Bogleheads Three Funds Portfolio vs Stocks/Bonds 40/60 Momentum Portfolio Portfolio Comparison

Simulation Settings
Period: January 1982 - November 2024 (~43 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Results
30 Years
All (since January 1982)
Bogleheads Three Funds Portfolio
1.00$
Initial Capital
December 1994
10.93$
Final Capital
November 2024
8.30%
Yearly Return
12.39%
Std Deviation
-43.68%
Max Drawdown
42months
Recovery Period
1.00$
Initial Capital
January 1982
58.33$
Final Capital
November 2024
9.94%
Yearly Return
12.30%
Std Deviation
-43.68%
Max Drawdown
42months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
December 1994
11.68$
Final Capital
November 2024
8.54%
Yearly Return
7.05%
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period
1.00$
Initial Capital
January 1982
55.99$
Final Capital
November 2024
9.83%
Yearly Return
7.45%
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period

As of November 2024, in the previous 30 Years, the Bogleheads Three Funds Portfolio obtained a 8.30% compound annual return, with a 12.39% standard deviation. It suffered a maximum drawdown of -43.68% that required 42 months to be recovered.

As of November 2024, in the previous 30 Years, the Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.54% compound annual return, with a 7.05% standard deviation. It suffered a maximum drawdown of -21.11% that required 35 months to be recovered.

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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Bogleheads Three Funds Portfolio
Weight
(%)		 ETF
Ticker		 Name
50.00
VTI
Vanguard Total Stock Market
30.00
VEU
Vanguard FTSE All-World ex-US
20.00
BND
Vanguard Total Bond Market
Stocks/Bonds 40/60 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
40.00
MTUM
iShares Edge MSCI USA Momentum Fctr
60.00
BND
Vanguard Total Bond Market
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Portfolio Returns as of Nov 30, 2024

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
RETURN COMPARISON
Period: 1 January 1982 - 30 November 2024 (~43 years)
Swipe left to see all data
Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_bogleheads.webp Three Funds
Bogleheads 		16.98 3.63 9.66 22.68 9.45 8.36 8.30 9.94
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Stocks/Bonds 40/60 Momentum
-- Market Benchmark 		17.30 3.77 9.89 22.04 5.41 6.47 8.54 9.83
Return over 1 year are annualized.
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Capital Growth as of Nov 30, 2024

Bogleheads Three Funds Portfolio: an investment of 1$, since December 1994, now would be worth 10.93$, with a total return of 993.06% (8.30% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 11.68$, with a total return of 1068.06% (8.54% annualized).


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Bogleheads Three Funds Portfolio: an investment of 1$, since January 1982, now would be worth 58.33$, with a total return of 5732.77% (9.94% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 55.99$, with a total return of 5498.72% (9.83% annualized).


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Portfolio Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)
Swipe left to see all data
Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 22.68 22.04
Infl. Adjusted Return (%) 19.41 18.79
DRAWDOWN
Deepest Drawdown Depth (%) -3.44 -3.77
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -3.44 -3.77
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.22 7.60
Sharpe Ratio 2.12 2.21
Sortino Ratio 2.59 2.61
Ulcer Index 1.13 1.13
Ratio: Return / Standard Deviation 2.76 2.90
Ratio: Return / Deepest Drawdown 6.60 5.85
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.45 5.41
Infl. Adjusted Return (%) 5.06 1.18
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Negative Period (months) 34 46
RISK INDICATORS
Standard Deviation (%) 14.74 10.19
Sharpe Ratio 0.49 0.31
Sortino Ratio 0.64 0.41
Ulcer Index 8.36 10.18
Ratio: Return / Standard Deviation 0.64 0.53
Ratio: Return / Deepest Drawdown 0.41 0.26
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.36 6.47
Infl. Adjusted Return (%) 5.27 3.44
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Drawdown Depth (%) -23.18 -21.11
Start to Recovery (months) 26 35
Longest Negative Period (months) 34 46
RISK INDICATORS
Standard Deviation (%) 12.33 8.09
Sharpe Ratio 0.55 0.61
Sortino Ratio 0.73 0.80
Ulcer Index 6.42 7.31
Ratio: Return / Standard Deviation 0.68 0.80
Ratio: Return / Deepest Drawdown 0.36 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.30 8.54
Infl. Adjusted Return (%) 5.63 5.87
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -21.11
Start to Recovery (months) 42 35
Longest Drawdown Depth (%) -33.38 -21.11
Start to Recovery (months) 57 35
Longest Negative Period (months) 118 46
RISK INDICATORS
Standard Deviation (%) 12.39 7.05
Sharpe Ratio 0.48 0.89
Sortino Ratio 0.63 1.16
Ulcer Index 10.83 5.25
Ratio: Return / Standard Deviation 0.67 1.21
Ratio: Return / Deepest Drawdown 0.19 0.40
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Three Funds Stocks/Bonds 40/60 Momentum
Author Bogleheads
ASSET ALLOCATION
Stocks 80% 40%
Fixed Income 20% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.94 9.83
Infl. Adjusted Return (%) 6.87 6.77
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -21.11
Start to Recovery (months) 42 35
Longest Drawdown Depth (%) -33.38 -21.11
Start to Recovery (months) 57 35
Longest Negative Period (months) 118 46
RISK INDICATORS
Standard Deviation (%) 12.30 7.45
Sharpe Ratio 0.52 0.84
Sortino Ratio 0.68 1.13
Ulcer Index 9.40 4.68
Ratio: Return / Standard Deviation 0.81 1.32
Ratio: Return / Deepest Drawdown 0.23 0.47
Metrics calculated over the period 1 January 1982 - 30 November 2024
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Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)

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Three Funds Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-33.38 57 Apr 2000
Dec 2004
-23.18 26 Jan 2022
Feb 2024
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-12.46 5 Jul 1998
Nov 1998
-10.53 15 Feb 2018
Apr 2019
-9.88 14 Jun 2015
Jul 2016
-8.48 28 Feb 2001
May 2003
-7.10 4 Feb 2020
May 2020
-5.89 6 Oct 2018
Mar 2019
-4.68 2 May 2019
Jun 2019
-4.61 2 Aug 1997
Sep 1997

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Three Funds Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-33.38 57 Apr 2000
Dec 2004
-23.18 26 Jan 2022
Feb 2024
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-19.21 17 Sep 1987
Jan 1989
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-15.31 14 Jan 1990
Feb 1991
-13.77 19 Sep 1987
Mar 1989
-12.46 5 Jul 1998
Nov 1998
-10.53 15 Feb 2018
Apr 2019
-10.52 9 Jan 1982
Sep 1982
-9.88 14 Jun 2015
Jul 2016
-8.48 28 Feb 2001
May 2003

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 January 1982 - 30 November 2024 (~43 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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Three Funds Stocks/Bonds 40/60 Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 16.98 -3.44 17.30 -3.77
2023
 18.86 -8.74 6.90 -5.19
2022
 -17.06 -23.18 -15.17 -19.48
2021
 14.95 -3.53 4.23 -2.38
2020
 15.39 -17.01 16.57 -7.10
2019
 23.65 -4.68 16.20 -0.81
2018
 -6.89 -10.53 -0.73 -5.89
2017
 19.54 0.00 17.14 0.00
2016
 8.39 -4.82 3.51 -3.61
2015
 -1.14 -8.74 3.91 -2.95
2014
 6.07 -3.01 9.34 -1.49
2013
 20.56 -2.36 12.57 -1.74
2012
 14.53 -7.09 7.87 -2.05
2011
 -2.14 -15.77 7.13 -3.62
2010
 13.50 -9.82 10.93 -3.48
2009
 26.45 -15.70 9.16 -9.41
2008
 -30.15 -33.07 -12.27 -15.80
2007
 8.73 -4.35 11.21 -0.82
2006
 16.69 -3.08 6.78 -1.50
2005
 8.30 -3.34 9.09 -0.93
2004
 13.49 -2.83 9.22 -2.12
2003
 28.27 -3.88 12.78 -1.27
2002
 -13.11 -18.90 0.04 -5.36
2001
 -9.84 -18.61 -1.88 -6.89
2000
 -7.69 -11.84 2.99 -3.33
1999
 20.73 -2.88 15.71 -1.69
1998
 18.03 -12.46 24.65 -4.13
1997
 17.15 -4.61 20.41 -2.69
1996
 12.60 -3.77 14.08 -1.52
1995
 22.72 -1.03 27.84 0.00
1994
 2.31 -4.84 -2.03 -5.91
1993
 16.23 -4.16 11.10 -0.87
1992
 1.54 -4.66 6.01 -2.11
1991
 22.09 -4.27 23.91 -1.79
1990
 -8.74 -15.31 5.79 -5.29
1989
 20.64 -2.08 25.29 -1.01
1988
 17.83 -3.20 7.24 -2.95
1987
 10.76 -19.21 1.86 -13.77
1986
 29.32 -4.89 18.14 -4.37
1985
 35.27 -2.34 26.30 -0.74
1984
 4.95 -7.57 8.68 -6.28
1983
 19.49 -2.98 9.91 -2.81
1982
 16.05 -10.52 30.86 -1.48
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Mastering ETF Investing
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with Lazy Portfolios and Passive Investing
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