Developed World ex-US 40/60 Momentum vs Zefiro SCF Zefiro Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond September 2024.
Reset settings
Close
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
Zefiro SCF Zefiro Portfolio
1.00$
Initial Capital
October 2014
1.58$
Final Capital
September 2024
4.69%
Yearly Return
7.41
Std Deviation
-15.09%
Max Drawdown
28 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
Zefiro SCF Zefiro Portfolio
1.00$
Initial Capital
August 2009
2.30$
Final Capital
September 2024
5.63%
Yearly Return
7.12
Std Deviation
-15.09%
Max Drawdown
28 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 Zefiro SCF Zefiro Portfolio obtained a 4.69% compound annual return, with a 7.41% 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)
Swipe left to see all data
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
Zefiro Portfolio
Zefiro SCF 		10.72 2.06 6.60 17.75 6.23 4.69 5.63
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).

Zefiro SCF Zefiro Portfolio: an investment of 1$, since October 2014, now would be worth 1.58$, with a total return of 58.11% (4.69% annualized).


Loading data
Please wait
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).

Zefiro SCF Zefiro Portfolio: an investment of 1$, since August 2009, now would be worth 2.30$, with a total return of 129.65% (5.63% annualized).


Loading data
Please wait

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)
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Author Zefiro SCF
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 50%
Commodities 0% 30%
PERFORMANCES
Annualized Return (%) 18.55 17.75
Infl. Adjusted Return (%) 15.76 14.98
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -1.99
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -1.29
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 1
RISK INDICATORS
Standard Deviation (%) 6.69 6.04
Sharpe Ratio 1.97 2.05
Sortino Ratio 2.73 2.73
Ulcer Index 0.75 0.66
Ratio: Return / Standard Deviation 2.77 2.94
Ratio: Return / Deepest Drawdown 7.27 8.92
Metrics calculated over the period 1 October 2023 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Author Zefiro SCF
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 50%
Commodities 0% 30%
PERFORMANCES
Annualized Return (%) 3.75 6.23
Infl. Adjusted Return (%) -0.41 1.97
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.09
Start to Recovery (months) 35 28
Longest Drawdown Depth (%) -19.40 -15.09
Start to Recovery (months) 35 28
Longest Negative Period (months) 48 34
RISK INDICATORS
Standard Deviation (%) 8.62 8.86
Sharpe Ratio 0.18 0.46
Sortino Ratio 0.24 0.59
Ulcer Index 7.52 5.61
Ratio: Return / Standard Deviation 0.44 0.70
Ratio: Return / Deepest Drawdown 0.19 0.41
Metrics calculated over the period 1 October 2019 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Author Zefiro SCF
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 50%
Commodities 0% 30%
PERFORMANCES
Annualized Return (%) 4.05 4.69
Infl. Adjusted Return (%) 1.16 1.78
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.09
Start to Recovery (months) 35 28
Longest Drawdown Depth (%) -19.40 -15.09
Start to Recovery (months) 35 28
Longest Negative Period (months) 56 34
RISK INDICATORS
Standard Deviation (%) 6.91 7.41
Sharpe Ratio 0.37 0.43
Sortino Ratio 0.49 0.58
Ulcer Index 5.54 4.61
Ratio: Return / Standard Deviation 0.59 0.63
Ratio: Return / Deepest Drawdown 0.21 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Author Zefiro SCF
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 50%
Commodities 0% 30%
PERFORMANCES
Annualized Return (%) 5.33 5.63
Infl. Adjusted Return (%) 2.71 3.01
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.09
Start to Recovery (months) 35 28
Longest Drawdown Depth (%) -19.40 -11.32
Start to Recovery (months) 35 36
Longest Negative Period (months) 56 54
RISK INDICATORS
Standard Deviation (%) 6.93 7.12
Sharpe Ratio 0.63 0.66
Sortino Ratio 0.83 0.88
Ulcer Index 4.72 4.23
Ratio: Return / Standard Deviation 0.77 0.79
Ratio: Return / Deepest Drawdown 0.27 0.37
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)

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.09 28 Apr 2022
Jul 2024
-9.67 17 Feb 2015
Jun 2016
-7.72 5 Feb 2020
Jun 2020
-6.38 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.38 7 Sep 2018
Mar 2019
-4.62 10 Oct 2016
Jul 2017
-4.27 8 Aug 2016
Mar 2017
-3.57 4 Sep 2020
Dec 2020
-2.55 7 Feb 2018
Aug 2018
-1.77 2 Nov 2021
Dec 2021
-1.62 5 Jan 2021
May 2021
-1.53 4 Jan 2021
Apr 2021

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.09 28 Apr 2022
Jul 2024
-11.32 36 Sep 2014
Aug 2017
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.24 19 Oct 2012
Apr 2014
-6.38 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.38 7 Sep 2018
Mar 2019
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.57 4 Sep 2020
Dec 2020
-3.41 5 Dec 2009
Apr 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 - 30 September 2024 (~15 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

Loading data
Please wait

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.
Swipe left to see all data
Developed World ex-US 40/60 Momentum Zefiro Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 10.72% -1.99%
2023
 10.83% -4.47% 7.77% -5.89%
2022
 -14.37% -19.07% -10.59% -15.09%
2021
 1.27% -2.17% 11.11% -1.77%
2020
 11.65% -7.72% 11.22% -6.38%
2019
 14.52% -0.27% 16.48% -0.84%
2018
 -4.03% -6.00% -4.16% -5.38%
2017
 11.62% -0.20% 9.46% -0.77%
2016
 2.96% -4.27% 6.93% -4.62%
2015
 0.07% -5.38% -7.52% -9.67%
2014
 1.57% -1.52% 3.77% -4.11%
2013
 8.39% -5.17% -3.05% -6.81%
2012
 12.90% -3.09% 6.64% -1.98%
2011
 -0.59% -8.94% 11.91% -2.72%
2010
 10.77% -4.04% 12.60% -2.07%