Rob Arnott vs Fulvio Marchese In Saecula Saeculorum 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
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
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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
January 1985
29.24$
Final Capital
August 2024
8.88%
Yearly Return
7.95
Std Deviation
-20.39%
Max Drawdown
25 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 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 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
In Saecula Saeculorum
Fulvio Marchese 		11.62 1.83 9.37 17.81 7.92 7.10 8.04 8.88
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).

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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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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since January 1985, now would be worth 29.24$, with a total return of 2823.95% (8.88% 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 In Saecula Saeculorum
Author Rob Arnott Fulvio Marchese
ASSET ALLOCATION
Stocks 30% 45%
Fixed Income 60% 45%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 10.26 17.81
Infl. Adjusted Return (%) 7.67 15.05
DRAWDOWN
Deepest Drawdown Depth (%) -5.54 -5.06
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.54 -5.06
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 2
RISK INDICATORS
Standard Deviation (%) 9.56 9.81
Sharpe Ratio 0.51 1.27
Sortino Ratio 0.73 1.69
Ulcer Index 2.02 1.94
Ratio: Return / Standard Deviation 1.07 1.82
Ratio: Return / Deepest Drawdown 1.85 3.52
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Rob Arnott Portfolio In Saecula Saeculorum
Author Rob Arnott Fulvio Marchese
ASSET ALLOCATION
Stocks 30% 45%
Fixed Income 60% 45%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 3.76 7.92
Infl. Adjusted Return (%) -0.36 3.63
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -18.89
Start to Recovery (months) 32* 26
Longest Drawdown Depth (%) -17.86 -18.89
Start to Recovery (months) 32* 26
Longest Negative Period (months) 45 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.77 10.58
Sharpe Ratio 0.17 0.55
Sortino Ratio 0.22 0.73
Ulcer Index 7.63 6.91
Ratio: Return / Standard Deviation 0.39 0.75
Ratio: Return / Deepest Drawdown 0.21 0.42
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Rob Arnott Portfolio In Saecula Saeculorum
Author Rob Arnott Fulvio Marchese
ASSET ALLOCATION
Stocks 30% 45%
Fixed Income 60% 45%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 3.93 7.10
Infl. Adjusted Return (%) 1.08 4.17
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -18.89
Start to Recovery (months) 32* 26
Longest Drawdown Depth (%) -17.86 -18.89
Start to Recovery (months) 32* 26
Longest Negative Period (months) 45 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.85 8.54
Sharpe Ratio 0.32 0.66
Sortino Ratio 0.42 0.89
Ulcer Index 5.66 5.06
Ratio: Return / Standard Deviation 0.50 0.83
Ratio: Return / Deepest Drawdown 0.22 0.38
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Rob Arnott Portfolio In Saecula Saeculorum
Author Rob Arnott Fulvio Marchese
ASSET ALLOCATION
Stocks 30% 45%
Fixed Income 60% 45%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 6.80 8.04
Infl. Adjusted Return (%) 4.18 5.39
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -20.39
Start to Recovery (months) 22 25
Longest Drawdown Depth (%) -17.86 -10.13
Start to Recovery (months) 32* 33
Longest Negative Period (months) 50 43
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.23 7.84
Sharpe Ratio 0.62 0.73
Sortino Ratio 0.81 0.97
Ulcer Index 4.64 4.44
Ratio: Return / Standard Deviation 0.94 1.03
Ratio: Return / Deepest Drawdown 0.28 0.39
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Rob Arnott Portfolio In Saecula Saeculorum
Author Rob Arnott Fulvio Marchese
ASSET ALLOCATION
Stocks 30% 45%
Fixed Income 60% 45%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 8.23 8.88
Infl. Adjusted Return (%) 5.30 5.93
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -20.39
Start to Recovery (months) 22 25
Longest Drawdown Depth (%) -17.86 -10.13
Start to Recovery (months) 32* 33
Longest Negative Period (months) 50 43
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.17 7.95
Sharpe Ratio 0.71 0.72
Sortino Ratio 0.95 0.96
Ulcer Index 4.18 4.15
Ratio: Return / Standard Deviation 1.15 1.12
Ratio: Return / Deepest Drawdown 0.34 0.44
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 In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-17.86 32* Jan 2022
In progress
-10.13 33 Sep 2000
May 2003
-8.72 6 Feb 2020
Jul 2020
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-6.23 16 Mar 2015
Jun 2016
-5.66 10 May 2013
Feb 2014
-5.64 6 Sep 2018
Feb 2019
-4.84 6 Sep 2018
Feb 2019
-4.77 5 Jun 2011
Oct 2011
-4.70 6 Apr 2004
Sep 2004
-4.59 13 Mar 2015
Mar 2016

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Rob Arnott Portfolio In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-17.86 32* Jan 2022
In progress
-13.51 17 Sep 1987
Jan 1989
-10.13 33 Sep 2000
May 2003
-8.72 6 Feb 2020
Jul 2020
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-7.37 16 Feb 1994
May 1995
-6.23 16 Mar 2015
Jun 2016
-6.19 6 Aug 1990
Jan 1991
-6.11 7 Jan 1990
Jul 1990
-5.96 13 Feb 1994
Feb 1995
-5.66 10 May 2013
Feb 2014

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 In Saecula Saeculorum
Year Return Drawdown Return Drawdown
2024
 5.44% -3.00% 11.62% -2.83%
2023
 9.08% -7.06% 15.53% -6.33%
2022
 -14.81% -17.86% -14.97% -18.89%
2021
 11.04% -1.71% 10.12% -3.03%
2020
 7.98% -8.72% 15.89% -8.50%
2019
 16.67% -0.49% 20.14% -2.10%
2018
 -4.12% -4.84% -2.76% -5.64%
2017
 9.02% -0.37% 12.42% -0.04%
2016
 7.14% -3.86% 7.79% -2.43%
2015
 -3.26% -5.73% -0.75% -4.59%
2014
 7.59% -2.79% 8.52% -2.04%
2013
 1.41% -5.66% 10.73% -2.94%
2012
 10.55% -2.17% 10.41% -2.92%
2011
 7.73% -3.51% 6.12% -4.77%
2010
 11.89% -2.99% 14.27% -4.00%
2009
 14.59% -11.26% 15.39% -9.28%
2008
 -11.48% -21.15% -11.54% -16.70%
2007
 7.64% -1.84% 8.83% -2.17%
2006
 8.97% -1.26% 10.84% -2.11%
2005
 7.74% -2.50% 5.47% -1.69%
2004
 11.93% -4.70% 7.97% -3.39%
2003
 17.00% -2.42% 18.47% -1.50%
2002
 8.16% -0.99% -1.22% -5.96%
2001
 0.06% -2.47% -1.59% -6.44%
2000
 12.87% -0.83% 0.64% -5.96%
1999
 7.22% -2.71% 9.19% -2.99%
1998
 6.53% -4.10% 15.29% -7.93%
1997
 7.20% -2.36% 16.19% -2.95%
1996
 11.02% -0.75% 9.83% -2.50%
1995
 21.23% 0.00% 25.73% 0.00%
1994
 -2.84% -7.37% -2.41% -5.96%
1993
 13.77% -2.73% 11.66% -1.36%
1992
 6.56% -2.87% 6.70% -2.12%
1991
 18.67% -1.99% 21.54% -2.17%
1990
 2.80% -6.11% 0.53% -6.19%
1989
 17.53% -1.16% 19.19% -1.49%
1988
 13.48% -1.21% 9.59% -2.18%
1987
 6.41% -5.21% 3.95% -13.51%
1986
 21.76% -3.06% 16.23% -3.74%
1985
 27.17% -1.73% 25.62% -1.83%