Developed World ex-US 40/60 Momentum vs Stocks/Bonds 40/60 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 Portfolio
1.00$
Initial Capital
September 2014
1.79$
Final Capital
August 2024
6.02%
Yearly Return
7.90
Std Deviation
-18.63%
Max Drawdown
30 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 Portfolio
1.00$
Initial Capital
August 2009
2.89$
Final Capital
August 2024
7.30%
Yearly Return
7.13
Std Deviation
-18.63%
Max Drawdown
30 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 Portfolio obtained a 6.02% compound annual return, with a 7.90% 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 9.21 1.74 7.41 14.89 6.15 6.02 7.30
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 Portfolio: an investment of 1$, since September 2014, now would be worth 1.79$, with a total return of 79.40% (6.02% 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 Portfolio: an investment of 1$, since August 2009, now would be worth 2.89$, with a total return of 189.47% (7.30% 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
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.61 14.89
Infl. Adjusted Return (%) 11.92 12.20
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -5.43
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -5.43
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 3
RISK INDICATORS
Standard Deviation (%) 7.68 9.85
Sharpe Ratio 1.21 0.97
Sortino Ratio 1.64 1.32
Ulcer Index 1.33 2.00
Ratio: Return / Standard Deviation 1.90 1.51
Ratio: Return / Deepest Drawdown 4.60 2.74
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
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.57 6.15
Infl. Adjusted Return (%) -0.55 1.93
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.63
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -18.63
Start to Recovery (months) 35 30
Longest Negative Period (months) 48 38
RISK INDICATORS
Standard Deviation (%) 8.62 9.97
Sharpe Ratio 0.17 0.40
Sortino Ratio 0.22 0.54
Ulcer Index 7.52 7.44
Ratio: Return / Standard Deviation 0.41 0.62
Ratio: Return / Deepest Drawdown 0.18 0.33
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
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.81 6.02
Infl. Adjusted Return (%) 0.97 3.11
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.63
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -18.63
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 38
RISK INDICATORS
Standard Deviation (%) 6.93 7.90
Sharpe Ratio 0.34 0.58
Sortino Ratio 0.45 0.77
Ulcer Index 5.55 5.38
Ratio: Return / Standard Deviation 0.55 0.76
Ratio: Return / Deepest Drawdown 0.20 0.32
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
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.30 7.30
Infl. Adjusted Return (%) 2.69 4.64
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.63
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -18.63
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 38
RISK INDICATORS
Standard Deviation (%) 6.95 7.13
Sharpe Ratio 0.63 0.89
Sortino Ratio 0.83 1.19
Ulcer Index 4.73 4.43
Ratio: Return / Standard Deviation 0.76 1.02
Ratio: Return / Deepest Drawdown 0.27 0.39
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
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.63 30 Jan 2022
Jun 2024
-8.09 4 Feb 2020
May 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.36 7 Sep 2018
Mar 2019
-4.27 8 Aug 2016
Mar 2017
-3.41 10 Jun 2015
Mar 2016
-2.87 6 Feb 2018
Jul 2018
-2.59 3 Sep 2020
Nov 2020
-2.56 2 Sep 2021
Oct 2021
-1.77 2 May 2019
Jun 2019
-1.62 5 Jan 2021
May 2021
-1.52 6 Sep 2014
Feb 2015

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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.63 30 Jan 2022
Jun 2024
-8.94 15 May 2011
Jul 2012
-8.09 4 Feb 2020
May 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.36 7 Sep 2018
Mar 2019
-5.17 6 May 2013
Oct 2013
-4.76 7 Jun 2011
Dec 2011
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.96 5 May 2010
Sep 2010
-3.41 10 Jun 2015
Mar 2016
-2.87 6 Feb 2018
Jul 2018

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
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 9.21% -3.23%
2023
 10.83% -4.47% 13.66% -6.58%
2022
 -14.37% -19.07% -15.67% -18.63%
2021
 1.27% -2.17% 9.15% -2.56%
2020
 11.65% -7.72% 13.04% -8.09%
2019
 14.52% -0.27% 17.57% -1.77%
2018
 -4.03% -6.00% -2.15% -5.36%
2017
 11.62% -0.20% 10.63% 0.00%
2016
 2.96% -4.27% 6.64% -1.57%
2015
 0.07% -5.38% 0.48% -3.41%
2014
 1.57% -1.52% 8.51% -1.20%
2013
 8.39% -5.17% 12.12% -1.84%
2012
 12.90% -3.09% 8.47% -2.11%
2011
 -0.59% -8.94% 5.14% -4.76%
2010
 10.77% -4.04% 10.69% -3.96%