Developed World ex-US 40/60 Momentum vs Bill Bernstein Coward's 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
Bill Bernstein Coward's Portfolio
1.00$
Initial Capital
October 2014
1.85$
Final Capital
September 2024
6.37%
Yearly Return
9.17
Std Deviation
-15.87%
Max Drawdown
26 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
Bill Bernstein Coward's Portfolio
1.00$
Initial Capital
August 2009
2.94$
Final Capital
September 2024
7.37%
Yearly Return
9.02
Std Deviation
-15.87%
Max Drawdown
26 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 Bill Bernstein Coward's Portfolio obtained a 6.37% compound annual return, with a 9.17% 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
Coward's Portfolio
Bill Bernstein 		10.40 1.48 6.84 19.74 7.14 6.37 7.37
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).

Bill Bernstein Coward's Portfolio: an investment of 1$, since October 2014, now would be worth 1.85$, with a total return of 85.47% (6.37% 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).

Bill Bernstein Coward's Portfolio: an investment of 1$, since August 2009, now would be worth 2.94$, with a total return of 194.17% (7.37% 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 Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 19.74
Infl. Adjusted Return (%) 15.97 17.14
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.89
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -2.89
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 8.51
Sharpe Ratio 1.97 1.69
Sortino Ratio 2.73 2.30
Ulcer Index 0.75 1.01
Ratio: Return / Standard Deviation 2.77 2.32
Ratio: Return / Deepest Drawdown 7.27 6.82
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 7.14
Infl. Adjusted Return (%) -0.37 2.88
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Negative Period (months) 48 32
RISK INDICATORS
Standard Deviation (%) 8.62 10.91
Sharpe Ratio 0.18 0.45
Sortino Ratio 0.24 0.60
Ulcer Index 7.52 5.82
Ratio: Return / Standard Deviation 0.44 0.65
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 Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 6.37
Infl. Adjusted Return (%) 1.18 3.44
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.91 9.17
Sharpe Ratio 0.37 0.53
Sortino Ratio 0.49 0.71
Ulcer Index 5.54 4.46
Ratio: Return / Standard Deviation 0.59 0.69
Ratio: Return / Deepest Drawdown 0.21 0.40
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Coward's Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 7.37
Infl. Adjusted Return (%) 2.72 4.71
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -15.87
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.93 9.02
Sharpe Ratio 0.63 0.71
Sortino Ratio 0.83 0.95
Ulcer Index 4.72 4.00
Ratio: Return / Standard Deviation 0.77 0.82
Ratio: Return / Deepest Drawdown 0.27 0.46
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 Coward's Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.87 26 Jan 2022
Feb 2024
-14.45 11 Jan 2020
Nov 2020
-8.41 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-6.36 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.85 2 May 2019
Jun 2019
-2.98 6 Feb 2018
Jul 2018
-2.89 3 Apr 2024
Jun 2024
-2.35 2 Sep 2021
Oct 2021
-1.72 2 Nov 2021
Dec 2021
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Coward's Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.87 26 Jan 2022
Feb 2024
-14.45 11 Jan 2020
Nov 2020
-12.22 11 May 2011
Mar 2012
-8.94 15 May 2011
Jul 2012
-8.41 8 Sep 2018
Apr 2019
-7.73 6 May 2010
Oct 2010
-7.72 5 Feb 2020
Jun 2020
-6.36 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-5.08 6 Apr 2012
Sep 2012
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010

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 Coward's Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 10.40% -2.89%
2023
 10.83% -4.47% 11.70% -6.86%
2022
 -14.37% -19.07% -10.59% -15.87%
2021
 1.27% -2.17% 13.60% -2.35%
2020
 11.65% -7.72% 7.17% -14.45%
2019
 14.52% -0.27% 16.66% -3.85%
2018
 -4.03% -6.00% -4.86% -8.41%
2017
 11.62% -0.20% 11.81% -0.17%
2016
 2.96% -4.27% 9.49% -3.00%
2015
 0.07% -5.38% -1.25% -6.03%
2014
 1.57% -1.52% 5.28% -2.42%
2013
 8.39% -5.17% 16.34% -2.03%
2012
 12.90% -3.09% 10.41% -5.08%
2011
 -0.59% -8.94% -1.01% -12.22%
2010
 10.77% -4.04% 11.88% -7.73%