Dedalo Invest Dedalo Three vs US Stocks 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
US Stocks Momentum Portfolio
1.00$
Initial Capital
September 1994
38.08$
Final Capital
August 2024
12.90%
Yearly Return
15.42
Std Deviation
-53.85%
Max Drawdown
63 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
US Stocks Momentum Portfolio
1.00$
Initial Capital
January 1982
246.41$
Final Capital
August 2024
13.78%
Yearly Return
15.37
Std Deviation
-53.85%
Max Drawdown
63 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 US Stocks Momentum Portfolio obtained a 12.90% compound annual return, with a 15.42% 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
US Stocks Momentum 26.04 3.35 8.53 35.04 11.59 13.04 12.90 13.78
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).

US Stocks Momentum Portfolio: an investment of 1$, since September 1994, now would be worth 38.08$, with a total return of 3708.21% (12.90% 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).

US Stocks Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 246.41$, with a total return of 24540.51% (13.78% 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 US Stocks Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 25.18 35.04
Infl. Adjusted Return (%) 22.25 31.87
DRAWDOWN
Deepest Drawdown Depth (%) -7.24 -6.37
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -7.24 -6.37
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 13.71 16.83
Sharpe Ratio 1.45 1.76
Sortino Ratio 1.95 2.34
Ulcer Index 2.64 2.74
Ratio: Return / Standard Deviation 1.84 2.08
Ratio: Return / Deepest Drawdown 3.48 5.50
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Dedalo Three US Stocks Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.24 11.59
Infl. Adjusted Return (%) 9.70 7.16
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -30.16
Start to Recovery (months) 24 29
Longest Drawdown Depth (%) -25.03 -30.16
Start to Recovery (months) 24 29
Longest Negative Period (months) 30 38
RISK INDICATORS
Standard Deviation (%) 18.04 19.17
Sharpe Ratio 0.67 0.49
Sortino Ratio 0.88 0.69
Ulcer Index 9.09 14.42
Ratio: Return / Standard Deviation 0.79 0.60
Ratio: Return / Deepest Drawdown 0.57 0.38
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Dedalo Three US Stocks Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.29 13.04
Infl. Adjusted Return (%) 8.24 9.94
DRAWDOWN
Deepest Drawdown Depth (%) -25.03 -30.16
Start to Recovery (months) 24 29
Longest Drawdown Depth (%) -25.03 -30.16
Start to Recovery (months) 24 29
Longest Negative Period (months) 30 38
RISK INDICATORS
Standard Deviation (%) 15.31 15.84
Sharpe Ratio 0.64 0.73
Sortino Ratio 0.86 1.00
Ulcer Index 7.01 10.58
Ratio: Return / Standard Deviation 0.74 0.82
Ratio: Return / Deepest Drawdown 0.45 0.43
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Dedalo Three US Stocks Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.81 12.90
Infl. Adjusted Return (%) 7.12 10.13
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -53.85
Start to Recovery (months) 59 63
Longest Drawdown Depth (%) -44.69 -53.85
Start to Recovery (months) 65 63
Longest Negative Period (months) 137 126
RISK INDICATORS
Standard Deviation (%) 15.49 15.42
Sharpe Ratio 0.49 0.69
Sortino Ratio 0.63 0.91
Ulcer Index 14.63 16.18
Ratio: Return / Standard Deviation 0.63 0.84
Ratio: Return / Deepest Drawdown 0.19 0.24
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Dedalo Three US Stocks Momentum
Author Dedalo Invest
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.27 13.78
Infl. Adjusted Return (%) 8.17 10.61
DRAWDOWN
Deepest Drawdown Depth (%) -52.14 -53.85
Start to Recovery (months) 59 63
Longest Drawdown Depth (%) -44.69 -53.85
Start to Recovery (months) 65 63
Longest Negative Period (months) 137 126
RISK INDICATORS
Standard Deviation (%) 15.37 15.37
Sharpe Ratio 0.50 0.66
Sortino Ratio 0.66 0.88
Ulcer Index 12.78 14.26
Ratio: Return / Standard Deviation 0.73 0.90
Ratio: Return / Deepest Drawdown 0.22 0.26
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 US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-43.19 59 Sep 2000
Jul 2005
-30.16 29 Nov 2021
Mar 2024
-25.03 24 Jan 2022
Dec 2023
-21.23 7 Jan 2020
Jul 2020
-17.90 5 Feb 2020
Jun 2020
-17.27 5 Jul 1998
Nov 1998
-15.44 9 Oct 2018
Jun 2019
-13.86 7 Oct 2018
Apr 2019
-11.51 3 Aug 1998
Oct 1998
-10.24 14 Jun 2015
Jul 2016
-7.82 3 Sep 2020
Nov 2020
-7.78 10 Aug 2015
May 2016

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Dedalo Three US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-52.14 59 Nov 2007
Sep 2012
-44.69 65 Sep 2000
Jan 2006
-43.19 59 Sep 2000
Jul 2005
-30.55 23 Sep 1987
Jul 1989
-30.16 29 Nov 2021
Mar 2024
-28.32 20 Sep 1987
Apr 1989
-25.03 24 Jan 2022
Dec 2023
-21.23 7 Jan 2020
Jul 2020
-17.90 5 Feb 2020
Jun 2020
-17.64 9 Jun 1990
Feb 1991
-17.27 5 Jul 1998
Nov 1998
-15.44 9 Oct 2018
Jun 2019
-13.86 7 Oct 2018
Apr 2019
-12.56 8 Jun 1990
Jan 1991

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 US Stocks Momentum
Year Return Drawdown Return Drawdown
2024
 17.31% -4.12% 26.04% -5.47%
2023
 24.84% -9.28% 9.15% -6.59%
2022
 -19.06% -25.03% -18.26% -26.94%
2021
 23.45% -4.36% 13.37% -4.41%
2020
 19.70% -21.23% 29.85% -17.90%
2019
 29.51% -6.31% 27.26% -2.20%
2018
 -6.58% -13.86% -1.66% -15.44%
2017
 22.20% 0.00% 37.50% 0.00%
2016
 11.53% -6.09% 5.00% -5.03%
2015
 -0.31% -9.69% 8.93% -7.78%
2014
 9.88% -3.55% 14.61% -4.38%
2013
 30.30% -2.87% 34.58% -2.81%
2012
 16.65% -7.77% 14.94% -6.80%
2011
 -1.57% -18.86% 5.93% -14.50%
2010
 16.12% -13.01% 18.02% -12.13%
2009
 30.02% -18.21% 17.45% -19.56%
2008
 -38.58% -39.39% -40.96% -41.23%
2007
 7.43% -4.72% 17.64% -2.82%
2006
 17.68% -2.99% 10.56% -3.64%
2005
 7.97% -3.59% 19.14% -1.25%
2004
 14.03% -3.28% 16.70% -2.66%
2003
 32.35% -3.73% 25.99% -4.14%
2002
 -20.01% -26.98% -12.28% -22.85%
2001
 -12.52% -24.34% -17.35% -26.75%
2000
 -10.82% -15.16% -9.61% -13.35%
1999
 24.56% -5.78% 40.42% -1.57%
1998
 23.06% -17.27% 48.76% -11.51%
1997
 26.24% -5.13% 36.86% -4.89%
1996
 18.59% -5.91% 29.83% -3.81%
1995
 30.83% -1.31% 42.32% -0.02%
1994
 1.59% -6.54% -1.09% -7.23%
1993
 14.86% -2.28% 13.22% -2.14%
1992
 5.08% -2.85% 4.32% -3.35%
1991
 28.61% -4.77% 36.90% -4.00%
1990
 -9.23% -17.64% 1.49% -12.56%
1989
 24.94% -3.57% 42.76% -1.57%
1988
 19.28% -3.15% 7.07% -5.33%
1987
 6.82% -28.32% 2.34% -30.55%
1986
 23.00% -7.23% 22.70% -7.79%
1985
 34.39% -3.95% 32.38% -3.74%
1984
 3.23% -8.43% -0.83% -10.30%
1983
 22.81% -3.17% 16.95% -3.61%
1982
 17.69% -12.44% 30.44% -4.93%