Developed World ex-US Stocks Momentum vs Stocks/Bonds 60/40 ESG Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US Stocks Momentum Portfolio obtained a 5.00% compound annual return, with a 13.60% standard deviation, in the last 10 Years.

The Stocks/Bonds 60/40 ESG Portfolio obtained a 6.74% compound annual return, with a 10.38% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US Stocks Momentum Portfolio Stocks/Bonds 60/40 ESG Portfolio
Portfolio Risk Very High High
Asset Allocation Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
10 Years Stats Return +5.00% +6.74%
Std Dev 13.60% 10.38%
Max Drawdown -28.57% -22.44%
All time Stats
(Since Aug 2009)
Return +6.55% +8.90%
Std Dev 15.24% 10.28%
Max Drawdown -28.57% -22.44%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US Stocks Momentum Portfolio +5.40 +15.30 +20.62 +8.78 +5.00 +6.55
Stocks/Bonds 60/40 ESG Portfolio +2.79 +10.14 +20.61 +9.30 +6.74 +8.90
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.63$, with a total return of 62.90% (5.00% annualized).

Stocks/Bonds 60/40 ESG Portfolio: an investment of 1$, since March 2014, now would be worth 1.92$, with a total return of 92.06% (6.74% annualized).

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.52$, with a total return of 152.39% (6.55% annualized).

Stocks/Bonds 60/40 ESG Portfolio: an investment of 1$, since August 2009, now would be worth 3.47$, with a total return of 246.89% (8.90% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US Stocks Momentum Portfolio
Stocks/Bonds 60/40 ESG Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-22.44% Jan 2022 Sep 2022 (9) Feb 2024 (26) 13.00
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-10.57% Feb 2020 Mar 2020 (2) Jun 2020 (5) 4.82
-10.20% Feb 2018 Dec 2018 (11) Apr 2019 (15) 4.48
-8.11% Jun 2015 Jan 2016 (8) Jul 2016 (14) 3.96
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.85% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.27
-3.74% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.16
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.32% May 2019 May 2019 (1) Jun 2019 (2) 1.92
-3.12% Sep 2014 Sep 2014 (1) Nov 2014 (3) 1.70
-2.38% Jul 2014 Jul 2014 (1) Aug 2014 (2) 1.37
-1.99% Mar 2014 Apr 2014 (2) May 2014 (3) 1.17
-1.80% Jun 2021 Jun 2021 (1) Aug 2021 (3) 0.96
-1.48% Sep 2016 Oct 2016 (2) Nov 2016 (3) 0.76
-1.01% Jan 2021 Jan 2021 (1) Apr 2021 (4) 0.54
-0.73% Nov 2017 Nov 2017 (1) Jan 2018 (3) 0.37

Drawdown comparison chart since August 2009.

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Developed World ex-US Stocks Momentum Portfolio
Stocks/Bonds 60/40 ESG Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-26.91% May 2011 Sep 2011 (5) Apr 2013 (24) 14.61
-22.44% Jan 2022 Sep 2022 (9) Feb 2024 (26) 13.00
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.77% May 2011 Sep 2011 (5) Sep 2012 (17) 5.93
-14.08% Apr 2010 Jun 2010 (3) Sep 2010 (6) 8.07
-10.57% Feb 2020 Mar 2020 (2) Jun 2020 (5) 4.82
-10.20% Feb 2018 Dec 2018 (11) Apr 2019 (15) 4.48
-8.11% Jun 2015 Jan 2016 (8) Jul 2016 (14) 3.96
-7.23% May 2010 Jun 2010 (2) Sep 2010 (5) 4.34
-7.18% Jan 2010 Jan 2010 (1) Mar 2010 (3) 4.79
-6.52% May 2013 Jun 2013 (2) Sep 2013 (5) 4.30
-5.15% Jan 2014 Jan 2014 (1) Jun 2014 (6) 2.47
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.85% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.27
-3.74% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.16
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.43% Nov 2010 Nov 2010 (1) Dec 2010 (2) 1.98

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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Year Return Drawdown Return Drawdown
2024
+8.63%
0.00%
+3.48%
0.00%
2023
+13.91%
-8.35%
+20.65%
-7.66%
2022
-16.80%
-28.32%
-19.58%
-22.44%
2021
+6.60%
-4.63%
+14.84%
-3.74%
2020
+22.16%
-15.97%
+18.27%
-10.57%
2019
+24.51%
-2.38%
+23.31%
-3.32%
2018
-14.30%
-19.22%
-9.29%
-10.20%
2017
+25.46%
-0.73%
+9.32%
-0.42%
2016
+0.47%
-7.09%
+8.09%
-3.49%
2015
-1.60%
-12.26%
+1.04%
-6.91%
2014
-9.19%
-9.77%
+7.55%
-3.12%
2013
+22.20%
-6.52%
+22.59%
-2.36%
2012
+17.94%
-8.24%
+13.87%
-5.06%
2011
-14.36%
-26.91%
-1.55%
-14.77%
2010
+14.14%
-14.08%
+15.13%
-7.23%