Developed World ex-US 40/60 Momentum vs Scott Burns Couch Potato Portfolio Comparison

Simulation Settings
Period: August 2009 - November 2024 (~15 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
December 2014
1.47$
Final Capital
November 2024
3.93%
Yearly Return
6.96
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Scott Burns Couch Potato Portfolio
1.00$
Initial Capital
December 2014
2.07$
Final Capital
November 2024
7.54%
Yearly Return
9.35
Std Deviation
-19.77%
Max Drawdown
27months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
November 2024
5.22%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Scott Burns Couch Potato Portfolio
1.00$
Initial Capital
August 2009
3.69$
Final Capital
November 2024
8.90%
Yearly Return
8.63
Std Deviation
-19.77%
Max Drawdown
27months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.93% compound annual return, with a 6.96% standard deviation, in the last 10 Years.

The Scott Burns Couch Potato Portfolio obtained a 7.54% compound annual return, with a 9.35% standard deviation, in the last 10 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 November 2024 (~15 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 8.99 1.48 3.47 12.64 3.42 3.93 5.22
Couch Potato
Scott Burns 		15.56 3.83 9.97 20.17 8.62 7.54 8.90
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since December 2014, now would be worth 1.47$, with a total return of 47.03% (3.93% annualized).

Scott Burns Couch Potato Portfolio: an investment of 1$, since December 2014, now would be worth 2.07$, with a total return of 106.85% (7.54% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.18$, with a total return of 118.15% (5.22% annualized).

Scott Burns Couch Potato Portfolio: an investment of 1$, since August 2009, now would be worth 3.69$, with a total return of 269.39% (8.90% annualized).


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Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 August 2009 - 30 November 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Couch Potato
Author Scott Burns
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.64 20.17
Infl. Adjusted Return (%) 9.64 16.97
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.08
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -3.08
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.04 6.72
Sharpe Ratio 1.23 2.22
Sortino Ratio 1.53 2.72
Ulcer Index 0.96 0.92
Ratio: Return / Standard Deviation 2.09 3.00
Ratio: Return / Deepest Drawdown 4.96 6.55
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Developed World ex-US 40/60 Momentum Couch Potato
Author Scott Burns
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.42 8.62
Infl. Adjusted Return (%) -0.73 4.26
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.77
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -19.77
Start to Recovery (months) 35 27
Longest Negative Period (months) 47 32
RISK INDICATORS
Standard Deviation (%) 8.70 11.56
Sharpe Ratio 0.13 0.55
Sortino Ratio 0.17 0.72
Ulcer Index 7.52 7.44
Ratio: Return / Standard Deviation 0.39 0.75
Ratio: Return / Deepest Drawdown 0.18 0.44
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Developed World ex-US 40/60 Momentum Couch Potato
Author Scott Burns
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.93 7.54
Infl. Adjusted Return (%) 0.97 4.47
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.77
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -19.77
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.96 9.35
Sharpe Ratio 0.34 0.64
Sortino Ratio 0.45 0.85
Ulcer Index 5.55 5.48
Ratio: Return / Standard Deviation 0.56 0.81
Ratio: Return / Deepest Drawdown 0.20 0.38
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Developed World ex-US 40/60 Momentum Couch Potato
Author Scott Burns
ASSET ALLOCATION
Stocks 40% 50%
Fixed Income 60% 50%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.22 8.90
Infl. Adjusted Return (%) 2.59 6.18
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.77
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -19.77
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.93 8.63
Sharpe Ratio 0.61 0.91
Sortino Ratio 0.80 1.21
Ulcer Index 4.70 4.53
Ratio: Return / Standard Deviation 0.75 1.03
Ratio: Return / Deepest Drawdown 0.27 0.45
Metrics calculated over the period 1 August 2009 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 August 2009 - 30 November 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Couch Potato
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.77 27 Jan 2022
Mar 2024
-19.40 35 Sep 2021
Jul 2024
-10.72 5 Feb 2020
Jun 2020
-8.06 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.47 14 Mar 2015
Apr 2016
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.24 3 Sep 2020
Nov 2020
-3.08 2 Apr 2024
May 2024
-2.92 6 Feb 2018
Jul 2018
-2.76 2 Sep 2021
Oct 2021
-2.63 2 May 2019
Jun 2019
-2.15 2* Oct 2024
In progress

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Developed World ex-US 40/60 Momentum Couch Potato
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.77 27 Jan 2022
Mar 2024
-19.40 35 Sep 2021
Jul 2024
-10.72 5 Feb 2020
Jun 2020
-8.94 15 May 2011
Jul 2012
-8.06 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-6.25 8 May 2011
Dec 2011
-6.09 5 May 2010
Sep 2010
-6.00 14 Feb 2018
Mar 2019
-5.47 14 Mar 2015
Apr 2016
-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
-3.24 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 November 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 Couch Potato
Year Return Drawdown Return Drawdown
2024
 8.99% -2.55% 15.56% -3.08%
2023
 10.83% -4.47% 14.66% -6.50%
2022
 -14.37% -19.07% -16.31% -19.77%
2021
 1.27% -2.17% 15.67% -2.76%
2020
 11.65% -7.72% 15.93% -10.72%
2019
 14.52% -0.27% 19.51% -2.63%
2018
 -4.03% -6.00% -3.32% -8.06%
2017
 11.62% -0.20% 12.07% 0.00%
2016
 2.96% -4.27% 8.75% -2.08%
2015
 0.07% -5.38% -0.70% -5.47%
2014
 1.57% -1.52% 8.07% -2.34%
2013
 8.39% -5.17% 12.48% -3.18%
2012
 12.90% -3.09% 11.42% -2.32%
2011
 -0.59% -8.94% 7.12% -6.25%
2010
 10.77% -4.04% 11.78% -6.09%