Developed World ex-US 40/60 Momentum vs Simplified Permanent Portfolio Comparison

Period: August 2009 - August 2024 (~15 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
September 2014
1.45$
Final Capital
August 2024
3.81%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Simplified Permanent Portfolio
1.00$
Initial Capital
September 2014
1.70$
Final Capital
August 2024
5.46%
Yearly Return
7.30
Std Deviation
-16.43%
Max Drawdown
27 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
August 2024
5.30%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Simplified Permanent Portfolio
1.00$
Initial Capital
August 2009
2.66$
Final Capital
August 2024
6.70%
Yearly Return
7.13
Std Deviation
-16.43%
Max Drawdown
27 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.81% compound annual return, with a 6.93% standard deviation, in the last 10 Years.

The Simplified Permanent Portfolio obtained a 5.46% compound annual return, with a 7.30% standard deviation, in the last 10 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 31 August 2024 (~15 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 8.83 1.02 5.89 14.61 3.57 3.81 5.30
Simplified Permanent Portfolio 11.16 1.76 10.75 16.58 5.80 5.46 6.70
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since September 2014, now would be worth 1.45$, with a total return of 45.36% (3.81% annualized).

Simplified Permanent Portfolio: an investment of 1$, since September 2014, now would be worth 1.70$, with a total return of 70.23% (5.46% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.18$, with a total return of 117.83% (5.30% annualized).

Simplified Permanent Portfolio: an investment of 1$, since August 2009, now would be worth 2.66$, with a total return of 165.82% (6.70% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 August 2009 - 31 August 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 14.61 16.58
Infl. Adjusted Return (%) 11.71 13.64
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -4.00
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -4.00
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 7.68 8.55
Sharpe Ratio 1.21 1.32
Sortino Ratio 1.64 1.73
Ulcer Index 1.33 1.62
Ratio: Return / Standard Deviation 1.90 1.94
Ratio: Return / Deepest Drawdown 4.60 4.14
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 3.57 5.80
Infl. Adjusted Return (%) -0.58 1.56
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.43
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.43
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 40
RISK INDICATORS
Standard Deviation (%) 8.62 8.70
Sharpe Ratio 0.17 0.42
Sortino Ratio 0.22 0.59
Ulcer Index 7.52 5.95
Ratio: Return / Standard Deviation 0.41 0.67
Ratio: Return / Deepest Drawdown 0.18 0.35
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 3.81 5.46
Infl. Adjusted Return (%) 0.95 2.55
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.43
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.43
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 40
RISK INDICATORS
Standard Deviation (%) 6.93 7.30
Sharpe Ratio 0.34 0.55
Sortino Ratio 0.45 0.78
Ulcer Index 5.55 4.55
Ratio: Return / Standard Deviation 0.55 0.75
Ratio: Return / Deepest Drawdown 0.20 0.33
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.30 6.70
Infl. Adjusted Return (%) 2.67 4.04
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.43
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.43
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 40
RISK INDICATORS
Standard Deviation (%) 6.95 7.13
Sharpe Ratio 0.63 0.81
Sortino Ratio 0.83 1.14
Ulcer Index 4.73 3.84
Ratio: Return / Standard Deviation 0.76 0.94
Ratio: Return / Deepest Drawdown 0.27 0.41
Metrics calculated over the period 1 August 2009 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 August 2009 - 31 August 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Simplified Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.43 27 Jan 2022
Mar 2024
-7.72 5 Feb 2020
Jun 2020
-6.23 12 Aug 2016
Jul 2017
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.27 14 Feb 2015
Mar 2016
-4.27 8 Aug 2016
Mar 2017
-3.81 5 Jan 2021
May 2021
-3.68 12 Feb 2018
Jan 2019
-3.11 4 Sep 2020
Dec 2020
-2.81 4 Sep 2021
Dec 2021
-2.59 5 Sep 2014
Jan 2015
-1.86 2 Apr 2024
May 2024
-1.85 3 Feb 2020
Apr 2020

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Developed World ex-US 40/60 Momentum Simplified Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.43 27 Jan 2022
Mar 2024
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-6.69 11 Apr 2013
Feb 2014
-6.23 12 Aug 2016
Jul 2017
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.27 14 Feb 2015
Mar 2016
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.81 5 Jan 2021
May 2021
-3.69 3 Sep 2011
Nov 2011
-3.68 12 Feb 2018
Jan 2019

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 - 31 August 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 Simplified Permanent Portfolio
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 11.16% -1.86%
2023
 10.83% -4.47% 11.51% -5.16%
2022
 -14.37% -19.07% -12.67% -16.43%
2021
 1.27% -2.17% 3.72% -3.81%
2020
 11.65% -7.72% 16.46% -3.11%
2019
 14.52% -0.27% 16.15% -0.99%
2018
 -4.03% -6.00% -1.29% -3.68%
2017
 11.62% -0.20% 9.78% -0.96%
2016
 2.96% -4.27% 5.72% -6.23%
2015
 0.07% -5.38% -1.82% -5.27%
2014
 1.57% -1.52% 7.12% -2.59%
2013
 8.39% -5.17% -1.76% -6.69%
2012
 12.90% -3.09% 7.59% -1.89%
2011
 -0.59% -8.94% 10.45% -3.69%
2010
 10.77% -4.04% 16.36% -0.02%