -24.08%
2007
 7.43% -4.72% 13.35% -1.41%
2006
 17.68% -2.99% 8.04% -2.23%
2005
 7.97% -3.59% 12.44% -0.99%
2004
 14.03% -3.28% 11.72% -2.06%
2003
 32.35% -3.73% 17.18% -1.95%
2002
 -20.01% -26.98% -4.07% -11.25%
2001
 -12.52% -24.34% -7.04% -13.57%
2000
 -10.82% -15.16% -1.21% -6.50%
1999
 24.56% -5.78% 23.95% -1.65%
1998
 23.06% -17.27% 32.69% -6.78%
1997
 26.24% -5.13% 25.89% -3.48%
1996
 18.59% -5.91% 19.33% -2.32%
1995
 30.83% -1.31% 32.67% 0.00%
1994
 1.59% -6.54% -1.72% -6.35%
1993
 14.86% -2.28% 11.81% -0.99%
1992
 5.08% -2.85% 5.45% -2.52%
1991
 28.61% -4.77% 28.24% -2.57%
1990
 -9.23% -17.64% 4.36% -7.66%
1989
 24.94% -3.57% 31.11% -1.20%
1988
 19.28% -3.15% 7.18% -3.36%
1987
 6.82% -28.32% 2.02% -20.08%
1986
 23.00% -7.23% 19.66% -5.55%
1985
 34.39% -3.95% 28.33% -1.52%
1984
 3.23% -8.43% 5.51% -7.11%
1983
 22.81% -3.17% 12.26% -3.09%
1982
 17.69% -12.44% 30.72% -2.23%