Developed World ex-US 40/60 Momentum vs Andrew Tobias Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.05%
Yearly Return
6.91
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Andrew Tobias Portfolio
1.00$
Initial Capital
October 2014
1.93$
Final Capital
September 2024
6.79%
Yearly Return
9.82
Std Deviation
-18.85%
Max Drawdown
24 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.20$
Final Capital
September 2024
5.33%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Andrew Tobias Portfolio
1.00$
Initial Capital
August 2009
2.98$
Final Capital
September 2024
7.46%
Yearly Return
9.82
Std Deviation
-18.85%
Max Drawdown
24 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 4.05% compound annual return, with a 6.91% standard deviation, in the last 10 Years.

The Andrew Tobias Portfolio obtained a 6.79% compound annual return, with a 9.82% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 September 2024 (~15 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 9.76 0.86 3.79 18.55 3.75 4.05 5.33
Andrew Tobias Portfolio
Andrew Tobias 		12.50 1.22 6.74 22.20 8.44 6.79 7.46
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 48.78% (4.05% annualized).

Andrew Tobias Portfolio: an investment of 1$, since October 2014, now would be worth 1.93$, with a total return of 92.81% (6.79% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 119.69% (5.33% annualized).

Andrew Tobias Portfolio: an investment of 1$, since August 2009, now would be worth 2.98$, with a total return of 197.83% (7.46% 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 August 2009 - 30 September 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Author Andrew Tobias
ASSET ALLOCATION
Stocks 40% 66.67%
Fixed Income 60% 33.33%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 22.20
Infl. Adjusted Return (%) 15.97 19.54
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.74
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -1.79
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 8.18
Sharpe Ratio 1.97 2.06
Sortino Ratio 2.73 2.83
Ulcer Index 0.75 0.91
Ratio: Return / Standard Deviation 2.77 2.72
Ratio: Return / Deepest Drawdown 7.27 8.11
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Author Andrew Tobias
ASSET ALLOCATION
Stocks 40% 66.67%
Fixed Income 60% 33.33%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 8.44
Infl. Adjusted Return (%) -0.37 4.13
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.85
Start to Recovery (months) 35 24
Longest Drawdown Depth (%) -19.40 -18.85
Start to Recovery (months) 35 24
Longest Negative Period (months) 48 31
RISK INDICATORS
Standard Deviation (%) 8.62 11.63
Sharpe Ratio 0.18 0.54
Sortino Ratio 0.24 0.71
Ulcer Index 7.52 6.32
Ratio: Return / Standard Deviation 0.44 0.73
Ratio: Return / Deepest Drawdown 0.19 0.45
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Author Andrew Tobias
ASSET ALLOCATION
Stocks 40% 66.67%
Fixed Income 60% 33.33%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 6.79
Infl. Adjusted Return (%) 1.18 3.84
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.85
Start to Recovery (months) 35 24
Longest Drawdown Depth (%) -19.40 -18.85
Start to Recovery (months) 35 24
Longest Negative Period (months) 56 31
RISK INDICATORS
Standard Deviation (%) 6.91 9.82
Sharpe Ratio 0.37 0.54
Sortino Ratio 0.49 0.72
Ulcer Index 5.54 4.97
Ratio: Return / Standard Deviation 0.59 0.69
Ratio: Return / Deepest Drawdown 0.21 0.36
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Author Andrew Tobias
ASSET ALLOCATION
Stocks 40% 66.67%
Fixed Income 60% 33.33%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 7.46
Infl. Adjusted Return (%) 2.72 4.80
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.85
Start to Recovery (months) 35 24
Longest Drawdown Depth (%) -19.40 -18.85
Start to Recovery (months) 35 24
Longest Negative Period (months) 56 31
RISK INDICATORS
Standard Deviation (%) 6.93 9.82
Sharpe Ratio 0.63 0.66
Sortino Ratio 0.83 0.89
Ulcer Index 4.72 4.59
Ratio: Return / Standard Deviation 0.77 0.76
Ratio: Return / Deepest Drawdown 0.27 0.40
Metrics calculated over the period 1 August 2009 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.85 24 Jan 2022
Dec 2023
-13.71 8 Jan 2020
Aug 2020
-8.88 15 Feb 2018
Apr 2019
-8.81 19 Jun 2015
Dec 2016
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.79 2 May 2019
Jun 2019
-3.65 3 Sep 2020
Nov 2020
-2.75 2 Sep 2021
Oct 2021
-2.74 2 Apr 2024
May 2024
-2.07 2 Nov 2021
Dec 2021
-1.85 3 Dec 2014
Feb 2015

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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.85 24 Jan 2022
Dec 2023
-13.71 8 Jan 2020
Aug 2020
-13.69 20 May 2011
Dec 2012
-8.94 15 May 2011
Jul 2012
-8.88 15 Feb 2018
Apr 2019
-8.81 19 Jun 2015
Dec 2016
-8.62 6 Apr 2010
Sep 2010
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.79 2 May 2019
Jun 2019

Rolling Returns

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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 August 2009 - 30 September 2024 (~15 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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Developed World ex-US 40/60 Momentum Andrew Tobias Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 12.50% -2.74%
2023
 10.83% -4.47% 16.14% -6.53%
2022
 -14.37% -19.07% -12.58% -18.85%
2021
 1.27% -2.17% 12.14% -2.75%
2020
 11.65% -7.72% 10.55% -13.71%
2019
 14.52% -0.27% 18.69% -3.79%
2018
 -4.03% -6.00% -5.85% -8.88%
2017
 11.62% -0.20% 15.52% 0.00%
2016
 2.96% -4.27% 5.01% -4.55%
2015
 0.07% -5.38% -0.07% -7.19%
2014
 1.57% -1.52% 2.26% -2.72%
2013
 8.39% -5.17% 18.36% -1.78%
2012
 12.90% -3.09% 11.85% -6.75%
2011
 -0.59% -8.94% -3.28% -13.69%
2010
 10.77% -4.04% 9.28% -8.62%