Dedalo Invest Dedalo Three Portfolio vs Stocks/Bonds 60/40 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)
Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
December 1994
18.33$
Final Capital
November 2024
10.18%
Yearly Return
15.49%
Std Deviation
-52.14%
Max Drawdown
59months
Recovery Period
1.00$
Initial Capital
January 1982
101.77$
Final Capital
November 2024
11.37%
Yearly Return
15.35%
Std Deviation
-52.14%
Max Drawdown
59months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
December 1994
19.15$
Final Capital
November 2024
10.34%
Yearly Return
9.64%
Std Deviation
-32.52%
Max Drawdown
40months
Recovery Period
1.00$
Initial Capital
January 1982
100.51$
Final Capital
November 2024
11.34%
Yearly Return
9.90%
Std Deviation
-32.52%
Max Drawdown
40months
Recovery Period

As of November 2024, in the previous 30 Years, the Dedalo Invest Dedalo Three Portfolio obtained a 10.18% compound annual return, with a 15.49% standard deviation. It suffered a maximum drawdown of -52.14% that required 59 months to be recovered.

As of November 2024, in the previous 30 Years, the Stocks/Bonds 60/40 Momentum Portfolio obtained a 10.34% compound annual return, with a 9.64% standard deviation. It suffered a maximum drawdown of -32.52% that required 40 months to be recovered.

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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Dedalo Invest Dedalo Three Portfolio
Weight
(%)		 ETF
Ticker		 Name
70.00
VTI
Vanguard Total Stock Market
30.00
VT
Vanguard Total World Stock
Stocks/Bonds 60/40 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
60.00
MTUM
iShares Edge MSCI USA Momentum Fctr
40.00
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_dedaloinvest.webp Dedalo Three
Dedalo Invest 		25.39 5.95 14.26 31.98 14.03 11.83 10.18 11.37
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Stocks/Bonds 60/40 Momentum
-- Market Benchmark 		24.39 4.94 12.22 29.72 8.04 8.87 10.34 11.34
Return over 1 year are annualized.
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Capital Growth as of Nov 30, 2024

Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since December 1994, now would be worth 18.33$, with a total return of 1732.59% (10.18% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 19.15$, with a total return of 1814.54% (10.34% annualized).


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Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since January 1982, now would be worth 101.77$, with a total return of 10077.25% (11.37% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 100.51$, with a total return of 9950.75% (11.34% 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
Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 31.98 29.72
Infl. Adjusted Return (%) 28.47 26.27
DRAWDOWN
Deepest Drawdown Depth (%) -4.12 -4.38
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -4.12 -4.38
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 9.60 9.47
Sharpe Ratio 2.79 2.59
Sortino Ratio 3.52 3.13
Ulcer Index 1.19 1.26
Ratio: Return / Standard Deviation 3.33 3.14
Ratio: Return / Deepest Drawdown 7.76 6.79
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.03 8.04
Infl. Adjusted Return (%) 9.46 3.70
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Negative Period (months) 30 40
RISK INDICATORS
Standard Deviation (%) 18.17 13.03
Sharpe Ratio 0.65 0.44
Sortino Ratio 0.85 0.60
Ulcer Index 9.09 11.57
Ratio: Return / Standard Deviation 0.77 0.62
Ratio: Return / Deepest Drawdown 0.56 0.33
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.83 8.87
Infl. Adjusted Return (%) 8.64 5.77
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Drawdown Depth (%) -25.03 -24.21
Start to Recovery (months) 24 32
Longest Negative Period (months) 30 40
RISK INDICATORS
Standard Deviation (%) 15.37 10.54
Sharpe Ratio 0.67 0.69
Sortino Ratio 0.89 0.93
Ulcer Index 7.01 8.37
Ratio: Return / Standard Deviation 0.77 0.84
Ratio: Return / Deepest Drawdown 0.47 0.37
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.18 10.34
Infl. Adjusted Return (%) 7.47 7.62
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -32.52
Start to Recovery (months) 59 40
Longest Drawdown Depth (%) -44.69 -21.14
Start to Recovery (months) 65 41
Longest Negative Period (months) 137 53
RISK INDICATORS
Standard Deviation (%) 15.49 9.64
Sharpe Ratio 0.51 0.83
Sortino Ratio 0.66 1.10
Ulcer Index 14.63 8.22
Ratio: Return / Standard Deviation 0.66 1.07
Ratio: Return / Deepest Drawdown 0.20 0.32
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Dedalo Three Stocks/Bonds 60/40 Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 60%
Fixed Income 0% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.37 11.34
Infl. Adjusted Return (%) 8.27 8.24
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -32.52
Start to Recovery (months) 59 40
Longest Drawdown Depth (%) -44.69 -21.14
Start to Recovery (months) 65 41
Longest Negative Period (months) 137 53
RISK INDICATORS
Standard Deviation (%) 15.35 9.90
Sharpe Ratio 0.51 0.78
Sortino Ratio 0.67 1.04
Ulcer Index 12.74 7.33
Ratio: Return / Standard Deviation 0.74 1.15
Ratio: Return / Deepest Drawdown 0.22 0.35
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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Dedalo Three Stocks/Bonds 60/40 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-32.52 40 Nov 2007
Feb 2011
-25.03 24 Jan 2022
Dec 2023
-24.21 32 Nov 2021
Jun 2024
-21.23 7 Jan 2020
Jul 2020
-21.14 41 Sep 2000
Jan 2004
-17.27 5 Jul 1998
Nov 1998
-13.86 7 Oct 2018
Apr 2019
-10.73 5 Feb 2020
Jun 2020
-10.24 14 Jun 2015
Jul 2016
-9.29 9 Oct 2018
Jun 2019
-7.51 5 Apr 2000
Aug 2000
-7.14 9 May 2011
Jan 2012
-6.78 3 Aug 1998
Oct 1998

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Dedalo Three Stocks/Bonds 60/40 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-32.52 40 Nov 2007
Feb 2011
-28.32 20 Sep 1987
Apr 1989
-25.03 24 Jan 2022
Dec 2023
-24.21 32 Nov 2021
Jun 2024
-21.23 7 Jan 2020
Jul 2020
-21.14 41 Sep 2000
Jan 2004
-20.08 21 Sep 1987
May 1989
-17.64 9 Jun 1990
Feb 1991
-17.27 5 Jul 1998
Nov 1998
-13.86 7 Oct 2018
Apr 2019
-12.44 10 Jan 1982
Oct 1982
-10.73 5 Feb 2020
Jun 2020
-10.24 14 Jun 2015
Jul 2016

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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Dedalo Three Stocks/Bonds 60/40 Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 25.39 -4.12 24.39 -4.38
2023
 24.84 -9.28 7.65 -5.48
2022
 -19.06 -25.03 -16.20 -21.97
2021
 23.45 -4.36 7.27 -2.88
2020
 19.70 -21.23 20.99 -10.73
2019
 29.51 -6.31 19.89 -0.92
2018
 -6.58 -13.86 -1.04 -9.29
2017
 22.20 0.00 23.93 0.00
2016
 11.53 -6.09 4.01 -3.57
2015
 -0.31 -9.69 5.58 -4.61
2014
 9.88 -3.55 11.10 -2.40
2013
 30.30 -2.87 19.91 -2.13
2012
 16.65 -7.77 10.22 -3.51
2011
 -1.57 -18.86 6.73 -7.14
2010
 16.12 -13.01 13.29 -6.43
2009
 30.02 -18.21 11.92 -12.79
2008
 -38.58 -39.39 -21.83 -24.08
2007
 7.43 -4.72 13.35 -1.41
2006
 17.68 -2.99 8.04 -2.23
2005
 7.97 -3.59 12.44 -0.99
2004
 14.03 -3.28 11.72 -2.06
2003
 32.35 -3.73 17.18 -1.95
2002
 -20.01 -26.98 -4.07 -11.25
2001
 -12.52 -24.34 -7.04 -13.57
2000
 -10.82 -15.16 -1.21 -6.50
1999
 24.56 -5.78 23.95 -1.65
1998
 23.06 -17.27 32.69 -6.78
1997
 26.24 -5.13 25.89 -3.48
1996
 18.59 -5.91 19.33 -2.32
1995
 30.83 -1.31 32.67 0.00
1994
 1.59 -6.54 -1.72 -6.35
1993
 14.86 -2.28 11.81 -0.99
1992
 5.08 -2.85 5.45 -2.52
1991
 28.61 -4.77 28.24 -2.57
1990
 -9.23 -17.64 4.36 -7.66
1989
 24.94 -3.57 31.11 -1.20
1988
 19.28 -3.15 7.18 -3.36
1987
 6.82 -28.32 2.02 -20.08
1986
 23.00 -7.23 19.66 -5.55
1985
 34.39 -3.95 28.33 -1.52
1984
 3.23 -8.43 5.51 -7.11
1983
 22.81 -3.17 12.26 -3.09
1982
 17.69 -12.44 30.72 -2.23
Mastering Etf Investing
The first official book of
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
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English book
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Italian book