Developed World ex-US 40/60 Momentum vs Tim Maurer Simple Money 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
Tim Maurer Simple Money Portfolio
1.00$
Initial Capital
September 2014
1.66$
Final Capital
August 2024
5.22%
Yearly Return
9.57
Std Deviation
-18.44%
Max Drawdown
31 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
Tim Maurer Simple Money Portfolio
1.00$
Initial Capital
August 2009
2.72$
Final Capital
August 2024
6.87%
Yearly Return
9.36
Std Deviation
-18.44%
Max Drawdown
31 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 Tim Maurer Simple Money Portfolio obtained a 5.22% compound annual return, with a 9.57% 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
Simple Money Portfolio
Tim Maurer 		8.06 1.39 8.09 14.02 6.24 5.22 6.87
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).

Tim Maurer Simple Money Portfolio: an investment of 1$, since September 2014, now would be worth 1.66$, with a total return of 66.36% (5.22% annualized).


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

Tim Maurer Simple Money Portfolio: an investment of 1$, since August 2009, now would be worth 2.72$, with a total return of 172.41% (6.87% 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 Simple Money Portfolio
Author Tim Maurer
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.61 14.02
Infl. Adjusted Return (%) 11.92 11.35
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -5.55
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -5.55
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 7.68 10.71
Sharpe Ratio 1.21 0.81
Sortino Ratio 1.64 1.16
Ulcer Index 1.33 1.95
Ratio: Return / Standard Deviation 1.90 1.31
Ratio: Return / Deepest Drawdown 4.60 2.53
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum Simple Money Portfolio
Author Tim Maurer
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.57 6.24
Infl. Adjusted Return (%) -0.55 2.02
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.44
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.44
Start to Recovery (months) 35 31
Longest Negative Period (months) 48 35
RISK INDICATORS
Standard Deviation (%) 8.62 11.67
Sharpe Ratio 0.17 0.35
Sortino Ratio 0.22 0.47
Ulcer Index 7.52 6.55
Ratio: Return / Standard Deviation 0.41 0.53
Ratio: Return / Deepest Drawdown 0.18 0.34
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum Simple Money Portfolio
Author Tim Maurer
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.81 5.22
Infl. Adjusted Return (%) 0.97 2.34
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.44
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.44
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 35
RISK INDICATORS
Standard Deviation (%) 6.93 9.57
Sharpe Ratio 0.34 0.39
Sortino Ratio 0.45 0.53
Ulcer Index 5.55 4.98
Ratio: Return / Standard Deviation 0.55 0.55
Ratio: Return / Deepest Drawdown 0.20 0.28
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum Simple Money Portfolio
Author Tim Maurer
ASSET ALLOCATION
Stocks 40% 60%
Fixed Income 60% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.30 6.87
Infl. Adjusted Return (%) 2.69 4.22
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.44
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.44
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 35
RISK INDICATORS
Standard Deviation (%) 6.95 9.36
Sharpe Ratio 0.63 0.63
Sortino Ratio 0.83 0.86
Ulcer Index 4.73 4.38
Ratio: Return / Standard Deviation 0.76 0.73
Ratio: Return / Deepest Drawdown 0.27 0.37
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 Simple Money Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.44 31 Sep 2021
Mar 2024
-14.55 11 Jan 2020
Nov 2020
-8.67 10 Sep 2018
Jun 2019
-7.72 5 Feb 2020
Jun 2020
-6.66 14 Jun 2015
Jul 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-2.97 2 Apr 2024
May 2024
-2.86 7 Feb 2018
Aug 2018
-2.66 6 Sep 2014
Feb 2015
-1.62 5 Jan 2021
May 2021
-1.54 3 Oct 2016
Dec 2016
-1.52 6 Sep 2014
Feb 2015

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Developed World ex-US 40/60 Momentum Simple Money Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.44 31 Sep 2021
Mar 2024
-14.55 11 Jan 2020
Nov 2020
-11.27 11 May 2011
Mar 2012
-8.94 15 May 2011
Jul 2012
-8.67 10 Sep 2018
Jun 2019
-7.72 5 Feb 2020
Jun 2020
-7.06 5 May 2010
Sep 2010
-6.66 14 Jun 2015
Jul 2016
-6.00 14 Feb 2018
Mar 2019
-5.80 6 Apr 2012
Sep 2012
-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

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 Simple Money Portfolio
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 8.06% -2.97%
2023
 10.83% -4.47% 11.53% -7.51%
2022
 -14.37% -19.07% -11.48% -18.42%
2021
 1.27% -2.17% 10.46% -2.79%
2020
 11.65% -7.72% 6.87% -14.55%
2019
 14.52% -0.27% 16.14% -3.66%
2018
 -4.03% -6.00% -6.64% -8.67%
2017
 11.62% -0.20% 13.36% -0.06%
2016
 2.96% -4.27% 8.15% -3.04%
2015
 0.07% -5.38% 0.47% -5.71%
2014
 1.57% -1.52% 2.33% -3.17%
2013
 8.39% -5.17% 17.81% -2.16%
2012
 12.90% -3.09% 11.70% -5.80%
2011
 -0.59% -8.94% -0.69% -11.27%
2010
 10.77% -4.04% 12.55% -7.06%