Developed World ex-US 40/60 Momentum vs Harry Browne Permanent with Bitcoin 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
Harry Browne Permanent with Bitcoin Portfolio
1.00$
Initial Capital
October 2014
2.47$
Final Capital
September 2024
9.46%
Yearly Return
8.48
Std Deviation
-16.89%
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
Harry Browne Permanent with Bitcoin Portfolio
1.00$
Initial Capital
August 2009
11.35$
Final Capital
September 2024
17.37%
Yearly Return
35.67
Std Deviation
-37.49%
Max Drawdown
29 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 Harry Browne Permanent with Bitcoin Portfolio obtained a 9.46% compound annual return, with a 8.48% 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
Permanent Portfolio with Bitcoin
Harry Browne 		13.84 2.55 8.41 26.22 7.86 9.46 17.37
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).

Harry Browne Permanent with Bitcoin Portfolio: an investment of 1$, since October 2014, now would be worth 2.47$, with a total return of 147.01% (9.46% 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).

Harry Browne Permanent with Bitcoin Portfolio: an investment of 1$, since August 2009, now would be worth 11.35$, with a total return of 1034.86% (17.37% 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 Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 18.55 26.22
Infl. Adjusted Return (%) 15.97 23.48
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.29
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -0.49
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 1
RISK INDICATORS
Standard Deviation (%) 6.69 7.01
Sharpe Ratio 1.97 2.98
Sortino Ratio 2.73 4.01
Ulcer Index 0.75 0.65
Ratio: Return / Standard Deviation 2.77 3.74
Ratio: Return / Deepest Drawdown 7.27 11.45
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 3.75 7.86
Infl. Adjusted Return (%) -0.37 3.57
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 39
RISK INDICATORS
Standard Deviation (%) 8.62 9.24
Sharpe Ratio 0.18 0.61
Sortino Ratio 0.24 0.88
Ulcer Index 7.52 6.18
Ratio: Return / Standard Deviation 0.44 0.85
Ratio: Return / Deepest Drawdown 0.19 0.47
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 4.05 9.46
Infl. Adjusted Return (%) 1.18 6.44
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.91 8.48
Sharpe Ratio 0.37 0.94
Sortino Ratio 0.49 1.41
Ulcer Index 5.54 4.76
Ratio: Return / Standard Deviation 0.59 1.12
Ratio: Return / Deepest Drawdown 0.21 0.56
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.33 17.37
Infl. Adjusted Return (%) 2.72 14.46
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -37.49
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -23.85
Start to Recovery (months) 35 45
Longest Negative Period (months) 56 46
RISK INDICATORS
Standard Deviation (%) 6.93 35.67
Sharpe Ratio 0.63 0.46
Sortino Ratio 0.83 1.38
Ulcer Index 4.72 13.23
Ratio: Return / Standard Deviation 0.77 0.49
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 Permanent Portfolio with Bitcoin
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.89 27 Jan 2022
Mar 2024
-7.72 5 Feb 2020
Jun 2020
-6.28 14 Feb 2015
Mar 2016
-6.08 9 Aug 2016
Apr 2017
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.63 14 Feb 2018
Mar 2019
-4.27 8 Aug 2016
Mar 2017
-2.86 2 Sep 2021
Oct 2021
-2.67 3 Sep 2020
Nov 2020
-2.61 4 Jan 2021
Apr 2021
-2.43 3 Feb 2020
Apr 2020
-2.29 2 Apr 2024
May 2024
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-37.49 29 Jul 2011
Nov 2013
-23.85 45 Dec 2013
Aug 2017
-19.40 35 Sep 2021
Jul 2024
-16.89 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
-4.63 14 Feb 2018
Mar 2019
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.14 5 Dec 2009
Apr 2010
-2.86 2 Sep 2021
Oct 2021
-2.67 3 Sep 2020
Nov 2020

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 Permanent Portfolio with Bitcoin
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 13.84% -2.29%
2023
 10.83% -4.47% 14.40% -5.74%
2022
 -14.37% -19.07% -13.80% -16.89%
2021
 1.27% -2.17% 5.48% -2.86%
2020
 11.65% -7.72% 21.66% -2.67%
2019
 14.52% -0.27% 17.66% -1.61%
2018
 -4.03% -6.00% -3.19% -4.63%
2017
 11.62% -0.20% 38.10% -1.36%
2016
 2.96% -4.27% 7.85% -6.08%
2015
 0.07% -5.38% -2.15% -6.28%
2014
 1.57% -1.52% 8.31% -2.83%
2013
 8.39% -5.17% 122.23% -23.85%
2012
 12.90% -3.09% 9.90% -1.72%
2011
 -0.59% -8.94% 40.38% -37.49%
2010
 10.77% -4.04% 20.30% -0.51%