Developed World ex-US 40/60 Momentum vs Marvin Appel One-Decision 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
Marvin Appel One-Decision Portfolio
1.00$
Initial Capital
October 2014
1.85$
Final Capital
September 2024
6.37%
Yearly Return
9.03
Std Deviation
-16.74%
Max Drawdown
31 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
Marvin Appel One-Decision Portfolio
1.00$
Initial Capital
August 2009
3.12$
Final Capital
September 2024
7.79%
Yearly Return
8.59
Std Deviation
-16.74%
Max Drawdown
31 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 Marvin Appel One-Decision Portfolio obtained a 6.37% compound annual return, with a 9.03% 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
One-Decision Portfolio
Marvin Appel 		9.89 1.72 7.69 20.69 6.31 6.37 7.79
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).

Marvin Appel One-Decision 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).

Marvin Appel One-Decision Portfolio: an investment of 1$, since August 2009, now would be worth 3.12$, with a total return of 211.77% (7.79% 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 One-Decision Portfolio
Author Marvin Appel
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 20.69
Infl. Adjusted Return (%) 15.76 17.85
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.55
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -3.55
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.69 9.61
Sharpe Ratio 1.97 1.60
Sortino Ratio 2.73 2.20
Ulcer Index 0.75 1.21
Ratio: Return / Standard Deviation 2.77 2.15
Ratio: Return / Deepest Drawdown 7.27 5.83
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum One-Decision Portfolio
Author Marvin Appel
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 6.31
Infl. Adjusted Return (%) -0.41 2.05
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.74
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -16.74
Start to Recovery (months) 35 31
Longest Negative Period (months) 48 32
RISK INDICATORS
Standard Deviation (%) 8.62 11.10
Sharpe Ratio 0.18 0.37
Sortino Ratio 0.24 0.49
Ulcer Index 7.52 6.66
Ratio: Return / Standard Deviation 0.44 0.57
Ratio: Return / Deepest Drawdown 0.19 0.38
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum One-Decision Portfolio
Author Marvin Appel
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 6.37
Infl. Adjusted Return (%) 1.16 3.42
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.74
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -16.74
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.91 9.03
Sharpe Ratio 0.37 0.54
Sortino Ratio 0.49 0.72
Ulcer Index 5.54 4.92
Ratio: Return / Standard Deviation 0.59 0.71
Ratio: Return / Deepest Drawdown 0.21 0.38
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum One-Decision Portfolio
Author Marvin Appel
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 7.79
Infl. Adjusted Return (%) 2.71 5.10
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.74
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -16.74
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.93 8.59
Sharpe Ratio 0.63 0.79
Sortino Ratio 0.83 1.06
Ulcer Index 4.72 4.15
Ratio: Return / Standard Deviation 0.77 0.91
Ratio: Return / Deepest Drawdown 0.27 0.47
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 One-Decision Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.74 31 Jan 2022
Jul 2024
-13.04 10 Feb 2020
Nov 2020
-7.72 5 Feb 2020
Jun 2020
-6.99 7 Sep 2018
Mar 2019
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.76 12 Apr 2015
Mar 2016
-4.27 8 Aug 2016
Mar 2017
-3.21 6 Aug 2016
Jan 2017
-3.06 5 Feb 2018
Jun 2018
-2.73 2 Sep 2021
Oct 2021
-2.02 2 May 2019
Jun 2019
-1.62 5 Jan 2021
May 2021
-1.33 2 Oct 2020
Nov 2020

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Developed World ex-US 40/60 Momentum One-Decision Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.74 31 Jan 2022
Jul 2024
-13.04 10 Feb 2020
Nov 2020
-8.94 15 May 2011
Jul 2012
-8.52 8 Jun 2011
Jan 2012
-7.72 5 Feb 2020
Jun 2020
-6.99 7 Sep 2018
Mar 2019
-6.14 5 May 2010
Sep 2010
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.76 12 Apr 2015
Mar 2016
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.21 6 Aug 2016
Jan 2017

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 One-Decision Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 9.89% -3.55%
2023
 10.83% -4.47% 12.43% -7.22%
2022
 -14.37% -19.07% -13.18% -16.74%
2021
 1.27% -2.17% 16.51% -2.73%
2020
 11.65% -7.72% 5.32% -13.04%
2019
 14.52% -0.27% 18.51% -2.02%
2018
 -4.03% -6.00% -3.64% -6.99%
2017
 11.62% -0.20% 8.07% -0.59%
2016
 2.96% -4.27% 8.52% -3.21%
2015
 0.07% -5.38% -0.25% -4.76%
2014
 1.57% -1.52% 11.14% -2.54%
2013
 8.39% -5.17% 10.43% -2.72%
2012
 12.90% -3.09% 10.65% -2.81%
2011
 -0.59% -8.94% 3.87% -8.52%
2010
 10.77% -4.04% 13.01% -6.14%