Developed World ex-US 40/60 Momentum vs Stocks/Bonds 40/60 with Bitcoin 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
Stocks/Bonds 40/60 with Bitcoin Portfolio
1.00$
Initial Capital
September 2014
2.46$
Final Capital
August 2024
9.44%
Yearly Return
9.10
Std Deviation
-19.41%
Max Drawdown
29 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
Stocks/Bonds 40/60 with Bitcoin Portfolio
1.00$
Initial Capital
August 2009
11.59$
Final Capital
August 2024
17.64%
Yearly Return
34.25
Std Deviation
-41.83%
Max Drawdown
28 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 Stocks/Bonds 40/60 with Bitcoin Portfolio obtained a 9.44% compound annual return, with a 9.10% 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
Stocks/Bonds 40/60 with Bitcoin 9.79 1.45 7.09 17.31 7.51 9.44 17.64
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).

Stocks/Bonds 40/60 with Bitcoin Portfolio: an investment of 1$, since September 2014, now would be worth 2.46$, with a total return of 146.38% (9.44% 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).

Stocks/Bonds 40/60 with Bitcoin Portfolio: an investment of 1$, since August 2009, now would be worth 11.59$, with a total return of 1058.77% (17.64% 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 Stocks/Bonds 40/60 with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 39%
Fixed Income 60% 59%
Commodities 0% 2%
PERFORMANCES
Annualized Return (%) 14.61 17.31
Infl. Adjusted Return (%) 11.92 14.56
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -4.30
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -4.30
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 7.68 9.89
Sharpe Ratio 1.21 1.21
Sortino Ratio 1.64 1.64
Ulcer Index 1.33 1.81
Ratio: Return / Standard Deviation 1.90 1.75
Ratio: Return / Deepest Drawdown 4.60 4.03
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 39%
Fixed Income 60% 59%
Commodities 0% 2%
PERFORMANCES
Annualized Return (%) 3.57 7.51
Infl. Adjusted Return (%) -0.55 3.24
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.41
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -19.41
Start to Recovery (months) 35 29
Longest Negative Period (months) 48 35
RISK INDICATORS
Standard Deviation (%) 8.62 10.70
Sharpe Ratio 0.17 0.50
Sortino Ratio 0.22 0.68
Ulcer Index 7.52 7.61
Ratio: Return / Standard Deviation 0.41 0.70
Ratio: Return / Deepest Drawdown 0.18 0.39
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 39%
Fixed Income 60% 59%
Commodities 0% 2%
PERFORMANCES
Annualized Return (%) 3.81 9.44
Infl. Adjusted Return (%) 0.97 6.44
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.41
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -19.41
Start to Recovery (months) 35 29
Longest Negative Period (months) 56 35
RISK INDICATORS
Standard Deviation (%) 6.93 9.10
Sharpe Ratio 0.34 0.88
Sortino Ratio 0.45 1.23
Ulcer Index 5.55 5.50
Ratio: Return / Standard Deviation 0.55 1.04
Ratio: Return / Deepest Drawdown 0.20 0.49
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 with Bitcoin
Author
ASSET ALLOCATION
Stocks 40% 39%
Fixed Income 60% 59%
Commodities 0% 2%
PERFORMANCES
Annualized Return (%) 5.30 17.64
Infl. Adjusted Return (%) 2.69 14.72
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -41.83
Start to Recovery (months) 35 28
Longest Drawdown Depth (%) -19.40 -22.55
Start to Recovery (months) 35 44
Longest Negative Period (months) 56 43
RISK INDICATORS
Standard Deviation (%) 6.95 34.25
Sharpe Ratio 0.63 0.49
Sortino Ratio 0.83 1.35
Ulcer Index 4.73 13.82
Ratio: Return / Standard Deviation 0.76 0.51
Ratio: Return / Deepest Drawdown 0.27 0.42
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 Stocks/Bonds 40/60 with Bitcoin
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.41 29 Nov 2021
Mar 2024
-19.40 35 Sep 2021
Jul 2024
-8.64 4 Feb 2020
May 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.74 7 Sep 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.61 3 Apr 2024
Jun 2024
-3.49 4 Aug 2015
Nov 2015
-2.96 7 Feb 2018
Aug 2018
-2.69 2 Sep 2021
Oct 2021
-2.41 4 Dec 2015
Mar 2016
-1.97 3 Sep 2020
Nov 2020
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 with Bitcoin
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-41.83 28 Jul 2011
Oct 2013
-22.55 44 Dec 2013
Jul 2017
-19.41 29 Nov 2021
Mar 2024
-19.40 35 Sep 2021
Jul 2024
-8.94 15 May 2011
Jul 2012
-8.64 4 Feb 2020
May 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.74 7 Sep 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
-3.85 5 May 2010
Sep 2010
-3.61 3 Apr 2024
Jun 2024

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 Stocks/Bonds 40/60 with Bitcoin
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 9.79% -3.61%
2023
 10.83% -4.47% 16.46% -5.77%
2022
 -14.37% -19.07% -16.63% -19.40%
2021
 1.27% -2.17% 10.11% -2.69%
2020
 11.65% -7.72% 18.82% -8.64%
2019
 14.52% -0.27% 19.02% -0.23%
2018
 -4.03% -6.00% -3.57% -5.74%
2017
 11.62% -0.20% 37.76% -0.22%
2016
 2.96% -4.27% 8.97% -1.81%
2015
 0.07% -5.38% 1.16% -3.49%
2014
 1.57% -1.52% 7.20% -1.50%
2013
 8.39% -5.17% 135.55% -22.50%
2012
 12.90% -3.09% 11.90% -1.96%
2011
 -0.59% -8.94% 34.51% -41.83%
2010
 10.77% -4.04% 17.41% -3.85%