Stocks/Bonds 60/40 vs Stocks/Bonds 60/40 Momentum Portfolio Comparison

Last Update: 31 March 2024

The Stocks/Bonds 60/40 Portfolio obtained a 8.42% compound annual return, with a 9.60% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 9.98% compound annual return, with a 9.57% standard deviation, in the last 30 Years.

Summary

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Stocks/Bonds 60/40 Portfolio Stocks/Bonds 60/40 Momentum Portfolio
Portfolio Risk High High
Asset Allocation Stocks 60% 60%
Fixed Income 40% 40%
Commodities 0% 0%
30 Years Stats Return +8.42% +9.98%
Std Dev 9.60% 9.57%
Max Drawdown -30.55% -32.52%
All time Stats
(Since Jan 1982)		 Return +9.84% +11.24%
Std Dev 9.85% 9.89%
Max Drawdown -30.55% -32.52%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from January 1982

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1M 6M 1Y 5Y 10Y 30Y MAX
Stocks/Bonds 60/40 Portfolio +2.12 +16.12 +17.74 +8.77 +8.05 +8.42 +9.84
Stocks/Bonds 60/40 Momentum Portfolio +2.17 +22.75 +21.53 +7.57 +8.75 +9.98 +11.24
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Stocks/Bonds 60/40 Portfolio: an investment of 1$, since April 1994, now would be worth 11.32$, with a total return of 1031.62% (8.42% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since April 1994, now would be worth 17.36$, with a total return of 1635.93% (9.98% annualized).

Stocks/Bonds 60/40 Portfolio: an investment of 1$, since January 1982, now would be worth 52.64$, with a total return of 5164.17% (9.84% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 90.04$, with a total return of 8904.44% (11.24% annualized).

Drawdowns

Drawdown comparison chart since April 1994.

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Stocks/Bonds 60/40 Portfolio
Stocks/Bonds 60/40 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-32.52% Nov 2007 Feb 2009 (16) Feb 2011 (40) 15.23
-30.55% Nov 2007 Feb 2009 (16) Oct 2010 (36) 13.38
-24.21% Nov 2021 Sep 2022 (11) In progress (29) 16.25
-21.56% Sep 2000 Sep 2002 (25) Jan 2004 (41) 11.96
-21.14% Sep 2000 Sep 2002 (25) Jan 2004 (41) 12.11
-20.69% Jan 2022 Sep 2022 (9) Feb 2024 (26) 11.44
-12.29% Feb 2020 Mar 2020 (2) Jul 2020 (6) 5.29
-10.73% Feb 2020 Mar 2020 (2) Jun 2020 (5) 4.89
-10.18% Jul 1998 Aug 1998 (2) Nov 1998 (5) 4.93
-9.29% Oct 2018 Dec 2018 (3) Jun 2019 (9) 4.52
-9.00% May 2011 Sep 2011 (5) Jan 2012 (9) 3.76
-8.38% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.89
-7.14% May 2011 Sep 2011 (5) Jan 2012 (9) 2.68
-6.78% Aug 1998 Aug 1998 (1) Oct 1998 (3) 3.54
-5.35% Apr 2000 May 2000 (2) Aug 2000 (5) 2.94
-5.24% Jun 2015 Sep 2015 (4) Apr 2016 (11) 2.81
-5.20% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.87
-4.61% Aug 2015 Sep 2015 (2) Mar 2016 (8) 2.30
-3.76% Jul 1999 Sep 1999 (3) Oct 1999 (4) 2.29
-3.67% Feb 2018 Apr 2018 (3) Jul 2018 (6) 2.37

Drawdown comparison chart since January 1982.

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Stocks/Bonds 60/40 Portfolio
Stocks/Bonds 60/40 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-32.52% Nov 2007 Feb 2009 (16) Feb 2011 (40) 15.23
-30.55% Nov 2007 Feb 2009 (16) Oct 2010 (36) 13.38
-24.21% Nov 2021 Sep 2022 (11) In progress (29) 16.25
-21.56% Sep 2000 Sep 2002 (25) Jan 2004 (41) 11.96
-21.14% Sep 2000 Sep 2002 (25) Jan 2004 (41) 12.11
-20.69% Jan 2022 Sep 2022 (9) Feb 2024 (26) 11.44
-20.08% Sep 1987 Nov 1987 (3) May 1989 (21) 11.04
-19.17% Sep 1987 Nov 1987 (3) Jan 1989 (17) 9.40
-12.29% Feb 2020 Mar 2020 (2) Jul 2020 (6) 5.29
-10.73% Feb 2020 Mar 2020 (2) Jun 2020 (5) 4.89
-10.18% Jul 1998 Aug 1998 (2) Nov 1998 (5) 4.93
-9.29% Oct 2018 Dec 2018 (3) Jun 2019 (9) 4.52
-9.00% May 2011 Sep 2011 (5) Jan 2012 (9) 3.76
-8.52% Jul 1990 Oct 1990 (4) Jan 1991 (7) 5.05
-8.38% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.89
-7.66% Aug 1990 Sep 1990 (2) Jan 1991 (6) 4.58
-7.54% Dec 1983 May 1984 (6) Aug 1984 (9) 3.90
-7.14% May 2011 Sep 2011 (5) Jan 2012 (9) 2.68
-7.13% Dec 1983 May 1984 (6) Aug 1984 (9) 3.63
-6.78% Aug 1998 Aug 1998 (1) Oct 1998 (3) 3.54

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
+5.46%
 0.00%
+11.43%
 0.00%
2023
+17.79%
 -7.47%
+7.66%
 -5.48%
2022
-16.95%
 -20.69%
-16.20%
 -21.97%
2021
+14.66%
 -3.24%
+7.27%
 -2.88%
2020
+15.70%
 -12.29%
+20.99%
 -10.73%
2019
+21.94%
 -3.41%
+19.89%
 -0.92%
2018
-3.17%
 -8.38%
-1.04%
 -9.29%
2017
+14.15%
 0.00%
+23.93%
 0.00%
2016
+8.71%
 -2.95%
+4.01%
 -3.57%
2015
+0.44%
 -5.24%
+5.58%
 -4.61%
2014
+9.85%
 -1.50%
+11.10%
 -2.40%
2013
+19.23%
 -2.27%
+19.91%
 -2.13%
2012
+11.13%
 -3.54%
+10.22%
 -3.51%
2011
+3.75%
 -9.00%
+6.73%
 -7.14%
2010
+12.93%
 -7.13%
+13.29%
 -6.43%
2009
+18.79%
 -11.70%
+11.92%
 -12.79%
2008
-19.44%
 -22.19%
-21.83%
 -24.08%
2007
+5.99%
 -3.07%
+13.35%
 -1.41%
2006
+11.12%
 -2.03%
+8.04%
 -2.23%
2005
+4.74%
 -2.34%
+12.44%
 -0.99%
2004
+9.37%
 -2.68%
+11.72%
 -2.06%
2003
+20.04%
 -1.99%
+17.18%
 -1.95%
2002
-8.98%
 -13.74%
-4.07%
 -11.25%
2001
-3.21%
 -11.68%
-7.04%
 -13.57%
2000
-1.79%
 -8.27%
-1.21%
 -6.50%
1999
+13.98%
 -3.76%
+23.95%
 -1.65%
1998
+17.39%
 -10.18%
+32.69%
 -6.78%
1997
+22.37%
 -3.12%
+25.89%
 -3.48%
1996
+14.01%
 -3.33%
+19.33%
 -2.32%
1995
+28.74%
 -0.20%
+32.67%
 0.00%
1994
-1.16%
 -6.47%
-1.72%
 -6.35%
1993
+10.25%
 -1.36%
+11.81%
 -0.99%
1992
+8.32%
 -1.65%
+5.45%
 -2.52%
1991
+25.53%
 -2.86%
+28.24%
 -2.57%
1990
-0.19%
 -8.52%
+4.36%
 -7.66%
1989
+22.33%
 -1.36%
+31.11%
 -1.20%
1988
+13.33%
 -2.24%
+7.18%
 -3.36%
1987
+2.18%
 -19.17%
+2.02%
 -20.08%
1986
+14.79%
 -5.58%
+19.66%
 -5.55%
1985
+27.66%
 -2.15%
+28.33%
 -1.52%
1984
+7.32%
 -6.58%
+5.51%
 -7.11%
1983
+15.69%
 -2.85%
+12.26%
 -3.09%
1982
+24.75%
 -4.29%
+30.72%
 -2.23%