Dynamic 40/60 Income vs Fulvio Marchese In Saecula Saeculorum Portfolio Comparison

Period: January 1992 - August 2024 (~33 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
September 1994
8.16$
Final Capital
August 2024
7.25%
Yearly Return
8.12
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
September 1994
10.18$
Final Capital
August 2024
8.04%
Yearly Return
7.84
Std Deviation
-20.39%
Max Drawdown
25 months
Recovery Period
Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
January 1992
10.40$
Final Capital
August 2024
7.43%
Yearly Return
7.87
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
January 1992
12.07$
Final Capital
August 2024
7.92%
Yearly Return
7.65
Std Deviation
-20.39%
Max Drawdown
25 months
Recovery Period

The Dynamic 40/60 Income Portfolio obtained a 7.25% compound annual return, with a 8.12% standard deviation, in the last 30 Years.

The Fulvio Marchese In Saecula Saeculorum Portfolio obtained a 8.04% compound annual return, with a 7.84% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1992 - 31 August 2024 (~33 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~33Y)
Dynamic 40/60 Income 8.35 1.89 6.20 13.84 4.49 4.68 7.25 7.43
In Saecula Saeculorum
Fulvio Marchese 		11.62 1.83 9.37 17.81 7.92 7.10 8.04 7.92
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Dynamic 40/60 Income Portfolio: an investment of 1$, since September 1994, now would be worth 8.16$, with a total return of 715.86% (7.25% annualized).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since September 1994, now would be worth 10.18$, with a total return of 917.53% (8.04% annualized).


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Dynamic 40/60 Income Portfolio: an investment of 1$, since January 1992, now would be worth 10.40$, with a total return of 940.29% (7.43% annualized).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since January 1992, now would be worth 12.07$, with a total return of 1107.10% (7.92% 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 1992 - 31 August 2024 (~33 years)
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Dynamic 40/60 Income In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 13.84 17.81
Infl. Adjusted Return (%) 11.18 15.05
DRAWDOWN
Deepest Drawdown Depth (%) -4.16 -5.06
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -4.16 -5.06
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.13 9.81
Sharpe Ratio 1.05 1.27
Sortino Ratio 1.46 1.69
Ulcer Index 1.49 1.94
Ratio: Return / Standard Deviation 1.70 1.82
Ratio: Return / Deepest Drawdown 3.33 3.52
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Dynamic 40/60 Income In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.49 7.92
Infl. Adjusted Return (%) 0.34 3.63
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -18.89
Start to Recovery (months) 30 26
Longest Drawdown Depth (%) -17.33 -18.89
Start to Recovery (months) 30 26
Longest Negative Period (months) 38 34
RISK INDICATORS
Standard Deviation (%) 10.09 10.58
Sharpe Ratio 0.23 0.55
Sortino Ratio 0.31 0.73
Ulcer Index 7.24 6.91
Ratio: Return / Standard Deviation 0.45 0.75
Ratio: Return / Deepest Drawdown 0.26 0.42
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Dynamic 40/60 Income In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.68 7.10
Infl. Adjusted Return (%) 1.81 4.17
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -18.89
Start to Recovery (months) 30 26
Longest Drawdown Depth (%) -17.33 -18.89
Start to Recovery (months) 30 26
Longest Negative Period (months) 38 34
RISK INDICATORS
Standard Deviation (%) 7.87 8.54
Sharpe Ratio 0.41 0.66
Sortino Ratio 0.55 0.89
Ulcer Index 5.24 5.06
Ratio: Return / Standard Deviation 0.60 0.83
Ratio: Return / Deepest Drawdown 0.27 0.38
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Dynamic 40/60 Income In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 7.25 8.04
Infl. Adjusted Return (%) 4.62 5.39
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -20.39
Start to Recovery (months) 26 25
Longest Drawdown Depth (%) -17.33 -10.13
Start to Recovery (months) 30 33
Longest Negative Period (months) 69 43
RISK INDICATORS
Standard Deviation (%) 8.12 7.84
Sharpe Ratio 0.61 0.73
Sortino Ratio 0.80 0.97
Ulcer Index 4.85 4.44
Ratio: Return / Standard Deviation 0.89 1.03
Ratio: Return / Deepest Drawdown 0.24 0.39
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Dynamic 40/60 Income In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 7.43 7.92
Infl. Adjusted Return (%) 4.77 5.25
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -20.39
Start to Recovery (months) 26 25
Longest Drawdown Depth (%) -17.33 -10.13
Start to Recovery (months) 30 33
Longest Negative Period (months) 69 43
RISK INDICATORS
Standard Deviation (%) 7.87 7.65
Sharpe Ratio 0.64 0.73
Sortino Ratio 0.84 0.96
Ulcer Index 4.70 4.31
Ratio: Return / Standard Deviation 0.94 1.04
Ratio: Return / Deepest Drawdown 0.25 0.39
Metrics calculated over the period 1 January 1992 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1992 - 31 August 2024 (~33 years)

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Dynamic 40/60 Income In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-10.13 33 Sep 2000
May 2003
-9.38 8 May 1998
Dec 1998
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-7.19 8 Jun 2011
Jan 2012
-6.73 9 May 2002
Jan 2003
-5.64 6 Sep 2018
Feb 2019
-5.09 5 Oct 2018
Feb 2019
-4.77 5 Jun 2011
Oct 2011
-4.59 13 Mar 2015
Mar 2016

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Dynamic 40/60 Income In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-10.13 33 Sep 2000
May 2003
-9.38 8 May 1998
Dec 1998
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-7.19 8 Jun 2011
Jan 2012
-6.73 9 May 2002
Jan 2003
-5.96 13 Feb 1994
Feb 1995
-5.64 6 Sep 2018
Feb 2019
-5.36 15 Feb 1994
Apr 1995
-5.09 5 Oct 2018
Feb 2019

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 1992 - 31 August 2024 (~33 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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Dynamic 40/60 Income In Saecula Saeculorum
Year Return Drawdown Return Drawdown
2024
 8.35% -2.45% 11.62% -2.83%
2023
 11.97% -5.00% 15.53% -6.33%
2022
 -14.37% -17.33% -14.97% -18.89%
2021
 6.72% -1.83% 10.12% -3.03%
2020
 8.28% -12.42% 15.89% -8.50%
2019
 15.91% -1.51% 20.14% -2.10%
2018
 -3.18% -5.09% -2.76% -5.64%
2017
 9.18% 0.00% 12.42% -0.04%
2016
 7.53% -1.95% 7.79% -2.43%
2015
 0.21% -4.06% -0.75% -4.59%
2014
 7.01% -1.44% 8.52% -2.04%
2013
 6.13% -3.06% 10.73% -2.94%
2012
 12.70% -2.72% 10.41% -2.92%
2011
 2.96% -7.19% 6.12% -4.77%
2010
 11.25% -3.72% 14.27% -4.00%
2009
 22.37% -15.04% 15.39% -9.28%
2008
 -14.80% -23.51% -11.54% -16.70%
2007
 0.88% -3.23% 8.83% -2.17%
2006
 9.18% -1.29% 10.84% -2.11%
2005
 5.23% -1.76% 5.47% -1.69%
2004
 8.41% -3.31% 7.97% -3.39%
2003
 21.64% -1.30% 18.47% -1.50%
2002
 1.03% -6.73% -1.22% -5.96%
2001
 8.71% -3.24% -1.59% -6.44%
2000
 3.43% -4.13% 0.64% -5.96%
1999
 11.02% -2.15% 9.19% -2.99%
1998
 6.04% -9.38% 15.29% -7.93%
1997
 16.36% -2.49% 16.19% -2.95%
1996
 16.81% -1.12% 9.83% -2.50%
1995
 23.17% 0.00% 25.73% 0.00%
1994
 -3.19% -5.36% -2.41% -5.96%
1993
 14.73% -0.57% 11.66% -1.36%
1992
 12.95% -0.70% 6.70% -2.12%