Developed World ex-US 40/60 Momentum vs US Stocks Minimum Volatility 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
US Stocks Minimum Volatility Portfolio
1.00$
Initial Capital
October 2014
2.93$
Final Capital
September 2024
11.35%
Yearly Return
12.22
Std Deviation
-19.06%
Max Drawdown
10 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
US Stocks Minimum Volatility Portfolio
1.00$
Initial Capital
August 2009
6.28$
Final Capital
September 2024
12.88%
Yearly Return
12.19
Std Deviation
-19.06%
Max Drawdown
10 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 US Stocks Minimum Volatility Portfolio obtained a 11.35% compound annual return, with a 12.22% 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
US Stocks Minimum Volatility 18.48 0.44 10.14 28.44 9.24 11.35 12.88
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).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since October 2014, now would be worth 2.93$, with a total return of 192.91% (11.35% 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).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since August 2009, now would be worth 6.28$, with a total return of 528.45% (12.88% 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 US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 28.44
Infl. Adjusted Return (%) 15.97 25.65
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.74
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -3.74
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 8.78
Sharpe Ratio 1.97 2.63
Sortino Ratio 2.73 3.38
Ulcer Index 0.75 1.10
Ratio: Return / Standard Deviation 2.77 3.24
Ratio: Return / Deepest Drawdown 7.27 7.59
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 9.24
Infl. Adjusted Return (%) -0.37 4.90
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.06
Start to Recovery (months) 35 10
Longest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Negative Period (months) 48 27
RISK INDICATORS
Standard Deviation (%) 8.62 14.76
Sharpe Ratio 0.18 0.48
Sortino Ratio 0.24 0.63
Ulcer Index 7.52 6.60
Ratio: Return / Standard Deviation 0.44 0.63
Ratio: Return / Deepest Drawdown 0.19 0.48
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 11.35
Infl. Adjusted Return (%) 1.18 8.27
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.06
Start to Recovery (months) 35 10
Longest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Negative Period (months) 56 27
RISK INDICATORS
Standard Deviation (%) 6.91 12.22
Sharpe Ratio 0.37 0.81
Sortino Ratio 0.49 1.06
Ulcer Index 5.54 4.92
Ratio: Return / Standard Deviation 0.59 0.93
Ratio: Return / Deepest Drawdown 0.21 0.60
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Author
ASSET ALLOCATION
Stocks 40% 100%
Fixed Income 60% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 12.88
Infl. Adjusted Return (%) 2.72 10.09
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.06
Start to Recovery (months) 35 10
Longest Drawdown Depth (%) -19.40 -17.35
Start to Recovery (months) 35 25
Longest Negative Period (months) 56 27
RISK INDICATORS
Standard Deviation (%) 6.93 12.19
Sharpe Ratio 0.63 0.98
Sortino Ratio 0.83 1.31
Ulcer Index 4.72 4.44
Ratio: Return / Standard Deviation 0.77 1.06
Ratio: Return / Deepest Drawdown 0.27 0.68
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 US Stocks Minimum Volatility
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-19.06 10 Feb 2020
Nov 2020
-17.35 25 Jan 2022
Jan 2024
-7.72 5 Feb 2020
Jun 2020
-7.56 5 Oct 2018
Feb 2019
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.27 7 Aug 2016
Feb 2017
-5.12 3 Aug 2015
Oct 2015
-4.99 2 Sep 2021
Oct 2021
-4.49 6 Feb 2018
Jul 2018
-4.27 8 Aug 2016
Mar 2017
-3.74 3 Apr 2024
Jun 2024
-3.09 3 Jan 2021
Mar 2021
-2.53 5 Mar 2015
Jul 2015

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Developed World ex-US 40/60 Momentum US Stocks Minimum Volatility
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-19.06 10 Feb 2020
Nov 2020
-17.35 25 Jan 2022
Jan 2024
-12.81 6 May 2010
Oct 2010
-11.70 8 May 2011
Dec 2011
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.56 5 Oct 2018
Feb 2019
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.27 7 Aug 2016
Feb 2017
-5.17 6 May 2013
Oct 2013
-5.12 3 Aug 2015
Oct 2015
-4.99 2 Sep 2021
Oct 2021
-4.49 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 - 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 US Stocks Minimum Volatility
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 18.48% -3.74%
2023
 10.83% -4.47% 10.33% -4.29%
2022
 -14.37% -19.07% -9.42% -17.35%
2021
 1.27% -2.17% 20.84% -4.99%
2020
 11.65% -7.72% 5.64% -19.06%
2019
 14.52% -0.27% 27.69% -1.61%
2018
 -4.03% -6.00% 1.36% -7.56%
2017
 11.62% -0.20% 18.91% -0.35%
2016
 2.96% -4.27% 10.57% -5.27%
2015
 0.07% -5.38% 5.45% -5.12%
2014
 1.57% -1.52% 16.33% -3.04%
2013
 8.39% -5.17% 25.09% -3.26%
2012
 12.90% -3.09% 10.82% -2.17%
2011
 -0.59% -8.94% 12.70% -11.70%
2010
 10.77% -4.04% 14.52% -12.81%