Developed World ex-US 40/60 Momentum vs Rob Arnott Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.47% compound annual return, with a 6.79% standard deviation, in the last 10 Years.

The Rob Arnott Portfolio obtained a 3.85% compound annual return, with a 7.74% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US 40/60 Momentum Portfolio Rob Arnott Portfolio
Portfolio Risk Medium Medium
Asset Allocation Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
10 Years Stats Return +3.47% +3.85%
Std Dev 6.79% 7.74%
Max Drawdown -19.40% -17.86%
All time Stats
(Since Aug 2009)
Return +5.07% +5.57%
Std Dev 6.96% 7.28%
Max Drawdown -19.40% -17.86%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US 40/60 Momentum Portfolio +1.89 +8.24 +12.20 +3.85 +3.47 +5.07
Rob Arnott Portfolio +0.06 +3.82 +6.79 +4.16 +3.85 +5.57
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.41$, with a total return of 40.59% (3.47% annualized).

Rob Arnott Portfolio: an investment of 1$, since March 2014, now would be worth 1.46$, with a total return of 45.86% (3.85% annualized).

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.06$, with a total return of 105.72% (5.07% annualized).

Rob Arnott Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 120.33% (5.57% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US 40/60 Momentum Portfolio
Rob Arnott Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-19.40% Sep 2021 Sep 2022 (13) In progress (30) 10.39
-17.86% Jan 2022 Sep 2022 (9) In progress (26) 10.92
-8.72% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.02
-7.72% Feb 2020 Mar 2020 (2) Jun 2020 (5) 3.78
-6.23% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.65
-6.00% Feb 2018 Dec 2018 (11) Mar 2019 (14) 2.72
-5.38% May 2015 Sep 2015 (5) Jun 2016 (14) 2.83
-4.84% Sep 2018 Dec 2018 (4) Feb 2019 (6) 2.63
-4.27% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.09
-3.86% Aug 2016 Nov 2016 (4) May 2017 (10) 1.64
-2.79% Sep 2014 Sep 2014 (1) Jan 2015 (5) 1.31
-2.77% Feb 2018 Feb 2018 (1) Aug 2018 (7) 1.39
-2.41% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.30
-1.71% Sep 2021 Sep 2021 (1) Oct 2021 (2) 0.99
-1.62% Jan 2021 Feb 2021 (2) May 2021 (5) 0.94
-1.52% Sep 2014 Dec 2014 (4) Feb 2015 (6) 1.05
-1.46% Nov 2021 Nov 2021 (1) Dec 2021 (2) 0.84
-1.33% Oct 2020 Oct 2020 (1) Nov 2020 (2) 0.77
-0.78% Jul 2014 Jul 2014 (1) Aug 2014 (2) 0.45
-0.64% Jul 2014 Jul 2014 (1) Aug 2014 (2) 0.37

Drawdown comparison chart since August 2009.

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Developed World ex-US 40/60 Momentum Portfolio
Rob Arnott Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-19.40% Sep 2021 Sep 2022 (13) In progress (30) 10.39
-17.86% Jan 2022 Sep 2022 (9) In progress (26) 10.92
-8.94% May 2011 Sep 2011 (5) Jul 2012 (15) 3.88
-8.72% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.02
-7.72% Feb 2020 Mar 2020 (2) Jun 2020 (5) 3.78
-6.23% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.65
-6.00% Feb 2018 Dec 2018 (11) Mar 2019 (14) 2.72
-5.66% May 2013 Jun 2013 (2) Feb 2014 (10) 3.39
-5.38% May 2015 Sep 2015 (5) Jun 2016 (14) 2.83
-5.17% May 2013 Jun 2013 (2) Oct 2013 (6) 3.27
-4.84% Sep 2018 Dec 2018 (4) Feb 2019 (6) 2.63
-4.27% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.09
-4.04% May 2010 May 2010 (1) Jul 2010 (3) 2.68
-3.86% Aug 2016 Nov 2016 (4) May 2017 (10) 1.64
-3.51% Aug 2011 Sep 2011 (2) Oct 2011 (3) 1.80
-2.99% May 2010 May 2010 (1) Jul 2010 (3) 1.99
-2.79% Sep 2014 Sep 2014 (1) Jan 2015 (5) 1.31
-2.77% Feb 2018 Feb 2018 (1) Aug 2018 (7) 1.39
-2.41% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.30
-2.17% May 2012 May 2012 (1) Jul 2012 (3) 1.11

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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Year Return Drawdown Return Drawdown
2024
+2.78%
0.00%
-0.70%
-0.76%
2023
+10.84%
-4.47%
+9.08%
-7.06%
2022
-14.37%
-19.07%
-14.81%
-17.86%
2021
+1.27%
-2.17%
+11.04%
-1.71%
2020
+11.65%
-7.72%
+7.98%
-8.72%
2019
+14.52%
-0.27%
+16.67%
-0.49%
2018
-4.03%
-6.00%
-4.12%
-4.84%
2017
+11.62%
-0.20%
+9.02%
-0.37%
2016
+2.96%
-4.27%
+7.14%
-3.86%
2015
+0.07%
-5.38%
-3.26%
-5.73%
2014
+1.57%
-1.52%
+7.59%
-2.79%
2013
+8.39%
-5.17%
+1.41%
-5.66%
2012
+12.90%
-3.09%
+10.55%
-2.17%
2011
-0.59%
-8.94%
+7.73%
-3.51%
2010
+10.77%
-4.04%
+11.89%
-2.99%