Developed World ex-US 60/40 Momentum vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US 60/40 Momentum Portfolio obtained a 4.05% compound annual return, with a 8.90% standard deviation, in the last 10 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 6.03% compound annual return, with a 7.88% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US 60/40 Momentum Portfolio Stocks/Bonds 40/60 Momentum Portfolio
Portfolio Risk High Medium
Asset Allocation Stocks 60% 40%
Fixed Income 40% 60%
Commodities 0% 0%
10 Years Stats Return +4.05% +6.03%
Std Dev 8.90% 7.88%
Max Drawdown -22.23% -21.11%
All time Stats
(Since Aug 2009)
Return +5.65% +7.37%
Std Dev 9.52% 7.16%
Max Drawdown -22.23% -21.11%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US 60/40 Momentum Portfolio +3.08 +10.58 +14.98 +5.52 +4.05 +5.65
Stocks/Bonds 40/60 Momentum Portfolio +3.33 +11.07 +14.70 +5.25 +6.03 +7.37
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US 60/40 Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.49$, with a total return of 48.68% (4.05% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.80$, with a total return of 79.56% (6.03% annualized).

Developed World ex-US 60/40 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.23$, with a total return of 122.75% (5.65% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.82$, with a total return of 181.90% (7.37% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US 60/40 Momentum Portfolio
Stocks/Bonds 40/60 Momentum 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) In progress (28) 11.44
-21.11% Nov 2021 Sep 2022 (11) In progress (28) 14.51
-10.52% Feb 2018 Dec 2018 (11) Jun 2019 (17) 4.70
-10.46% Feb 2020 Mar 2020 (2) Jun 2020 (5) 5.30
-7.73% May 2015 Sep 2015 (5) Jul 2016 (15) 4.34
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.21% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.46
-4.02% Jul 2014 Dec 2014 (6) Apr 2015 (10) 2.20
-3.77% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.07
-3.61% Aug 2016 Nov 2016 (4) Feb 2017 (7) 1.91
-2.95% Aug 2015 Sep 2015 (2) Mar 2016 (8) 1.42
-2.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.55
-2.55% Feb 2018 Apr 2018 (3) Aug 2018 (7) 1.34
-2.38% Feb 2021 Mar 2021 (2) Apr 2021 (3) 1.32
-2.13% Oct 2020 Oct 2020 (1) Nov 2020 (2) 1.23
-2.07% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.20
-1.49% Mar 2014 Mar 2014 (1) May 2014 (3) 1.02
-1.30% Jan 2021 Feb 2021 (2) Apr 2021 (4) 0.83
-0.97% Jun 2021 Jun 2021 (1) Jul 2021 (2) 0.56

Drawdown comparison chart since August 2009.

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Developed World ex-US 60/40 Momentum Portfolio
Stocks/Bonds 40/60 Momentum 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) In progress (28) 11.44
-21.11% Nov 2021 Sep 2022 (11) In progress (28) 14.51
-15.10% May 2011 Sep 2011 (5) Nov 2012 (19) 7.35
-10.52% Feb 2018 Dec 2018 (11) Jun 2019 (17) 4.70
-10.46% Feb 2020 Mar 2020 (2) Jun 2020 (5) 5.30
-7.73% May 2015 Sep 2015 (5) Jul 2016 (15) 4.34
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-6.85% Apr 2010 Jun 2010 (3) Sep 2010 (6) 3.74
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.64% May 2013 Jun 2013 (2) Sep 2013 (5) 3.77
-5.21% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.46
-4.02% Jul 2014 Dec 2014 (6) Apr 2015 (10) 2.20
-3.77% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.07
-3.62% Jun 2011 Sep 2011 (4) Oct 2011 (5) 1.65
-3.61% Aug 2016 Nov 2016 (4) Feb 2017 (7) 1.91
-3.50% Jan 2010 Jan 2010 (1) Mar 2010 (3) 2.25
-3.48% May 2010 Jun 2010 (2) Sep 2010 (5) 1.81
-2.95% Aug 2015 Sep 2015 (2) Mar 2016 (8) 1.42
-2.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.55
-2.55% Feb 2018 Apr 2018 (3) Aug 2018 (7) 1.34

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
+4.73%
0.00%
+5.54%
0.00%
2023
+11.86%
-5.80%
+6.91%
-5.18%
2022
-15.18%
-22.15%
-15.17%
-19.48%
2021
+3.05%
-2.69%
+4.23%
-2.38%
2020
+15.15%
-10.46%
+16.57%
-7.10%
2019
+17.85%
-1.00%
+16.20%
-0.81%
2018
-7.45%
-10.52%
-0.73%
-5.89%
2017
+16.24%
-0.39%
+17.14%
0.00%
2016
+2.13%
-5.21%
+3.51%
-3.61%
2015
-0.48%
-7.73%
+3.91%
-2.95%
2014
-2.02%
-4.02%
+9.34%
-1.49%
2013
+12.99%
-5.64%
+12.57%
-1.74%
2012
+14.58%
-4.84%
+7.87%
-2.05%
2011
-5.18%
-15.10%
+7.13%
-3.62%
2010
+11.89%
-6.85%
+10.93%
-3.48%