Rob Arnott vs Davide Pisicchio PISI Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Rob Arnott Portfolio
1.00$
Initial Capital
October 1994
7.46$
Final Capital
September 2024
6.93%
Yearly Return
7.22
Std Deviation
-24.27%
Max Drawdown
22 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
Rob Arnott Portfolio
1.00$
Initial Capital
January 1985
23.46$
Final Capital
September 2024
8.26%
Yearly Return
7.16
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
January 1985
24.37$
Final Capital
September 2024
8.36%
Yearly Return
6.77
Std Deviation
-18.36%
Max Drawdown
31 months
Recovery Period

The Rob Arnott Portfolio obtained a 6.93% compound annual return, with a 7.22% 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 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Rob Arnott Portfolio
Rob Arnott 		7.42 1.88 6.09 16.34 4.11 4.42 6.93 8.26
PISI Portfolio
Davide Pisicchio 		11.49 2.06 8.23 21.70 5.58 5.75 7.47 8.36
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Rob Arnott Portfolio: an investment of 1$, since October 1994, now would be worth 7.46$, with a total return of 646.28% (6.93% 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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Rob Arnott Portfolio: an investment of 1$, since January 1985, now would be worth 23.46$, with a total return of 2246.42% (8.26% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since January 1985, now would be worth 24.37$, with a total return of 2336.86% (8.36% 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 1985 - 30 September 2024 (~40 years)
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Rob Arnott Portfolio PISI Portfolio
Author Rob Arnott Davide Pisicchio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 16.34 21.70
Infl. Adjusted Return (%) 13.60 18.84
DRAWDOWN
Deepest Drawdown Depth (%) -3.00 -2.89
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -0.76 -2.89
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 3
RISK INDICATORS
Standard Deviation (%) 8.46 7.95
Sharpe Ratio 1.30 2.06
Sortino Ratio 1.82 2.82
Ulcer Index 1.09 0.88
Ratio: Return / Standard Deviation 1.93 2.73
Ratio: Return / Deepest Drawdown 5.45 7.51
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Rob Arnott Portfolio PISI Portfolio
Author Rob Arnott Davide Pisicchio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 4.11 5.58
Infl. Adjusted Return (%) -0.06 1.35
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -18.36
Start to Recovery (months) 33* 31
Longest Drawdown Depth (%) -17.86 -18.36
Start to Recovery (months) 33* 31
Longest Negative Period (months) 45 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.79 9.08
Sharpe Ratio 0.20 0.37
Sortino Ratio 0.26 0.51
Ulcer Index 7.63 7.36
Ratio: Return / Standard Deviation 0.42 0.61
Ratio: Return / Deepest Drawdown 0.23 0.30
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Rob Arnott Portfolio PISI Portfolio
Author Rob Arnott Davide Pisicchio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 4.42 5.75
Infl. Adjusted Return (%) 1.52 2.82
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -18.36
Start to Recovery (months) 33* 31
Longest Drawdown Depth (%) -17.86 -18.36
Start to Recovery (months) 33* 31
Longest Negative Period (months) 45 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.80 7.21
Sharpe Ratio 0.38 0.59
Sortino Ratio 0.50 0.81
Ulcer Index 5.66 5.34
Ratio: Return / Standard Deviation 0.57 0.80
Ratio: Return / Deepest Drawdown 0.25 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Rob Arnott Portfolio PISI Portfolio
Author Rob Arnott Davide Pisicchio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 6.93 7.47
Infl. Adjusted Return (%) 4.30 4.84
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -18.36
Start to Recovery (months) 22 31
Longest Drawdown Depth (%) -17.86 -18.36
Start to Recovery (months) 33* 31
Longest Negative Period (months) 50 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 6.48
Sharpe Ratio 0.64 0.80
Sortino Ratio 0.84 1.08
Ulcer Index 4.63 3.46
Ratio: Return / Standard Deviation 0.96 1.15
Ratio: Return / Deepest Drawdown 0.29 0.41
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Rob Arnott Portfolio PISI Portfolio
Author Rob Arnott Davide Pisicchio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 60%
Commodities 10% 10%
PERFORMANCES
Annualized Return (%) 8.26 8.36
Infl. Adjusted Return (%) 5.33 5.43
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -18.36
Start to Recovery (months) 22 31
Longest Drawdown Depth (%) -17.86 -18.36
Start to Recovery (months) 33* 31
Longest Negative Period (months) 50 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.16 6.77
Sharpe Ratio 0.72 0.77
Sortino Ratio 0.95 1.06
Ulcer Index 4.18 3.25
Ratio: Return / Standard Deviation 1.15 1.24
Ratio: Return / Deepest Drawdown 0.34 0.46
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

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

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Rob Arnott Portfolio PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-18.36 31 Jan 2022
Jul 2024
-17.86 33* Jan 2022
In progress
-11.84 18 Mar 2008
Aug 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
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.30 3 Jul 1998
Sep 1998
-4.10 3 Jul 1998
Sep 1998
-4.06 7 Apr 2004
Oct 2004
-3.86 10 Aug 2016
May 2017

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Rob Arnott Portfolio PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-18.36 31 Jan 2022
Jul 2024
-17.86 33* Jan 2022
In progress
-11.84 18 Mar 2008
Aug 2009
-8.72 13 Sep 1987
Sep 1988
-8.72 6 Feb 2020
Jul 2020
-7.37 16 Feb 1994
May 1995
-6.99 14 Feb 1994
Mar 1995
-6.23 16 Mar 2015
Jun 2016
-6.11 7 Jan 1990
Jul 1990
-5.66 10 May 2013
Feb 2014
-5.27 7 Jan 1990
Jul 1990
-5.21 5 Sep 1987
Jan 1988
-4.84 6 Sep 2018
Feb 2019
-4.70 6 Apr 2004
Sep 2004

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 - 30 September 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 PISI Portfolio
Year Return Drawdown Return Drawdown
2024
 7.42% -3.00% 11.49% -2.89%
2023
 9.08% -7.06% 11.85% -6.31%
2022
 -14.81% -17.86% -15.32% -18.36%
2021
 11.04% -1.71% 5.44% -2.73%
2020
 7.98% -8.72% 14.89% -3.27%
2019
 16.67% -0.49% 16.74% -0.45%
2018
 -4.12% -4.84% -1.64% -3.17%
2017
 9.02% -0.37% 9.63% -0.31%
2016
 7.14% -3.86% 5.77% -4.39%
2015
 -3.26% -5.73% -0.33% -3.27%
2014
 7.59% -2.79% 8.90% -1.94%
2013
 1.41% -5.66% 3.96% -4.45%
2012
 10.55% -2.17% 8.48% -1.19%
2011
 7.73% -3.51% 10.04% -2.16%
2010
 11.89% -2.99% 13.77% -0.81%
2009
 14.59% -11.26% 8.62% -7.60%
2008
 -11.48% -21.15% -1.41% -11.84%
2007
 7.64% -1.84% 10.22% -1.06%
2006
 8.97% -1.26% 8.64% -1.66%
2005
 7.74% -2.50% 5.11% -1.64%
2004
 11.93% -4.70% 6.93% -4.06%
2003
 17.00% -2.42% 14.77% -2.33%
2002
 8.16% -0.99% 5.17% -2.10%
2001
 0.06% -2.47% 0.43% -3.41%
2000
 12.87% -0.83% 5.99% -3.34%
1999
 7.22% -2.71% 3.16% -3.71%
1998
 6.53% -4.10% 15.05% -4.30%
1997
 7.20% -2.36% 14.04% -2.79%
1996
 11.02% -0.75% 6.11% -3.11%
1995
 21.23% 0.00% 25.75% 0.00%
1994
 -2.84% -7.37% -4.28% -6.99%
1993
 13.77% -2.73% 12.70% -1.83%
1992
 6.56% -2.87% 6.47% -2.97%
1991
 18.67% -1.99% 20.24% -1.61%
1990
 2.80% -6.11% 2.41% -5.27%
1989
 17.53% -1.16% 18.47% -1.50%
1988
 13.48% -1.21% 8.03% -2.27%
1987
 6.41% -5.21% 2.16% -8.72%
1986
 21.76% -3.06% 18.59% -3.19%
1985
 27.17% -1.73% 27.30% -2.04%