Dynamic 40/60 Income vs Davide Pisicchio PISI Portfolio Comparison

Period: January 1992 - September 2024 (~33 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
October 1994
8.39$
Final Capital
September 2024
7.35%
Yearly Return
8.12
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
October 1994
8.69$
Final Capital
September 2024
7.47%
Yearly Return
6.48
Std Deviation
-18.36%
Max Drawdown
31 months
Recovery Period
Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
January 1992
10.62$
Final Capital
September 2024
7.48%
Yearly Return
7.86
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
January 1992
10.02$
Final Capital
September 2024
7.29%
Yearly Return
6.42
Std Deviation
-18.36%
Max Drawdown
31 months
Recovery Period

The Dynamic 40/60 Income Portfolio obtained a 7.35% compound annual return, with a 8.12% standard deviation, in the last 30 Years.

The Davide Pisicchio PISI Portfolio obtained a 7.47% compound annual return, with a 6.48% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1992 - 30 September 2024 (~33 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~33Y)
Dynamic 40/60 Income 10.58 2.05 6.79 18.95 4.84 5.05 7.35 7.48
PISI Portfolio
Davide Pisicchio 		11.49 2.06 8.23 21.70 5.58 5.75 7.47 7.29
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Dynamic 40/60 Income Portfolio: an investment of 1$, since October 1994, now would be worth 8.39$, with a total return of 739.29% (7.35% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since October 1994, now would be worth 8.69$, with a total return of 769.35% (7.47% annualized).


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Dynamic 40/60 Income Portfolio: an investment of 1$, since January 1992, now would be worth 10.62$, with a total return of 961.65% (7.48% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since January 1992, now would be worth 10.02$, with a total return of 902.42% (7.29% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1992 - 30 September 2024 (~33 years)
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Dynamic 40/60 Income PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 18.95 21.70
Infl. Adjusted Return (%) 16.16 18.84
DRAWDOWN
Deepest Drawdown Depth (%) -2.45 -2.89
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -1.87 -2.89
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 3
RISK INDICATORS
Standard Deviation (%) 7.32 7.95
Sharpe Ratio 1.86 2.06
Sortino Ratio 2.58 2.82
Ulcer Index 0.85 0.88
Ratio: Return / Standard Deviation 2.59 2.73
Ratio: Return / Deepest Drawdown 7.75 7.51
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Dynamic 40/60 Income PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.84 5.58
Infl. Adjusted Return (%) 0.64 1.35
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -18.36
Start to Recovery (months) 30 31
Longest Drawdown Depth (%) -17.33 -18.36
Start to Recovery (months) 30 31
Longest Negative Period (months) 38 41
RISK INDICATORS
Standard Deviation (%) 10.11 9.08
Sharpe Ratio 0.26 0.37
Sortino Ratio 0.34 0.51
Ulcer Index 7.24 7.36
Ratio: Return / Standard Deviation 0.48 0.61
Ratio: Return / Deepest Drawdown 0.28 0.30
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Dynamic 40/60 Income PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.05 5.75
Infl. Adjusted Return (%) 2.13 2.82
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -18.36
Start to Recovery (months) 30 31
Longest Drawdown Depth (%) -17.33 -18.36
Start to Recovery (months) 30 31
Longest Negative Period (months) 38 41
RISK INDICATORS
Standard Deviation (%) 7.86 7.21
Sharpe Ratio 0.45 0.59
Sortino Ratio 0.60 0.81
Ulcer Index 5.24 5.34
Ratio: Return / Standard Deviation 0.64 0.80
Ratio: Return / Deepest Drawdown 0.29 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Dynamic 40/60 Income PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 7.35 7.47
Infl. Adjusted Return (%) 4.71 4.84
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -18.36
Start to Recovery (months) 26 31
Longest Drawdown Depth (%) -17.33 -18.36
Start to Recovery (months) 30 31
Longest Negative Period (months) 69 41
RISK INDICATORS
Standard Deviation (%) 8.12 6.48
Sharpe Ratio 0.62 0.80
Sortino Ratio 0.81 1.08
Ulcer Index 4.85 3.46
Ratio: Return / Standard Deviation 0.90 1.15
Ratio: Return / Deepest Drawdown 0.25 0.41
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Dynamic 40/60 Income PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 7.48 7.29
Infl. Adjusted Return (%) 4.81 4.63
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -18.36
Start to Recovery (months) 26 31
Longest Drawdown Depth (%) -17.33 -18.36
Start to Recovery (months) 30 31
Longest Negative Period (months) 69 41
RISK INDICATORS
Standard Deviation (%) 7.86 6.42
Sharpe Ratio 0.65 0.77
Sortino Ratio 0.85 1.03
Ulcer Index 4.70 3.45
Ratio: Return / Standard Deviation 0.95 1.14
Ratio: Return / Deepest Drawdown 0.25 0.40
Metrics calculated over the period 1 January 1992 - 30 September 2024

Drawdowns

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

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Dynamic 40/60 Income PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-18.36 31 Jan 2022
Jul 2024
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-11.84 18 Mar 2008
Aug 2009
-9.38 8 May 1998
Dec 1998
-7.19 8 Jun 2011
Jan 2012
-6.73 9 May 2002
Jan 2003
-5.09 5 Oct 2018
Feb 2019
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.30 3 Jul 1998
Sep 1998
-4.13 5 Sep 2000
Jan 2001
-4.06 11 Jun 2015
Apr 2016
-4.06 7 Apr 2004
Oct 2004

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Dynamic 40/60 Income PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-18.36 31 Jan 2022
Jul 2024
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-11.84 18 Mar 2008
Aug 2009
-9.38 8 May 1998
Dec 1998
-7.19 8 Jun 2011
Jan 2012
-6.99 14 Feb 1994
Mar 1995
-6.73 9 May 2002
Jan 2003
-5.36 15 Feb 1994
Apr 1995
-5.09 5 Oct 2018
Feb 2019
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.30 3 Jul 1998
Sep 1998
-4.13 5 Sep 2000
Jan 2001

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 - 30 September 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 PISI Portfolio
Year Return Drawdown Return Drawdown
2024
 10.58% -2.45% 11.49% -2.89%
2023
 11.97% -5.00% 11.85% -6.31%
2022
 -14.37% -17.33% -15.32% -18.36%
2021
 6.72% -1.83% 5.44% -2.73%
2020
 8.28% -12.42% 14.89% -3.27%
2019
 15.91% -1.51% 16.74% -0.45%
2018
 -3.18% -5.09% -1.64% -3.17%
2017
 9.18% 0.00% 9.63% -0.31%
2016
 7.53% -1.95% 5.77% -4.39%
2015
 0.21% -4.06% -0.33% -3.27%
2014
 7.01% -1.44% 8.90% -1.94%
2013
 6.13% -3.06% 3.96% -4.45%
2012
 12.70% -2.72% 8.48% -1.19%
2011
 2.96% -7.19% 10.04% -2.16%
2010
 11.25% -3.72% 13.77% -0.81%
2009
 22.37% -15.04% 8.62% -7.60%
2008
 -14.80% -23.51% -1.41% -11.84%
2007
 0.88% -3.23% 10.22% -1.06%
2006
 9.18% -1.29% 8.64% -1.66%
2005
 5.23% -1.76% 5.11% -1.64%
2004
 8.41% -3.31% 6.93% -4.06%
2003
 21.64% -1.30% 14.77% -2.33%
2002
 1.03% -6.73% 5.17% -2.10%
2001
 8.71% -3.24% 0.43% -3.41%
2000
 3.43% -4.13% 5.99% -3.34%
1999
 11.02% -2.15% 3.16% -3.71%
1998
 6.04% -9.38% 15.05% -4.30%
1997
 16.36% -2.49% 14.04% -2.79%
1996
 16.81% -1.12% 6.11% -3.11%
1995
 23.17% 0.00% 25.75% 0.00%
1994
 -3.19% -5.36% -4.28% -6.99%
1993
 14.73% -0.57% 12.70% -1.83%
1992
 12.95% -0.70% 6.47% -2.97%