Developed World ex-US 60/40 Momentum vs Robert Shiller Cape US Sector Value Portfolio Comparison

Last Update: 31 March 2024

The Developed World ex-US 60/40 Momentum Portfolio obtained a 4.49% compound annual return, with a 8.96% standard deviation, in the last 10 Years.

The Robert Shiller Cape US Sector Value Portfolio obtained a 14.28% compound annual return, with a 15.76% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US 60/40 Momentum Portfolio Robert Shiller Cape US Sector Value Portfolio
Portfolio Risk High Very High
Asset Allocation Stocks 60% 100%
Fixed Income 40% 0%
Commodities 0% 0%
10 Years Stats Return +4.49% +14.28%
Std Dev 8.96% 15.76%
Max Drawdown -22.23% -21.00%
All time Stats
(Since Nov 2012)		 Return +5.31% +15.60%
Std Dev 8.91% 15.22%
Max Drawdown -22.23% -21.00%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from November 2012

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US 60/40 Momentum Portfolio +3.73 +18.09 +16.56 +5.91 +4.49 +5.31
Robert Shiller Cape US Sector Value Portfolio +2.38 +19.06 +24.86 +14.72 +14.28 +15.60
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Developed World ex-US 60/40 Momentum Portfolio: an investment of 1$, since April 2014, now would be worth 1.55$, with a total return of 55.15% (4.49% annualized).

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since April 2014, now would be worth 3.80$, with a total return of 279.99% (14.28% annualized).

Developed World ex-US 60/40 Momentum Portfolio: an investment of 1$, since November 2012, now would be worth 1.80$, with a total return of 80.45% (5.31% annualized).

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since November 2012, now would be worth 5.23$, with a total return of 423.12% (15.60% annualized).

Drawdowns

Drawdown comparison chart since April 2014.

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Developed World ex-US 60/40 Momentum Portfolio
Robert Shiller Cape US Sector Value Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-22.23% Nov 2021 Sep 2022 (11) Mar 2024 (29) 11.24
-21.00% Feb 2020 Mar 2020 (2) Jul 2020 (6) 10.24
-20.07% Jan 2022 Sep 2022 (9) Jul 2023 (19) 9.80
-15.27% Oct 2018 Dec 2018 (3) Apr 2019 (7) 7.29
-10.52% Feb 2018 Dec 2018 (11) Jun 2019 (17) 4.70
-10.46% Feb 2020 Mar 2020 (2) Jun 2020 (5) 5.30
-8.74% Aug 2015 Sep 2015 (2) Oct 2015 (3) 5.37
-8.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.42
-7.73% May 2015 Sep 2015 (5) Jul 2016 (15) 4.34
-5.96% May 2019 May 2019 (1) Jun 2019 (2) 3.44
-5.62% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.44
-5.21% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.46
-5.00% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.89
-4.58% Jan 2016 Jan 2016 (1) Mar 2016 (3) 2.58
-4.02% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.25
-4.02% Jul 2014 Dec 2014 (6) Apr 2015 (10) 2.20
-3.14% Oct 2016 Oct 2016 (1) Nov 2016 (2) 1.81
-2.77% Dec 2014 Jan 2015 (2) Feb 2015 (3) 1.45
-2.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.55
-2.13% Oct 2020 Oct 2020 (1) Nov 2020 (2) 1.23

Drawdown comparison chart since November 2012.

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Developed World ex-US 60/40 Momentum Portfolio
Robert Shiller Cape US Sector Value Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-22.23% Nov 2021 Sep 2022 (11) Mar 2024 (29) 11.24
-21.00% Feb 2020 Mar 2020 (2) Jul 2020 (6) 10.24
-20.07% Jan 2022 Sep 2022 (9) Jul 2023 (19) 9.80
-15.27% Oct 2018 Dec 2018 (3) Apr 2019 (7) 7.29
-10.52% Feb 2018 Dec 2018 (11) Jun 2019 (17) 4.70
-10.46% Feb 2020 Mar 2020 (2) Jun 2020 (5) 5.30
-8.74% Aug 2015 Sep 2015 (2) Oct 2015 (3) 5.37
-8.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.42
-7.73% May 2015 Sep 2015 (5) Jul 2016 (15) 4.34
-5.96% May 2019 May 2019 (1) Jun 2019 (2) 3.44
-5.64% May 2013 Jun 2013 (2) Sep 2013 (5) 3.77
-5.62% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.44
-5.21% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.46
-5.00% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.89
-4.58% Jan 2016 Jan 2016 (1) Mar 2016 (3) 2.58
-4.02% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.25
-4.02% Jul 2014 Dec 2014 (6) Apr 2015 (10) 2.20
-3.84% Jan 2014 Jan 2014 (1) Feb 2014 (2) 2.22
-3.14% Oct 2016 Oct 2016 (1) Nov 2016 (2) 1.81
-2.99% Aug 2013 Aug 2013 (1) Sep 2013 (2) 1.73

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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Year Return Drawdown Return Drawdown
2024
+8.64%
 0.00%
+5.54%
 -1.09%
2023
+11.86%
 -5.80%
+27.65%
 -8.27%
2022
-15.18%
 -22.15%
-15.62%
 -20.07%
2021
+3.05%
 -2.69%
+27.80%
 -5.00%
2020
+15.15%
 -10.46%
+19.47%
 -21.00%
2019
+17.85%
 -1.00%
+32.61%
 -5.96%
2018
-7.45%
 -10.52%
-3.51%
 -15.27%
2017
+16.24%
 -0.39%
+21.38%
 -0.24%
2016
+2.13%
 -5.21%
+18.06%
 -4.58%
2015
-0.48%
 -7.73%
+4.57%
 -8.74%
2014
-2.02%
 -4.02%
+15.77%
 -3.84%
2013
+12.99%
 -5.64%
+33.36%
 -2.99%