Developed World ex-US 40/60 Momentum vs Stocks/Bonds 20/80 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 Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.08%
Yearly Return
5.98
Std Deviation
-16.57%
Max Drawdown
33 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 Portfolio
1.00$
Initial Capital
August 2009
2.10$
Final Capital
September 2024
5.00%
Yearly Return
5.19
Std Deviation
-16.57%
Max Drawdown
33 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 Portfolio obtained a 4.08% compound annual return, with a 5.98% 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 7.79 1.48 6.26 16.24 3.37 4.08 5.00
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 Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 49.14% (4.08% 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 Portfolio: an investment of 1$, since August 2009, now would be worth 2.10$, with a total return of 109.60% (5.00% 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
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 16.24
Infl. Adjusted Return (%) 15.76 13.51
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.83
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -2.83
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.69 7.57
Sharpe Ratio 1.97 1.44
Sortino Ratio 2.73 2.01
Ulcer Index 0.75 0.94
Ratio: Return / Standard Deviation 2.77 2.14
Ratio: Return / Deepest Drawdown 7.27 5.74
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
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 3.37
Infl. Adjusted Return (%) -0.41 -0.77
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.57
Start to Recovery (months) 35 33
Longest Drawdown Depth (%) -19.40 -16.57
Start to Recovery (months) 35 33
Longest Negative Period (months) 48 49
RISK INDICATORS
Standard Deviation (%) 8.62 7.79
Sharpe Ratio 0.18 0.15
Sortino Ratio 0.24 0.21
Ulcer Index 7.52 7.33
Ratio: Return / Standard Deviation 0.44 0.43
Ratio: Return / Deepest Drawdown 0.19 0.20
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
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 4.08
Infl. Adjusted Return (%) 1.16 1.19
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.57
Start to Recovery (months) 35 33
Longest Drawdown Depth (%) -19.40 -16.57
Start to Recovery (months) 35 33
Longest Negative Period (months) 56 50
RISK INDICATORS
Standard Deviation (%) 6.91 5.98
Sharpe Ratio 0.37 0.43
Sortino Ratio 0.49 0.59
Ulcer Index 5.54 5.24
Ratio: Return / Standard Deviation 0.59 0.68
Ratio: Return / Deepest Drawdown 0.21 0.25
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
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 5.00
Infl. Adjusted Return (%) 2.71 2.39
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.57
Start to Recovery (months) 35 33
Longest Drawdown Depth (%) -19.40 -16.57
Start to Recovery (months) 35 33
Longest Negative Period (months) 56 50
RISK INDICATORS
Standard Deviation (%) 6.93 5.19
Sharpe Ratio 0.63 0.78
Sortino Ratio 0.83 1.04
Ulcer Index 4.72 4.28
Ratio: Return / Standard Deviation 0.77 0.96
Ratio: Return / Deepest Drawdown 0.27 0.30
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
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.57 33 Jan 2022
Sep 2024
-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
-3.92 3 Feb 2020
Apr 2020
-2.67 5 Sep 2018
Jan 2019
-2.40 9 Aug 2016
Apr 2017
-2.05 7 Feb 2018
Aug 2018
-1.90 12 Apr 2015
Mar 2016
-1.82 4 Sep 2021
Dec 2021
-1.63 3 Sep 2020
Nov 2020
-1.62 5 Jan 2021
May 2021
-1.60 4 Jan 2021
Apr 2021

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Developed World ex-US 40/60 Momentum Stocks/Bonds 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.57 33 Jan 2022
Sep 2024
-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
-3.92 3 Feb 2020
Apr 2020
-2.67 5 Sep 2018
Jan 2019
-2.56 6 May 2013
Oct 2013
-2.40 9 Aug 2016
Apr 2017
-2.05 7 Feb 2018
Aug 2018
-2.00 2 Nov 2010
Dec 2010

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
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 7.79% -2.83%
2023
 10.83% -4.47% 9.53% -5.62%
2022
 -14.37% -19.07% -14.39% -16.57%
2021
 1.27% -2.17% 3.64% -1.82%
2020
 11.65% -7.72% 10.38% -3.92%
2019
 14.52% -0.27% 13.20% -0.07%
2018
 -4.03% -6.00% -1.13% -2.67%
2017
 11.62% -0.20% 7.10% -0.02%
2016
 2.96% -4.27% 4.58% -2.40%
2015
 0.07% -5.38% 0.52% -1.90%
2014
 1.57% -1.52% 7.16% -0.89%
2013
 8.39% -5.17% 5.01% -2.56%
2012
 12.90% -3.09% 5.82% -0.62%
2011
 -0.59% -8.94% 6.53% -0.88%
2010
 10.77% -4.04% 8.44% -0.76%