Dedalo Invest Dedalo Three vs Stocks/Bonds 60/40 Momentum Portfolio Comparison

Period: January 1982 - August 2024 (~43 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
September 1994
16.55$
Final Capital
August 2024
9.81%
Yearly Return
15.49
Std Deviation
-52.14%
Max Drawdown
59 months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
September 1994
17.42$
Final Capital
August 2024
9.99%
Yearly Return
9.64
Std Deviation
-32.52%
Max Drawdown
40 months
Recovery Period
Dedalo Invest Dedalo Three Portfolio
1.00$
Initial Capital
January 1982
95.22$
Final Capital
August 2024
11.27%
Yearly Return
15.37
Std Deviation
-52.14%
Max Drawdown
59 months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
January 1982
94.47$
Final Capital
August 2024
11.25%
Yearly Return
9.90
Std Deviation
-32.52%
Max Drawdown
40 months
Recovery Period

The Dedalo Invest Dedalo Three Portfolio obtained a 9.81% compound annual return, with a 15.49% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 9.99% compound annual return, with a 9.64% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 31 August 2024 (~43 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Dedalo Three
Dedalo Invest 		17.31 2.19 10.80 25.18 14.24 11.29 9.81 11.27
Stocks/Bonds 60/40 Momentum 16.92 2.67 7.19 23.79 7.05 8.60 9.99 11.25
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since September 1994, now would be worth 16.55$, with a total return of 1554.92% (9.81% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since September 1994, now would be worth 17.42$, with a total return of 1642.20% (9.99% annualized).


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Dedalo Invest Dedalo Three Portfolio: an investment of 1$, since January 1982, now would be worth 95.22$, with a total return of 9421.51% (11.27% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 94.47$, with a total return of 9347.17% (11.25% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1982 - 31 August 2024 (~43 years)
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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 (%) 25.18 23.79
Infl. Adjusted Return (%) 22.25 20.89
DRAWDOWN
Deepest Drawdown Depth (%) -7.24 -5.41
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -7.24 -5.41
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 13.71 12.18
Sharpe Ratio 1.45 1.51
Sortino Ratio 1.95 1.95
Ulcer Index 2.64 2.22
Ratio: Return / Standard Deviation 1.84 1.95
Ratio: Return / Deepest Drawdown 3.48 4.40
Metrics calculated over the period 1 September 2023 - 31 August 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 (%) 14.24 7.05
Infl. Adjusted Return (%) 9.70 2.80
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 (%) 18.04 12.88
Sharpe Ratio 0.67 0.38
Sortino Ratio 0.88 0.52
Ulcer Index 9.09 11.57
Ratio: Return / Standard Deviation 0.79 0.55
Ratio: Return / Deepest Drawdown 0.57 0.29
Metrics calculated over the period 1 September 2019 - 31 August 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 (%) 11.29 8.60
Infl. Adjusted Return (%) 8.24 5.62
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 (%) 15.31 10.46
Sharpe Ratio 0.64 0.68
Sortino Ratio 0.86 0.91
Ulcer Index 7.01 8.37
Ratio: Return / Standard Deviation 0.74 0.82
Ratio: Return / Deepest Drawdown 0.45 0.36
Metrics calculated over the period 1 September 2014 - 31 August 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 (%) 9.81 9.99
Infl. Adjusted Return (%) 7.12 7.30
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 0.49 0.80
Sortino Ratio 0.63 1.05
Ulcer Index 14.63 8.22
Ratio: Return / Standard Deviation 0.63 1.04
Ratio: Return / Deepest Drawdown 0.19 0.31
Metrics calculated over the period 1 September 1994 - 31 August 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 (%) 11.27 11.25
Infl. Adjusted Return (%) 8.17 8.15
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 (%) 15.37 9.90
Sharpe Ratio 0.50 0.77
Sortino Ratio 0.66 1.03
Ulcer Index 12.78 7.35
Ratio: Return / Standard Deviation 0.73 1.14
Ratio: Return / Deepest Drawdown 0.22 0.35
Metrics calculated over the period 1 January 1982 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1982 - 31 August 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 - 31 August 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
 17.31% -4.12% 16.92% -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%