Larry Swedroe Eliminate Fat Tails vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Last Update: 31 March 2024

The Larry Swedroe Eliminate Fat Tails Portfolio obtained a 5.48% compound annual return, with a 6.24% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.24% compound annual return, with a 6.99% standard deviation, in the last 30 Years.

Summary

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Larry Swedroe Eliminate Fat Tails Portfolio Stocks/Bonds 40/60 Momentum Portfolio
Portfolio Risk Medium Medium
Asset Allocation Stocks 30% 40%
Fixed Income 70% 60%
Commodities 0% 0%
30 Years Stats Return +5.48% +8.24%
Std Dev 6.24% 6.99%
Max Drawdown -18.42% -21.11%
All time Stats
(Since Jan 1985)		 Return +7.18% +9.30%
Std Dev 6.98% 7.33%
Max Drawdown -18.42% -21.11%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
Larry Swedroe Eliminate Fat Tails Portfolio +1.26 +6.64 +5.07 +3.13 +2.98 +5.48 +7.18
Stocks/Bonds 40/60 Momentum Portfolio +1.76 +17.02 +14.65 +5.19 +6.37 +8.24 +9.30
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Larry Swedroe Eliminate Fat Tails Portfolio: an investment of 1$, since April 1994, now would be worth 4.95$, with a total return of 395.33% (5.48% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since April 1994, now would be worth 10.75$, with a total return of 975.36% (8.24% annualized).

Larry Swedroe Eliminate Fat Tails Portfolio: an investment of 1$, since January 1985, now would be worth 15.19$, with a total return of 1418.96% (7.18% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 32.79$, with a total return of 3179.46% (9.30% annualized).

Drawdowns

Drawdown comparison chart since April 1994.

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Larry Swedroe Eliminate Fat Tails Portfolio
Stocks/Bonds 40/60 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-21.11% Nov 2021 Sep 2022 (11) In progress (29) 14.29
-20.54% Nov 2007 Feb 2009 (16) Apr 2010 (30) 9.31
-18.42% Jun 2008 Feb 2009 (9) Nov 2009 (18) 9.58
-12.62% Jan 2022 Sep 2022 (9) In progress (27) 7.00
-8.68% May 1998 Aug 1998 (4) Apr 1999 (12) 3.71
-8.48% Feb 2001 Sep 2002 (20) May 2003 (28) 4.78
-7.91% Jan 2020 Mar 2020 (3) Jul 2020 (7) 3.66
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-6.64% May 2015 Jan 2016 (9) Jul 2016 (15) 3.83
-6.05% Aug 2011 Sep 2011 (2) Jan 2012 (6) 2.70
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.32% Sep 2018 Dec 2018 (4) Apr 2019 (8) 2.68
-4.47% Jul 2001 Sep 2001 (3) Dec 2001 (6) 1.91
-4.31% May 2002 Jul 2002 (3) May 2003 (13) 2.36
-4.13% Aug 1998 Aug 1998 (1) Oct 1998 (3) 2.07
-3.79% Apr 2004 Apr 2004 (1) Sep 2004 (6) 2.19
-3.77% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.07
-3.62% Mar 2000 May 2000 (3) Aug 2000 (6) 1.67
-3.62% Jun 2011 Sep 2011 (4) Oct 2011 (5) 1.65
-3.61% Aug 2016 Nov 2016 (4) Feb 2017 (7) 1.91

Drawdown comparison chart since January 1985.

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Larry Swedroe Eliminate Fat Tails Portfolio
Stocks/Bonds 40/60 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-21.11% Nov 2021 Sep 2022 (11) In progress (29) 14.29
-20.54% Nov 2007 Feb 2009 (16) Apr 2010 (30) 9.31
-18.42% Jun 2008 Feb 2009 (9) Nov 2009 (18) 9.58
-13.77% Sep 1987 Nov 1987 (3) Mar 1989 (19) 6.65
-13.68% Mar 1987 Nov 1987 (9) Jan 1989 (23) 6.12
-12.62% Jan 2022 Sep 2022 (9) In progress (27) 7.00
-8.81% Aug 1990 Sep 1990 (2) Jan 1991 (6) 4.97
-8.68% May 1998 Aug 1998 (4) Apr 1999 (12) 3.71
-8.48% Feb 2001 Sep 2002 (20) May 2003 (28) 4.78
-7.91% Jan 2020 Mar 2020 (3) Jul 2020 (7) 3.66
-7.61% Feb 1994 Jun 1994 (5) Jun 1995 (17) 5.27
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-6.64% May 2015 Jan 2016 (9) Jul 2016 (15) 3.83
-6.05% Aug 2011 Sep 2011 (2) Jan 2012 (6) 2.70
-5.91% Feb 1994 Jun 1994 (5) Feb 1995 (13) 3.86
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.32% Sep 2018 Dec 2018 (4) Apr 2019 (8) 2.68
-5.29% Aug 1990 Sep 1990 (2) Dec 1990 (5) 3.29
-4.47% Jul 2001 Sep 2001 (3) Dec 2001 (6) 1.91
-4.37% Sep 1986 Sep 1986 (1) Nov 1986 (3) 2.27

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
+1.11%
 -1.00%
+7.39%
 0.00%
2023
+6.63%
 -5.10%
+6.91%
 -5.18%
2022
-9.61%
 -12.62%
-15.17%
 -19.48%
2021
+5.40%
 -1.26%
+4.23%
 -2.38%
2020
+8.18%
 -7.91%
+16.57%
 -7.10%
2019
+9.79%
 -1.93%
+16.20%
 -0.81%
2018
-3.46%
 -5.32%
-0.73%
 -5.89%
2017
+8.83%
 0.00%
+17.14%
 0.00%
2016
+7.30%
 -1.12%
+3.51%
 -3.61%
2015
-3.40%
 -5.77%
+3.91%
 -2.95%
2014
+1.52%
 -2.92%
+9.34%
 -1.49%
2013
+2.64%
 -3.45%
+12.57%
 -1.74%
2012
+7.53%
 -2.29%
+7.87%
 -2.05%
2011
+1.93%
 -6.05%
+7.13%
 -3.62%
2010
+8.60%
 -3.33%
+10.93%
 -3.48%
2009
+17.45%
 -6.28%
+9.16%
 -9.41%
2008
-11.49%
 -16.27%
-12.27%
 -15.80%
2007
+10.73%
 -1.33%
+11.21%
 -0.82%
2006
+8.72%
 -2.40%
+6.78%
 -1.50%
2005
+7.94%
 -2.01%
+9.09%
 -0.93%
2004
+10.37%
 -3.79%
+9.22%
 -2.12%
2003
+17.58%
 -0.78%
+12.78%
 -1.27%
2002
+3.12%
 -4.31%
+0.04%
 -5.36%
2001
+4.53%
 -4.47%
-1.88%
 -6.89%
2000
+3.70%
 -3.62%
+2.99%
 -3.33%
1999
+12.78%
 -1.79%
+15.71%
 -1.69%
1998
+1.83%
 -8.68%
+24.65%
 -4.13%
1997
+7.45%
 -2.49%
+20.41%
 -2.69%
1996
+7.38%
 -2.25%
+14.08%
 -1.52%
1995
+14.41%
 -0.69%
+27.84%
 0.00%
1994
-3.92%
 -7.61%
-2.03%
 -5.91%
1993
+24.39%
 -1.41%
+11.10%
 -0.87%
1992
+5.38%
 -2.50%
+6.01%
 -2.11%
1991
+32.01%
 -2.36%
+23.91%
 -1.79%
1990
+2.61%
 -8.81%
+5.79%
 -5.29%
1989
+26.09%
 -0.58%
+25.29%
 -1.01%
1988
+13.59%
 -1.87%
+7.24%
 -2.95%
1987
-6.14%
 -13.68%
+1.86%
 -13.77%
1986
+11.79%
 -3.42%
+18.14%
 -4.37%
1985
+21.01%
 -1.07%
+26.30%
 -0.74%