Rob Arnott vs Gyroscopic Investing Desert Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Rob Arnott Portfolio
1.00$
Initial Capital
September 1994
7.19$
Final Capital
August 2024
6.80%
Yearly Return
7.23
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Gyroscopic Investing Desert Portfolio
1.00$
Initial Capital
September 1994
7.39$
Final Capital
August 2024
6.90%
Yearly Return
5.50
Std Deviation
-14.72%
Max Drawdown
27 months
Recovery Period
Rob Arnott Portfolio
1.00$
Initial Capital
January 1985
23.03$
Final Capital
August 2024
8.23%
Yearly Return
7.17
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Gyroscopic Investing Desert Portfolio
1.00$
Initial Capital
January 1985
19.84$
Final Capital
August 2024
7.82%
Yearly Return
5.72
Std Deviation
-14.72%
Max Drawdown
27 months
Recovery Period

The Rob Arnott Portfolio obtained a 6.80% compound annual return, with a 7.23% standard deviation, in the last 30 Years.

The Gyroscopic Investing Desert Portfolio obtained a 6.90% compound annual return, with a 5.50% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Rob Arnott Portfolio
Rob Arnott 		5.44 1.61 6.19 10.26 3.76 3.93 6.80 8.23
Desert Portfolio
Gyroscopic Investing 		9.47 1.58 8.17 14.57 5.84 5.32 6.90 7.82
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Rob Arnott Portfolio: an investment of 1$, since September 1994, now would be worth 7.19$, with a total return of 618.95% (6.80% annualized).

Gyroscopic Investing Desert Portfolio: an investment of 1$, since September 1994, now would be worth 7.39$, with a total return of 639.48% (6.90% annualized).


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Rob Arnott Portfolio: an investment of 1$, since January 1985, now would be worth 23.03$, with a total return of 2203.19% (8.23% annualized).

Gyroscopic Investing Desert Portfolio: an investment of 1$, since January 1985, now would be worth 19.84$, with a total return of 1883.89% (7.82% 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 1985 - 31 August 2024 (~40 years)
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Rob Arnott Portfolio Desert Portfolio
Author Rob Arnott Gyroscopic Investing
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 10.26 14.57
Infl. Adjusted Return (%) 7.67 11.89
DRAWDOWN
Deepest Drawdown Depth (%) -5.54 -3.25
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.54 -3.25
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 1
RISK INDICATORS
Standard Deviation (%) 9.56 7.17
Sharpe Ratio 0.51 1.29
Sortino Ratio 0.73 1.70
Ulcer Index 2.02 1.32
Ratio: Return / Standard Deviation 1.07 2.03
Ratio: Return / Deepest Drawdown 1.85 4.49
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Rob Arnott Portfolio Desert Portfolio
Author Rob Arnott Gyroscopic Investing
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 3.76 5.84
Infl. Adjusted Return (%) -0.36 1.63
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -14.72
Start to Recovery (months) 32* 27
Longest Drawdown Depth (%) -17.86 -14.72
Start to Recovery (months) 32* 27
Longest Negative Period (months) 45 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.77 7.34
Sharpe Ratio 0.17 0.50
Sortino Ratio 0.22 0.68
Ulcer Index 7.63 5.32
Ratio: Return / Standard Deviation 0.39 0.80
Ratio: Return / Deepest Drawdown 0.21 0.40
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Rob Arnott Portfolio Desert Portfolio
Author Rob Arnott Gyroscopic Investing
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 3.93 5.32
Infl. Adjusted Return (%) 1.08 2.43
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -14.72
Start to Recovery (months) 32* 27
Longest Drawdown Depth (%) -17.86 -14.72
Start to Recovery (months) 32* 27
Longest Negative Period (months) 45 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.85 5.89
Sharpe Ratio 0.32 0.66
Sortino Ratio 0.42 0.90
Ulcer Index 5.66 3.86
Ratio: Return / Standard Deviation 0.50 0.90
Ratio: Return / Deepest Drawdown 0.22 0.36
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Rob Arnott Portfolio Desert Portfolio
Author Rob Arnott Gyroscopic Investing
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 6.80 6.90
Infl. Adjusted Return (%) 4.18 4.28
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -14.72
Start to Recovery (months) 22 27
Longest Drawdown Depth (%) -17.86 -14.72
Start to Recovery (months) 32* 27
Longest Negative Period (months) 50 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.23 5.50
Sharpe Ratio 0.62 0.84
Sortino Ratio 0.81 1.13
Ulcer Index 4.64 2.64
Ratio: Return / Standard Deviation 0.94 1.25
Ratio: Return / Deepest Drawdown 0.28 0.47
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Rob Arnott Portfolio Desert Portfolio
Author Rob Arnott Gyroscopic Investing
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 8.23 7.82
Infl. Adjusted Return (%) 5.30 4.90
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -14.72
Start to Recovery (months) 22 27
Longest Drawdown Depth (%) -17.86 -14.72
Start to Recovery (months) 32* 27
Longest Negative Period (months) 50 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.17 5.72
Sharpe Ratio 0.71 0.82
Sortino Ratio 0.95 1.12
Ulcer Index 4.18 2.51
Ratio: Return / Standard Deviation 1.15 1.37
Ratio: Return / Deepest Drawdown 0.34 0.53
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)

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Rob Arnott Portfolio Desert Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-17.86 32* Jan 2022
In progress
-14.72 27 Jan 2022
Mar 2024
-10.15 19 Mar 2008
Sep 2009
-8.72 6 Feb 2020
Jul 2020
-6.23 16 Mar 2015
Jun 2016
-5.66 10 May 2013
Feb 2014
-4.84 6 Sep 2018
Feb 2019
-4.70 6 Apr 2004
Sep 2004
-4.42 3 Jul 1998
Sep 1998
-4.10 3 Jul 1998
Sep 1998
-3.94 13 Feb 2001
Feb 2002
-3.86 10 Aug 2016
May 2017
-3.56 3 Feb 2020
Apr 2020
-3.51 3 Aug 2011
Oct 2011

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Rob Arnott Portfolio Desert Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-17.86 32* Jan 2022
In progress
-14.72 27 Jan 2022
Mar 2024
-10.15 19 Mar 2008
Sep 2009
-8.72 6 Feb 2020
Jul 2020
-8.49 14 Sep 1987
Oct 1988
-7.37 16 Feb 1994
May 1995
-6.23 16 Mar 2015
Jun 2016
-6.11 7 Jan 1990
Jul 1990
-5.66 10 May 2013
Feb 2014
-5.63 13 Feb 1994
Feb 1995
-5.21 5 Sep 1987
Jan 1988
-4.84 6 Sep 2018
Feb 2019
-4.70 6 Apr 2004
Sep 2004
-4.42 3 Jul 1998
Sep 1998

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 1985 - 31 August 2024 (~40 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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Rob Arnott Portfolio Desert Portfolio
Year Return Drawdown Return Drawdown
2024
 5.44% -3.00% 9.47% -2.08%
2023
 9.08% -7.06% 11.64% -4.01%
2022
 -14.81% -17.86% -11.64% -14.72%
2021
 11.04% -1.71% 5.76% -2.29%
2020
 7.98% -8.72% 12.96% -3.56%
2019
 16.67% -0.49% 14.41% -0.95%
2018
 -4.12% -4.84% -0.94% -2.77%
2017
 9.02% -0.37% 8.38% -0.12%
2016
 7.14% -3.86% 5.39% -2.63%
2015
 -3.26% -5.73% 0.02% -2.57%
2014
 7.59% -2.79% 5.45% -1.59%
2013
 1.41% -5.66% 6.10% -2.64%
2012
 10.55% -2.17% 6.70% -2.16%
2011
 7.73% -3.51% 6.23% -3.24%
2010
 11.89% -2.99% 11.95% -1.56%
2009
 14.59% -11.26% 10.05% -5.76%
2008
 -11.48% -21.15% -2.92% -8.78%
2007
 7.64% -1.84% 10.64% -0.86%
2006
 8.97% -1.26% 8.85% -1.61%
2005
 7.74% -2.50% 5.06% -1.48%
2004
 11.93% -4.70% 6.34% -3.44%
2003
 17.00% -2.42% 12.64% -1.46%
2002
 8.16% -0.99% 4.90% -2.20%
2001
 0.06% -2.47% 1.31% -3.94%
2000
 12.87% -0.83% 4.70% -2.78%
1999
 7.22% -2.71% 5.12% -2.91%
1998
 6.53% -4.10% 13.26% -4.42%
1997
 7.20% -2.36% 12.53% -2.44%
1996
 11.02% -0.75% 6.98% -2.04%
1995
 21.23% 0.00% 23.10% 0.00%
1994
 -2.84% -7.37% -2.86% -5.63%
1993
 13.77% -2.73% 11.81% -1.14%
1992
 6.56% -2.87% 6.83% -2.19%
1991
 18.67% -1.99% 18.44% -1.44%
1990
 2.80% -6.11% 3.54% -3.71%
1989
 17.53% -1.16% 16.86% -1.08%
1988
 13.48% -1.21% 6.82% -1.71%
1987
 6.41% -5.21% 4.17% -8.49%
1986
 21.76% -3.06% 15.33% -2.55%
1985
 27.17% -1.73% 23.33% -1.21%