Stocks/Bonds 80/20 Momentum vs US Stocks Momentum Portfolio Comparison

Period: January 1982 - August 2024 (~43 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
September 1994
26.47$
Final Capital
August 2024
11.54%
Yearly Return
12.46
Std Deviation
-43.61%
Max Drawdown
52 months
Recovery Period
US Stocks Momentum Portfolio
1.00$
Initial Capital
September 1994
38.08$
Final Capital
August 2024
12.90%
Yearly Return
15.42
Std Deviation
-53.85%
Max Drawdown
63 months
Recovery Period
Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
January 1982
157.18$
Final Capital
August 2024
12.58%
Yearly Return
12.57
Std Deviation
-43.61%
Max Drawdown
52 months
Recovery Period
US Stocks Momentum Portfolio
1.00$
Initial Capital
January 1982
246.41$
Final Capital
August 2024
13.78%
Yearly Return
15.37
Std Deviation
-53.85%
Max Drawdown
63 months
Recovery Period

The Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.54% compound annual return, with a 12.46% standard deviation, in the last 30 Years.

The US Stocks Momentum Portfolio obtained a 12.90% compound annual return, with a 15.42% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 31 August 2024 (~43 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Stocks/Bonds 80/20 Momentum 21.48 3.02 7.88 29.38 9.34 10.84 11.54 12.58
US Stocks Momentum 26.04 3.35 8.53 35.04 11.59 13.04 12.90 13.78
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since September 1994, now would be worth 26.47$, with a total return of 2546.96% (11.54% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since September 1994, now would be worth 38.08$, with a total return of 3708.21% (12.90% annualized).


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Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 157.18$, with a total return of 15618.03% (12.58% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 246.41$, with a total return of 24540.51% (13.78% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1982 - 31 August 2024 (~43 years)
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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 29.38 35.04
Infl. Adjusted Return (%) 26.35 31.87
DRAWDOWN
Deepest Drawdown Depth (%) -5.89 -6.37
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.89 -6.37
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 14.47 16.83
Sharpe Ratio 1.66 1.76
Sortino Ratio 2.17 2.34
Ulcer Index 2.48 2.74
Ratio: Return / Standard Deviation 2.03 2.08
Ratio: Return / Deepest Drawdown 4.99 5.50
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.34 11.59
Infl. Adjusted Return (%) 5.00 7.16
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Negative Period (months) 39 38
RISK INDICATORS
Standard Deviation (%) 15.95 19.17
Sharpe Ratio 0.45 0.49
Sortino Ratio 0.62 0.69
Ulcer Index 12.99 14.42
Ratio: Return / Standard Deviation 0.59 0.60
Ratio: Return / Deepest Drawdown 0.34 0.38
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 13.04
Infl. Adjusted Return (%) 7.80 9.94
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Negative Period (months) 39 38
RISK INDICATORS
Standard Deviation (%) 13.10 15.84
Sharpe Ratio 0.72 0.73
Sortino Ratio 0.97 1.00
Ulcer Index 9.46 10.58
Ratio: Return / Standard Deviation 0.83 0.82
Ratio: Return / Deepest Drawdown 0.40 0.43
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.54 12.90
Infl. Adjusted Return (%) 8.81 10.13
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -53.85
Start to Recovery (months) 52 63
Longest Drawdown Depth (%) -32.75 -53.85
Start to Recovery (months) 52 63
Longest Negative Period (months) 112 126
RISK INDICATORS
Standard Deviation (%) 12.46 15.42
Sharpe Ratio 0.74 0.69
Sortino Ratio 0.98 0.91
Ulcer Index 11.97 16.18
Ratio: Return / Standard Deviation 0.93 0.84
Ratio: Return / Deepest Drawdown 0.26 0.24
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.58 13.78
Infl. Adjusted Return (%) 9.45 10.61
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -53.85
Start to Recovery (months) 52 63
Longest Drawdown Depth (%) -32.75 -53.85
Start to Recovery (months) 52 63
Longest Negative Period (months) 112 126
RISK INDICATORS
Standard Deviation (%) 12.57 15.37
Sharpe Ratio 0.72 0.66
Sortino Ratio 0.95 0.88
Ulcer Index 10.62 14.26
Ratio: Return / Standard Deviation 1.00 0.90
Ratio: Return / Deepest Drawdown 0.29 0.26
Metrics calculated over the period 1 January 1982 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1982 - 31 August 2024 (~43 years)

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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-43.61 52 Nov 2007
Feb 2012
-43.19 59 Sep 2000
Jul 2005
-32.75 52 Sep 2000
Dec 2004
-30.16 29 Nov 2021
Mar 2024
-27.23 32 Nov 2021
Jun 2024
-17.90 5 Feb 2020
Jun 2020
-15.44 9 Oct 2018
Jun 2019
-14.33 5 Feb 2020
Jun 2020
-12.46 9 Oct 2018
Jun 2019
-11.51 3 Aug 1998
Oct 1998
-9.24 3 Aug 1998
Oct 1998
-7.82 3 Sep 2020
Nov 2020
-7.78 10 Aug 2015
May 2016
-6.55 3 Sep 2020
Nov 2020

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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-43.61 52 Nov 2007
Feb 2012
-43.19 59 Sep 2000
Jul 2005
-32.75 52 Sep 2000
Dec 2004
-30.55 23 Sep 1987
Jul 1989
-30.16 29 Nov 2021
Mar 2024
-27.23 32 Nov 2021
Jun 2024
-25.63 21 Sep 1987
May 1989
-17.90 5 Feb 2020
Jun 2020
-15.44 9 Oct 2018
Jun 2019
-14.33 5 Feb 2020
Jun 2020
-12.56 8 Jun 1990
Jan 1991
-12.46 9 Oct 2018
Jun 2019
-12.00 19 Jul 1983
Jan 1985
-11.51 3 Aug 1998
Oct 1998

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 - 31 August 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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Stocks/Bonds 80/20 Momentum US Stocks Momentum
Year Return Drawdown Return Drawdown
2024
 21.48% -4.94% 26.04% -5.47%
2023
 8.40% -5.89% 9.15% -6.59%
2022
 -17.23% -24.45% -18.26% -26.94%
2021
 10.32% -3.67% 13.37% -4.41%
2020
 25.42% -14.33% 29.85% -17.90%
2019
 23.57% -1.46% 27.26% -2.20%
2018
 -1.35% -12.46% -1.66% -15.44%
2017
 30.71% 0.00% 37.50% 0.00%
2016
 4.51% -3.62% 5.00% -5.03%
2015
 7.25% -6.22% 8.93% -7.78%
2014
 12.86% -3.39% 14.61% -4.38%
2013
 27.24% -2.48% 34.58% -2.81%
2012
 12.58% -5.19% 14.94% -6.80%
2011
 6.33% -10.88% 5.93% -14.50%
2010
 15.66% -9.31% 18.02% -12.13%
2009
 14.68% -16.18% 17.45% -19.56%
2008
 -31.40% -32.66% -40.96% -41.23%
2007
 15.50% -1.97% 17.64% -2.82%
2006
 9.30% -2.94% 10.56% -3.64%
2005
 15.79% -1.04% 19.14% -1.25%
2004
 14.21% -2.13% 16.70% -2.66%
2003
 21.59% -3.04% 25.99% -4.14%
2002
 -8.17% -17.08% -12.28% -22.85%
2001
 -12.19% -20.18% -17.35% -26.75%
2000
 -5.41% -9.70% -9.61% -13.35%
1999
 32.18% -1.61% 40.42% -1.57%
1998
 40.72% -9.24% 48.76% -11.51%
1997
 31.37% -4.22% 36.86% -4.89%
1996
 24.58% -3.09% 29.83% -3.81%
1995
 37.49% 0.00% 42.32% -0.02%
1994
 -1.40% -6.80% -1.09% -7.23%
1993
 12.52% -1.57% 13.22% -2.14%
1992
 4.88% -2.94% 4.32% -3.35%
1991
 32.57% -3.31% 36.90% -4.00%
1990
 2.93% -10.02% 1.49% -12.56%
1989
 36.94% -1.39% 42.76% -1.57%
1988
 7.13% -4.35% 7.07% -5.33%
1987
 2.18% -25.63% 2.34% -30.55%
1986
 21.18% -6.69% 22.70% -7.79%
1985
 30.36% -2.61% 32.38% -3.74%
1984
 2.34% -8.41% -0.83% -10.30%
1983
 14.60% -3.36% 16.95% -3.61%
1982
 30.58% -3.58% 30.44% -4.93%