Developed World ex-US 40/60 Momentum vs Golden Butterfly with Bitcoin Portfolio Comparison

Period: August 2009 - October 2024 (~15 years)
Consolidated Returns as of 31 October 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
November 2014
1.46$
Final Capital
October 2024
3.83%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Golden Butterfly with Bitcoin Portfolio
1.00$
Initial Capital
November 2014
2.55$
Final Capital
October 2024
9.82%
Yearly Return
9.62
Std Deviation
-18.76%
Max Drawdown
27months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.15$
Final Capital
October 2024
5.15%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Golden Butterfly with Bitcoin Portfolio
1.00$
Initial Capital
August 2009
12.71$
Final Capital
October 2024
18.14%
Yearly Return
34.67
Std Deviation
-39.02%
Max Drawdown
28months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.83% compound annual return, with a 6.95% standard deviation, in the last 10 Years.

The Golden Butterfly with Bitcoin Portfolio obtained a 9.82% compound annual return, with a 9.62% standard deviation, in the last 10 Years.

Returns as of Oct 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 31 October 2024 (~15 years)
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Return (%) as of Oct 31, 2024
YTD
(10M)
1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 7.40 -2.15 4.21 16.81 3.16 3.83 5.15
Golden Butterfly with Bitcoin 11.86 -0.43 11.26 26.35 7.92 9.82 18.14
Return over 1 year are annualized.

Capital Growth as of Oct 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since November 2014, now would be worth 1.46$, with a total return of 45.60% (3.83% annualized).

Golden Butterfly with Bitcoin Portfolio: an investment of 1$, since November 2014, now would be worth 2.55$, with a total return of 155.22% (9.82% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.15$, with a total return of 114.96% (5.15% annualized).

Golden Butterfly with Bitcoin Portfolio: an investment of 1$, since August 2009, now would be worth 12.71$, with a total return of 1170.96% (18.14% annualized).


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Metrics as of Oct 31, 2024

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

METRIC COMPARISON
Period: 1 November 2023 - 31 October 2024 (1 year)
Period: 1 November 2019 - 31 October 2024 (5 years)
Period: 1 November 2014 - 31 October 2024 (10 years)
Period: 1 August 2009 - 31 October 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Golden Butterfly with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 16.81 26.35
Infl. Adjusted Return (%) 13.88 23.17
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.38
Start to Recovery (months) 4 4
Longest Drawdown Depth (%) -2.55 -3.38
Start to Recovery (months) 4 4
Longest Negative Period (months) 3 3
RISK INDICATORS
Standard Deviation (%) 7.27 9.91
Sharpe Ratio 1.58 2.12
Sortino Ratio 2.13 2.94
Ulcer Index 0.94 1.04
Ratio: Return / Standard Deviation 2.31 2.66
Ratio: Return / Deepest Drawdown 6.59 7.80
Metrics calculated over the period 1 November 2023 - 31 October 2024
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Developed World ex-US 40/60 Momentum Golden Butterfly with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 3.16 7.92
Infl. Adjusted Return (%) -0.97 3.60
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.76
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -18.76
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 34
RISK INDICATORS
Standard Deviation (%) 8.69 11.18
Sharpe Ratio 0.11 0.51
Sortino Ratio 0.14 0.71
Ulcer Index 7.52 6.78
Ratio: Return / Standard Deviation 0.36 0.71
Ratio: Return / Deepest Drawdown 0.16 0.42
Metrics calculated over the period 1 November 2019 - 31 October 2024
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Developed World ex-US 40/60 Momentum Golden Butterfly with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 3.83 9.82
Infl. Adjusted Return (%) 0.92 6.75
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.76
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -18.76
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 34
RISK INDICATORS
Standard Deviation (%) 6.95 9.62
Sharpe Ratio 0.33 0.86
Sortino Ratio 0.44 1.24
Ulcer Index 5.55 5.05
Ratio: Return / Standard Deviation 0.55 1.02
Ratio: Return / Deepest Drawdown 0.20 0.52
Metrics calculated over the period 1 November 2014 - 31 October 2024
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Developed World ex-US 40/60 Momentum Golden Butterfly with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 5.15 18.14
Infl. Adjusted Return (%) 2.53 15.20
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -39.02
Start to Recovery (months) 35 28
Longest Drawdown Depth (%) -19.40 -23.09
Start to Recovery (months) 35 44
Longest Negative Period (months) 56 43
RISK INDICATORS
Standard Deviation (%) 6.95 34.67
Sharpe Ratio 0.60 0.49
Sortino Ratio 0.79 1.38
Ulcer Index 4.71 13.18
Ratio: Return / Standard Deviation 0.74 0.52
Ratio: Return / Deepest Drawdown 0.27 0.46
Metrics calculated over the period 1 August 2009 - 31 October 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 November 2014 - 31 October 2024 (10 years)
Period: 1 August 2009 - 31 October 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Golden Butterfly with Bitcoin
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-19.40 35 Sep 2021
Jul 2024
-18.76 27 Jan 2022
Mar 2024
-7.90 5 Feb 2020
Jun 2020
-7.72 5 Feb 2020
Jun 2020
-7.00 8 Sep 2018
Apr 2019
-6.00 14 Feb 2018
Mar 2019
-5.90 14 Feb 2015
Mar 2016
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.38 4 Apr 2024
Jul 2024
-2.92 6 Aug 2016
Jan 2017
-2.57 2 Sep 2021
Oct 2021
-2.56 7 Feb 2018
Aug 2018
-2.42 3 Sep 2020
Nov 2020
-2.15 1* Oct 2024
In progress

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Developed World ex-US 40/60 Momentum Golden Butterfly with Bitcoin
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-39.02 28 Jul 2011
Oct 2013
-23.09 44 Dec 2013
Jul 2017
-19.40 35 Sep 2021
Jul 2024
-18.76 27 Jan 2022
Mar 2024
-8.94 15 May 2011
Jul 2012
-7.90 5 Feb 2020
Jun 2020
-7.72 5 Feb 2020
Jun 2020
-7.00 8 Sep 2018
Apr 2019
-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
-3.38 4 Apr 2024
Jul 2024
-2.89 5 May 2010
Sep 2010

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 August 2009 - 31 October 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 Golden Butterfly with Bitcoin
Year Return Drawdown Return Drawdown
2024
7.40% -2.55% 11.86% -3.38%
2023
10.83% -4.47% 14.83% -7.40%
2022
-14.37% -19.07% -14.62% -18.76%
2021
1.27% -2.17% 10.62% -2.57%
2020
11.65% -7.72% 19.50% -7.90%
2019
14.52% -0.27% 19.52% -0.42%
2018
-4.03% -6.00% -5.46% -7.00%
2017
11.62% -0.20% 38.09% -0.53%
2016
2.96% -4.27% 13.14% -2.92%
2015
0.07% -5.38% -2.81% -5.90%
2014
1.57% -1.52% 8.05% -3.49%
2013
8.39% -5.17% 130.58% -23.09%
2012
12.90% -3.09% 12.33% -2.22%
2011
-0.59% -8.94% 38.12% -39.02%
2010
10.77% -4.04% 22.92% -2.89%