Developed World ex-US 40/60 Momentum vs Gyroscopic Investing Desert 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
Gyroscopic Investing Desert Portfolio
1.00$
Initial Capital
October 2014
1.74$
Final Capital
September 2024
5.68%
Yearly Return
5.87
Std Deviation
-14.72%
Max Drawdown
27 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
Gyroscopic Investing Desert Portfolio
1.00$
Initial Capital
August 2009
2.57$
Final Capital
September 2024
6.42%
Yearly Return
5.59
Std Deviation
-14.72%
Max Drawdown
27 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 Gyroscopic Investing Desert Portfolio obtained a 5.68% compound annual return, with a 5.87% 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
Desert Portfolio
Gyroscopic Investing 		11.44 1.80 7.82 19.99 6.24 5.68 6.42
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).

Gyroscopic Investing Desert Portfolio: an investment of 1$, since October 2014, now would be worth 1.74$, with a total return of 73.72% (5.68% 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).

Gyroscopic Investing Desert Portfolio: an investment of 1$, since August 2009, now would be worth 2.57$, with a total return of 156.78% (6.42% 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 Desert Portfolio
Author Gyroscopic Investing
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 18.55 19.99
Infl. Adjusted Return (%) 15.76 17.17
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.08
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -0.46
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 1
RISK INDICATORS
Standard Deviation (%) 6.69 5.87
Sharpe Ratio 1.97 2.49
Sortino Ratio 2.73 3.35
Ulcer Index 0.75 0.59
Ratio: Return / Standard Deviation 2.77 3.41
Ratio: Return / Deepest Drawdown 7.27 9.63
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Desert Portfolio
Author Gyroscopic Investing
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 3.75 6.24
Infl. Adjusted Return (%) -0.41 1.98
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -14.72
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -14.72
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 38
RISK INDICATORS
Standard Deviation (%) 8.62 7.36
Sharpe Ratio 0.18 0.55
Sortino Ratio 0.24 0.73
Ulcer Index 7.52 5.32
Ratio: Return / Standard Deviation 0.44 0.85
Ratio: Return / Deepest Drawdown 0.19 0.42
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Desert Portfolio
Author Gyroscopic Investing
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.05 5.68
Infl. Adjusted Return (%) 1.16 2.74
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -14.72
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -14.72
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 38
RISK INDICATORS
Standard Deviation (%) 6.91 5.87
Sharpe Ratio 0.37 0.71
Sortino Ratio 0.49 0.97
Ulcer Index 5.54 3.85
Ratio: Return / Standard Deviation 0.59 0.97
Ratio: Return / Deepest Drawdown 0.21 0.39
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Desert Portfolio
Author Gyroscopic Investing
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.33 6.42
Infl. Adjusted Return (%) 2.71 3.77
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -14.72
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -14.72
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 38
RISK INDICATORS
Standard Deviation (%) 6.93 5.59
Sharpe Ratio 0.63 0.97
Sortino Ratio 0.83 1.33
Ulcer Index 4.72 3.17
Ratio: Return / Standard Deviation 0.77 1.15
Ratio: Return / Deepest Drawdown 0.27 0.44
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 Desert Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-14.72 27 Jan 2022
Mar 2024
-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
-3.56 3 Feb 2020
Apr 2020
-2.77 5 Sep 2018
Jan 2019
-2.63 7 Aug 2016
Feb 2017
-2.57 10 Jun 2015
Mar 2016
-2.38 3 Sep 2020
Nov 2020
-2.29 4 Sep 2021
Dec 2021
-2.19 7 Feb 2018
Aug 2018
-2.08 2 Apr 2024
May 2024
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Desert Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-14.72 27 Jan 2022
Mar 2024
-8.94 15 May 2011
Jul 2012
-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
-3.56 3 Feb 2020
Apr 2020
-3.24 2 Sep 2011
Oct 2011
-2.77 5 Sep 2018
Jan 2019
-2.64 5 May 2013
Sep 2013
-2.63 7 Aug 2016
Feb 2017
-2.57 10 Jun 2015
Mar 2016

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 - 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 Desert Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 11.44% -2.08%
2023
 10.83% -4.47% 11.64% -4.01%
2022
 -14.37% -19.07% -11.64% -14.72%
2021
 1.27% -2.17% 5.76% -2.29%
2020
 11.65% -7.72% 12.96% -3.56%
2019
 14.52% -0.27% 14.41% -0.95%
2018
 -4.03% -6.00% -0.94% -2.77%
2017
 11.62% -0.20% 8.38% -0.12%
2016
 2.96% -4.27% 5.39% -2.63%
2015
 0.07% -5.38% 0.02% -2.57%
2014
 1.57% -1.52% 5.45% -1.59%
2013
 8.39% -5.17% 6.10% -2.64%
2012
 12.90% -3.09% 6.70% -2.16%
2011
 -0.59% -8.94% 6.23% -3.24%
2010
 10.77% -4.04% 11.95% -1.56%