Dedalo Invest Dedalo Three vs US Stocks Minimum Volatility Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
October 1994
17.22$
Final Capital
September 2024
9.95%
Yearly Return
15.48
Std Deviation
-52.14%
Max Drawdown
59 months
Recovery Period
US Stocks Minimum Volatility Portfolio
1.00$
Initial Capital
October 1994
18.53$
Final Capital
September 2024
10.22%
Yearly Return
13.70
Std Deviation
-43.27%
Max Drawdown
40 months
Recovery Period
Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
January 1985
65.14$
Final Capital
September 2024
11.08%
Yearly Return
15.40
Std Deviation
-52.14%
Max Drawdown
59 months
Recovery Period
US Stocks Minimum Volatility Portfolio
1.00$
Initial Capital
January 1985
71.14$
Final Capital
September 2024
11.33%
Yearly Return
14.15
Std Deviation
-43.27%
Max Drawdown
40 months
Recovery Period

The Dedalo Invest Dedalo Three Portfolio obtained a 9.95% compound annual return, with a 15.48% standard deviation, in the last 30 Years.

The US Stocks Minimum Volatility Portfolio obtained a 10.22% compound annual return, with a 13.70% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Dedalo Three
Dedalo Invest 		19.75 2.08 9.55 34.00 14.27 11.80 9.95 11.08
US Stocks Minimum Volatility 18.48 0.44 10.14 28.44 9.24 11.35 10.22 11.33
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since October 1994, now would be worth 17.22$, with a total return of 1622.15% (9.95% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since October 1994, now would be worth 18.53$, with a total return of 1753.25% (10.22% annualized).


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Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since January 1985, now would be worth 65.14$, with a total return of 6414.22% (11.08% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since January 1985, now would be worth 71.14$, with a total return of 7013.60% (11.33% 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 1985 - 30 September 2024 (~40 years)
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Dedalo Three US Stocks Minimum Volatility
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 34.00 28.44
Infl. Adjusted Return (%) 30.85 25.42
DRAWDOWN
Deepest Drawdown Depth (%) -4.12 -3.74
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -2.73 -3.74
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 11.85 8.78
Sharpe Ratio 2.42 2.63
Sortino Ratio 3.30 3.38
Ulcer Index 1.37 1.10
Ratio: Return / Standard Deviation 2.87 3.24
Ratio: Return / Deepest Drawdown 8.26 7.59
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Dedalo Three US Stocks Minimum Volatility
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.27 9.24
Infl. Adjusted Return (%) 9.69 4.86
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -19.06
Start to Recovery (months) 24 10
Longest Drawdown Depth (%) -25.03 -17.35
Start to Recovery (months) 24 25
Longest Negative Period (months) 30 27
RISK INDICATORS
Standard Deviation (%) 18.04 14.76
Sharpe Ratio 0.67 0.48
Sortino Ratio 0.88 0.63
Ulcer Index 9.09 6.60
Ratio: Return / Standard Deviation 0.79 0.63
Ratio: Return / Deepest Drawdown 0.57 0.48
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Dedalo Three US Stocks Minimum Volatility
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.80 11.35
Infl. Adjusted Return (%) 8.69 8.26
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -19.06
Start to Recovery (months) 24 10
Longest Drawdown Depth (%) -25.03 -17.35
Start to Recovery (months) 24 25
Longest Negative Period (months) 30 27
RISK INDICATORS
Standard Deviation (%) 15.28 12.22
Sharpe Ratio 0.67 0.81
Sortino Ratio 0.90 1.06
Ulcer Index 7.01 4.92
Ratio: Return / Standard Deviation 0.77 0.93
Ratio: Return / Deepest Drawdown 0.47 0.60
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Dedalo Three US Stocks Minimum Volatility
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.95 10.22
Infl. Adjusted Return (%) 7.25 7.52
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -43.27
Start to Recovery (months) 59 40
Longest Drawdown Depth (%) -44.69 -35.36
Start to Recovery (months) 65 59
Longest Negative Period (months) 137 131
RISK INDICATORS
Standard Deviation (%) 15.48 13.70
Sharpe Ratio 0.49 0.58
Sortino Ratio 0.65 0.76
Ulcer Index 14.63 10.61
Ratio: Return / Standard Deviation 0.64 0.75
Ratio: Return / Deepest Drawdown 0.19 0.24
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Dedalo Three US Stocks Minimum Volatility
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.08 11.33
Infl. Adjusted Return (%) 8.07 8.31
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -43.27
Start to Recovery (months) 59 40
Longest Drawdown Depth (%) -44.69 -35.36
Start to Recovery (months) 65 59
Longest Negative Period (months) 137 131
RISK INDICATORS
Standard Deviation (%) 15.40 14.15
Sharpe Ratio 0.52 0.58
Sortino Ratio 0.67 0.76
Ulcer Index 13.17 9.98
Ratio: Return / Standard Deviation 0.72 0.80
Ratio: Return / Deepest Drawdown 0.21 0.26
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)

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Dedalo Three US Stocks Minimum Volatility
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-43.27 40 Nov 2007
Feb 2011
-35.36 59 Sep 2000
Jul 2005
-25.03 24 Jan 2022
Dec 2023
-21.23 7 Jan 2020
Jul 2020
-19.06 10 Feb 2020
Nov 2020
-17.35 25 Jan 2022
Jan 2024
-17.27 5 Jul 1998
Nov 1998
-16.52 5 Jul 1998
Nov 1998
-13.86 7 Oct 2018
Apr 2019
-11.70 8 May 2011
Dec 2011
-10.24 14 Jun 2015
Jul 2016
-9.14 6 Jul 1999
Dec 1999
-7.56 5 Oct 2018
Feb 2019

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Dedalo Three US Stocks Minimum Volatility
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-43.27 40 Nov 2007
Feb 2011
-35.36 59 Sep 2000
Jul 2005
-30.08 21 Sep 1987
May 1989
-28.32 20 Sep 1987
Apr 1989
-25.03 24 Jan 2022
Dec 2023
-21.23 7 Jan 2020
Jul 2020
-19.06 10 Feb 2020
Nov 2020
-17.64 9 Jun 1990
Feb 1991
-17.35 25 Jan 2022
Jan 2024
-17.27 5 Jul 1998
Nov 1998
-16.52 5 Jul 1998
Nov 1998
-14.10 9 Jun 1990
Feb 1991
-13.86 7 Oct 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 1985 - 30 September 2024 (~40 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 US Stocks Minimum Volatility
Year Return Drawdown Return Drawdown
2024
 19.75% -4.12% 18.48% -3.74%
2023
 24.84% -9.28% 10.33% -4.29%
2022
 -19.06% -25.03% -9.42% -17.35%
2021
 23.45% -4.36% 20.84% -4.99%
2020
 19.70% -21.23% 5.64% -19.06%
2019
 29.51% -6.31% 27.69% -1.61%
2018
 -6.58% -13.86% 1.36% -7.56%
2017
 22.20% 0.00% 18.91% -0.35%
2016
 11.53% -6.09% 10.57% -5.27%
2015
 -0.31% -9.69% 5.45% -5.12%
2014
 9.88% -3.55% 16.33% -3.04%
2013
 30.30% -2.87% 25.09% -3.26%
2012
 16.65% -7.77% 10.82% -2.17%
2011
 -1.57% -18.86% 12.70% -11.70%
2010
 16.12% -13.01% 14.52% -12.81%
2009
 30.02% -18.21% 18.18% -19.43%
2008
 -38.58% -39.39% -25.77% -28.06%
2007
 7.43% -4.72% 4.15% -5.15%
2006
 17.68% -2.99% 14.77% -3.11%
2005
 7.97% -3.59% 6.45% -3.39%
2004
 14.03% -3.28% 14.34% -2.88%
2003
 32.35% -3.73% 19.79% -5.68%
2002
 -20.01% -26.98% -15.44% -24.56%
2001
 -12.52% -24.34% -7.96% -20.58%
2000
 -10.82% -15.16% 2.67% -9.24%
1999
 24.56% -5.78% 7.63% -9.14%
1998
 23.06% -17.27% 22.82% -16.52%
1997
 26.24% -5.13% 30.20% -5.47%
1996
 18.59% -5.91% 14.96% -5.24%
1995
 30.83% -1.31% 36.61% -0.39%
1994
 1.59% -6.54% 0.13% -7.03%
1993
 14.86% -2.28% 11.82% -2.26%
1992
 5.08% -2.85% 6.42% -2.83%
1991
 28.61% -4.77% 28.86% -4.68%
1990
 -9.23% -17.64% -2.01% -14.10%
1989
 24.94% -3.57% 35.71% -2.13%
1988
 19.28% -3.15% 15.74% -3.84%
1987
 6.82% -28.32% 3.77% -30.08%
1986
 23.00% -7.23% 17.36% -8.39%
1985
 34.39% -3.95% 32.55% -3.71%