Developed World ex-US 60/40 Momentum vs US Stocks Minimum Volatility 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 US Stocks Minimum Volatility Portfolio obtained a 10.62% compound annual return, with a 12.06% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US 60/40 Momentum Portfolio US Stocks Minimum Volatility Portfolio
Portfolio Risk High Very High
Asset Allocation Stocks 60% 100%
Fixed Income 40% 0%
Commodities 0% 0%
10 Years Stats Return +4.05% +10.62%
Std Dev 8.90% 12.06%
Max Drawdown -22.23% -19.06%
All time Stats
(Since Aug 2009)
Return +5.65% +12.45%
Std Dev 9.52% 12.28%
Max Drawdown -22.23% -19.06%
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
US Stocks Minimum Volatility Portfolio +2.09 +9.89 +17.47 +9.15 +10.62 +12.45
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).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since March 2014, now would be worth 2.74$, with a total return of 174.45% (10.62% 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).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since August 2009, now would be worth 5.53$, with a total return of 453.33% (12.45% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US 60/40 Momentum Portfolio
US Stocks Minimum Volatility 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
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-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
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.21% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.46
-5.12% Aug 2015 Sep 2015 (2) Oct 2015 (3) 3.42
-4.99% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.88
-4.49% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.17
-4.02% Jul 2014 Dec 2014 (6) Apr 2015 (10) 2.20
-3.09% Jan 2021 Feb 2021 (2) Mar 2021 (3) 2.06
-2.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.55
-2.53% Mar 2015 Jun 2015 (4) Jul 2015 (5) 1.21
-2.13% Oct 2020 Oct 2020 (1) Nov 2020 (2) 1.23
-2.05% Nov 2021 Nov 2021 (1) Dec 2021 (2) 1.18
-1.61% May 2019 May 2019 (1) Jun 2019 (2) 0.93
-1.42% Jul 2014 Jul 2014 (1) Aug 2014 (2) 0.82

Drawdown comparison chart since August 2009.

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Developed World ex-US 60/40 Momentum Portfolio
US Stocks Minimum Volatility 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
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-15.10% May 2011 Sep 2011 (5) Nov 2012 (19) 7.35
-12.81% May 2010 Jun 2010 (2) Oct 2010 (6) 7.65
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-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
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-6.85% Apr 2010 Jun 2010 (3) Sep 2010 (6) 3.74
-5.64% May 2013 Jun 2013 (2) Sep 2013 (5) 3.77
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.21% Aug 2016 Nov 2016 (4) Mar 2017 (8) 2.46
-5.12% Aug 2015 Sep 2015 (2) Oct 2015 (3) 3.42
-4.99% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.88
-4.49% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.17
-4.02% Jul 2014 Dec 2014 (6) Apr 2015 (10) 2.20
-3.68% Jan 2010 Jan 2010 (1) Mar 2010 (3) 1.87
-3.50% Jan 2010 Jan 2010 (1) Mar 2010 (3) 2.25

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%
+4.31%
0.00%
2023
+11.86%
-5.80%
+10.34%
-4.29%
2022
-15.18%
-22.15%
-9.42%
-17.35%
2021
+3.05%
-2.69%
+20.84%
-4.99%
2020
+15.15%
-10.46%
+5.64%
-19.06%
2019
+17.85%
-1.00%
+27.69%
-1.61%
2018
-7.45%
-10.52%
+1.36%
-7.56%
2017
+16.24%
-0.39%
+18.91%
-0.35%
2016
+2.13%
-5.21%
+10.57%
-5.27%
2015
-0.48%
-7.73%
+5.45%
-5.12%
2014
-2.02%
-4.02%
+16.33%
-3.04%
2013
+12.99%
-5.64%
+25.09%
-3.26%
2012
+14.58%
-4.84%
+10.82%
-2.17%
2011
-5.18%
-15.10%
+12.70%
-11.70%
2010
+11.89%
-6.85%
+14.52%
-12.81%