Developed World ex-US 40/60 Momentum vs Stocks/Bonds 20/80 Momentum 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
Stocks/Bonds 20/80 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.51$
Final Capital
September 2024
4.22%
Yearly Return
6.02
Std Deviation
-17.91%
Max Drawdown
35 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
Stocks/Bonds 20/80 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.14$
Final Capital
September 2024
5.14%
Yearly Return
5.23
Std Deviation
-17.91%
Max Drawdown
35 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 Stocks/Bonds 20/80 Momentum Portfolio obtained a 4.22% compound annual return, with a 6.02% 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
Stocks/Bonds 20/80 Momentum 9.63 1.70 6.07 18.16 2.83 4.22 5.14
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).

Stocks/Bonds 20/80 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.51$, with a total return of 51.14% (4.22% 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).

Stocks/Bonds 20/80 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.14$, with a total return of 113.94% (5.14% 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 Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 18.16
Infl. Adjusted Return (%) 15.97 15.59
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.12
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -3.12
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 3
RISK INDICATORS
Standard Deviation (%) 6.69 7.30
Sharpe Ratio 1.97 1.75
Sortino Ratio 2.73 2.35
Ulcer Index 0.75 0.98
Ratio: Return / Standard Deviation 2.77 2.49
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 Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 2.83
Infl. Adjusted Return (%) -0.37 -1.26
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 35*
Longest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 35*
Longest Negative Period (months) 48 49
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.62 7.70
Sharpe Ratio 0.18 0.08
Sortino Ratio 0.24 0.11
Ulcer Index 7.52 8.87
Ratio: Return / Standard Deviation 0.44 0.37
Ratio: Return / Deepest Drawdown 0.19 0.16
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 4.22
Infl. Adjusted Return (%) 1.18 1.34
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 35*
Longest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 35*
Longest Negative Period (months) 56 53
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.91 6.02
Sharpe Ratio 0.37 0.45
Sortino Ratio 0.49 0.60
Ulcer Index 5.54 6.34
Ratio: Return / Standard Deviation 0.59 0.70
Ratio: Return / Deepest Drawdown 0.21 0.24
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 5.14
Infl. Adjusted Return (%) 2.72 2.54
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 35*
Longest Drawdown Depth (%) -19.40 -17.91
Start to Recovery (months) 35 35*
Longest Negative Period (months) 56 53
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.93 5.23
Sharpe Ratio 0.63 0.80
Sortino Ratio 0.83 1.05
Ulcer Index 4.72 5.17
Ratio: Return / Standard Deviation 0.77 0.98
Ratio: Return / Deepest Drawdown 0.27 0.29
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 Stocks/Bonds 20/80 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.91 35* Nov 2021
In progress
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.64 9 Aug 2016
Apr 2017
-3.46 3 Feb 2020
Apr 2020
-3.12 6 Sep 2018
Feb 2019
-2.95 6 Jan 2021
Jun 2021
-2.26 3 Sep 2020
Nov 2020
-1.89 7 Feb 2018
Aug 2018
-1.62 5 Jan 2021
May 2021
-1.56 2 Sep 2021
Oct 2021
-1.48 3 Aug 2015
Oct 2015

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Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.91 35* Nov 2021
In progress
-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
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.64 9 Aug 2016
Apr 2017
-3.46 3 Feb 2020
Apr 2020
-3.12 6 Sep 2018
Feb 2019
-2.95 6 Jan 2021
Jun 2021
-2.48 6 May 2013
Oct 2013
-2.26 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 Stocks/Bonds 20/80 Momentum
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 9.63% -3.12%
2023
 10.83% -4.47% 6.16% -5.43%
2022
 -14.37% -19.07% -14.14% -17.00%
2021
 1.27% -2.17% 1.18% -2.95%
2020
 11.65% -7.72% 12.14% -3.46%
2019
 14.52% -0.27% 12.52% -0.69%
2018
 -4.03% -6.00% -0.42% -3.12%
2017
 11.62% -0.20% 10.35% 0.00%
2016
 2.96% -4.27% 3.02% -3.64%
2015
 0.07% -5.38% 2.23% -1.48%
2014
 1.57% -1.52% 7.58% -0.83%
2013
 8.39% -5.17% 5.23% -2.48%
2012
 12.90% -3.09% 5.51% -0.69%
2011
 -0.59% -8.94% 7.52% -0.70%
2010
 10.77% -4.04% 8.56% -0.70%