Developed World ex-US 40/60 Momentum vs Vanguard LifeStrategy Conservative Growth 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
Vanguard LifeStrategy Conservative Growth Portfolio
1.00$
Initial Capital
September 2014
1.61$
Final Capital
August 2024
4.90%
Yearly Return
7.55
Std Deviation
-18.57%
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
Vanguard LifeStrategy Conservative Growth Portfolio
1.00$
Initial Capital
August 2009
2.50$
Final Capital
August 2024
6.27%
Yearly Return
7.00
Std Deviation
-18.57%
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 Vanguard LifeStrategy Conservative Growth Portfolio obtained a 4.90% compound annual return, with a 7.55% 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
LifeStrategy Conservative Growth
Vanguard 		7.89 1.65 6.88 13.51 4.88 4.90 6.27
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).

Vanguard LifeStrategy Conservative Growth Portfolio: an investment of 1$, since September 2014, now would be worth 1.61$, with a total return of 61.32% (4.90% 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).

Vanguard LifeStrategy Conservative Growth Portfolio: an investment of 1$, since August 2009, now would be worth 2.50$, with a total return of 150.07% (6.27% 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 LifeStrategy Conservative Growth
Author Vanguard
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.61 13.51
Infl. Adjusted Return (%) 11.71 10.64
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -4.90
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -4.90
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 7.68 9.09
Sharpe Ratio 1.21 0.90
Sortino Ratio 1.64 1.25
Ulcer Index 1.33 1.78
Ratio: Return / Standard Deviation 1.90 1.49
Ratio: Return / Deepest Drawdown 4.60 2.76
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum LifeStrategy Conservative Growth
Author Vanguard
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.57 4.88
Infl. Adjusted Return (%) -0.58 0.68
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.57
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.57
Start to Recovery (months) 35 31
Longest Negative Period (months) 48 39
RISK INDICATORS
Standard Deviation (%) 8.62 9.48
Sharpe Ratio 0.17 0.29
Sortino Ratio 0.22 0.39
Ulcer Index 7.52 7.25
Ratio: Return / Standard Deviation 0.41 0.51
Ratio: Return / Deepest Drawdown 0.18 0.26
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum LifeStrategy Conservative Growth
Author Vanguard
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.81 4.90
Infl. Adjusted Return (%) 0.95 2.00
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.57
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.57
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.93 7.55
Sharpe Ratio 0.34 0.46
Sortino Ratio 0.45 0.61
Ulcer Index 5.55 5.29
Ratio: Return / Standard Deviation 0.55 0.65
Ratio: Return / Deepest Drawdown 0.20 0.26
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum LifeStrategy Conservative Growth
Author Vanguard
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.30 6.27
Infl. Adjusted Return (%) 2.67 3.62
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.57
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.57
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.95 7.00
Sharpe Ratio 0.63 0.76
Sortino Ratio 0.83 1.02
Ulcer Index 4.73 4.38
Ratio: Return / Standard Deviation 0.76 0.90
Ratio: Return / Deepest Drawdown 0.27 0.34
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 LifeStrategy Conservative Growth
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.57 31 Jan 2022
Jul 2024
-8.46 6 Feb 2020
Jul 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.63 6 Sep 2018
Feb 2019
-4.56 13 May 2015
May 2016
-4.27 8 Aug 2016
Mar 2017
-2.43 7 Feb 2018
Aug 2018
-2.35 4 Sep 2021
Dec 2021
-1.97 4 Oct 2016
Jan 2017
-1.97 3 Sep 2020
Nov 2020
-1.67 2 May 2019
Jun 2019
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum LifeStrategy Conservative Growth
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.57 31 Jan 2022
Jul 2024
-8.94 15 May 2011
Jul 2012
-8.46 6 Feb 2020
Jul 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-6.00 9 May 2011
Jan 2012
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.63 6 Sep 2018
Feb 2019
-4.56 13 May 2015
May 2016
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.68 5 May 2010
Sep 2010
-3.02 3 May 2012
Jul 2012

Rolling Returns

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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 LifeStrategy Conservative Growth
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 7.89% -2.75%
2023
 10.83% -4.47% 12.64% -6.30%
2022
 -14.37% -19.07% -14.98% -18.57%
2021
 1.27% -2.17% 6.29% -2.35%
2020
 11.65% -7.72% 10.90% -8.46%
2019
 14.52% -0.27% 15.98% -1.67%
2018
 -4.03% -6.00% -3.06% -4.63%
2017
 11.62% -0.20% 11.40% 0.00%
2016
 2.96% -4.27% 5.76% -1.97%
2015
 0.07% -5.38% -0.23% -4.56%
2014
 1.57% -1.52% 6.30% -1.55%
2013
 8.39% -5.17% 9.27% -3.00%
2012
 12.90% -3.09% 10.01% -3.02%
2011
 -0.59% -8.94% 2.86% -6.00%
2010
 10.77% -4.04% 10.21% -3.68%