Rob Arnott vs Aim Ways Ulcer Free Strategy Portfolio Comparison

Period: July 1985 - August 2024 (~39 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
Aim Ways Ulcer Free Strategy Portfolio
1.00$
Initial Capital
September 1994
8.87$
Final Capital
August 2024
7.54%
Yearly Return
6.03
Std Deviation
-17.48%
Max Drawdown
35 months
Recovery Period
Rob Arnott Portfolio
1.00$
Initial Capital
July 1985
20.40$
Final Capital
August 2024
8.00%
Yearly Return
7.13
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Aim Ways Ulcer Free Strategy Portfolio
1.00$
Initial Capital
July 1985
22.11$
Final Capital
August 2024
8.23%
Yearly Return
6.09
Std Deviation
-17.48%
Max Drawdown
35 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 Aim Ways Ulcer Free Strategy Portfolio obtained a 7.54% compound annual return, with a 6.03% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 July 1985 - 31 August 2024 (~39 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
Rob Arnott Portfolio
Rob Arnott 		5.44 1.61 6.19 10.26 3.76 3.93 6.80 8.00
Ulcer Free Strategy
Aim Ways 		6.44 1.11 6.81 11.79 4.87 5.26 7.54 8.23
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).

Aim Ways Ulcer Free Strategy Portfolio: an investment of 1$, since September 1994, now would be worth 8.87$, with a total return of 786.50% (7.54% annualized).


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Rob Arnott Portfolio: an investment of 1$, since July 1985, now would be worth 20.40$, with a total return of 1939.92% (8.00% annualized).

Aim Ways Ulcer Free Strategy Portfolio: an investment of 1$, since July 1985, now would be worth 22.11$, with a total return of 2110.89% (8.23% 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 July 1985 - 31 August 2024 (~39 years)
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Rob Arnott Portfolio Ulcer Free Strategy
Author Rob Arnott Aim Ways
ASSET ALLOCATION
Stocks 30% 11%
Fixed Income 60% 77%
Commodities 10% 12%
PERFORMANCES
Annualized Return (%) 10.26 11.79
Infl. Adjusted Return (%) 7.67 9.17
DRAWDOWN
Deepest Drawdown Depth (%) -5.54 -3.69
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.54 -3.69
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 4
RISK INDICATORS
Standard Deviation (%) 9.56 7.67
Sharpe Ratio 0.51 0.84
Sortino Ratio 0.73 1.17
Ulcer Index 2.02 1.45
Ratio: Return / Standard Deviation 1.07 1.54
Ratio: Return / Deepest Drawdown 1.85 3.19
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Rob Arnott Portfolio Ulcer Free Strategy
Author Rob Arnott Aim Ways
ASSET ALLOCATION
Stocks 30% 11%
Fixed Income 60% 77%
Commodities 10% 12%
PERFORMANCES
Annualized Return (%) 3.76 4.87
Infl. Adjusted Return (%) -0.36 0.70
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -17.48
Start to Recovery (months) 32* 35
Longest Drawdown Depth (%) -17.86 -17.48
Start to Recovery (months) 32* 35
Longest Negative Period (months) 45 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.77 8.04
Sharpe Ratio 0.17 0.34
Sortino Ratio 0.22 0.48
Ulcer Index 7.63 7.27
Ratio: Return / Standard Deviation 0.39 0.61
Ratio: Return / Deepest Drawdown 0.21 0.28
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Rob Arnott Portfolio Ulcer Free Strategy
Author Rob Arnott Aim Ways
ASSET ALLOCATION
Stocks 30% 11%
Fixed Income 60% 77%
Commodities 10% 12%
PERFORMANCES
Annualized Return (%) 3.93 5.26
Infl. Adjusted Return (%) 1.08 2.38
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -17.48
Start to Recovery (months) 32* 35
Longest Drawdown Depth (%) -17.86 -17.48
Start to Recovery (months) 32* 35
Longest Negative Period (months) 45 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.85 6.44
Sharpe Ratio 0.32 0.59
Sortino Ratio 0.42 0.83
Ulcer Index 5.66 5.23
Ratio: Return / Standard Deviation 0.50 0.82
Ratio: Return / Deepest Drawdown 0.22 0.30
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Rob Arnott Portfolio Ulcer Free Strategy
Author Rob Arnott Aim Ways
ASSET ALLOCATION
Stocks 30% 11%
Fixed Income 60% 77%
Commodities 10% 12%
PERFORMANCES
Annualized Return (%) 6.80 7.54
Infl. Adjusted Return (%) 4.18 4.91
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -17.48
Start to Recovery (months) 22 35
Longest Drawdown Depth (%) -17.86 -17.48
Start to Recovery (months) 32* 35
Longest Negative Period (months) 50 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.23 6.03
Sharpe Ratio 0.62 0.87
Sortino Ratio 0.81 1.21
Ulcer Index 4.64 3.46
Ratio: Return / Standard Deviation 0.94 1.25
Ratio: Return / Deepest Drawdown 0.28 0.43
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Rob Arnott Portfolio Ulcer Free Strategy
Author Rob Arnott Aim Ways
ASSET ALLOCATION
Stocks 30% 11%
Fixed Income 60% 77%
Commodities 10% 12%
PERFORMANCES
Annualized Return (%) 8.00 8.23
Infl. Adjusted Return (%) 5.09 5.31
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -17.48
Start to Recovery (months) 22 35
Longest Drawdown Depth (%) -17.86 -17.48
Start to Recovery (months) 32* 35
Longest Negative Period (months) 50 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.13 6.09
Sharpe Ratio 0.69 0.85
Sortino Ratio 0.92 1.18
Ulcer Index 4.21 3.22
Ratio: Return / Standard Deviation 1.12 1.35
Ratio: Return / Deepest Drawdown 0.33 0.47
Metrics calculated over the period 1 July 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 July 1985 - 31 August 2024 (~39 years)

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Rob Arnott Portfolio Ulcer Free Strategy
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-17.86 32* Jan 2022
In progress
-17.48 35 Sep 2021
Jul 2024
-13.81 17 Mar 2008
Jul 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
-4.73 26 Sep 2000
Oct 2002
-4.70 6 Apr 2004
Sep 2004
-4.61 6 May 2013
Oct 2013
-4.30 7 Dec 1996
Jun 1997
-4.10 3 Jul 1998
Sep 1998
-4.08 7 Oct 2016
Apr 2017
-3.86 10 Aug 2016
May 2017

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Rob Arnott Portfolio Ulcer Free Strategy
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-17.86 32* Jan 2022
In progress
-17.48 35 Sep 2021
Jul 2024
-13.81 17 Mar 2008
Jul 2009
-8.72 6 Feb 2020
Jul 2020
-7.37 16 Feb 1994
May 1995
-7.24 15 Feb 1994
Apr 1995
-6.23 16 Mar 2015
Jun 2016
-6.11 7 Jan 1990
Jul 1990
-5.66 10 May 2013
Feb 2014
-5.36 6 Sep 1987
Feb 1988
-5.21 5 Sep 1987
Jan 1988
-5.01 5 Aug 1990
Dec 1990
-4.84 6 Sep 2018
Feb 2019
-4.74 7 Dec 1989
Jun 1990

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 July 1985 - 31 August 2024 (~39 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 Ulcer Free Strategy
Year Return Drawdown Return Drawdown
2024
 5.44% -3.00% 6.44% -2.00%
2023
 9.08% -7.06% 13.74% -4.59%
2022
 -14.81% -17.86% -15.39% -16.93%
2021
 11.04% -1.71% 1.14% -3.29%
2020
 7.98% -8.72% 20.69% -2.80%
2019
 16.67% -0.49% 14.71% -0.83%
2018
 -4.12% -4.84% 0.69% -2.59%
2017
 9.02% -0.37% 9.01% -0.91%
2016
 7.14% -3.86% 5.21% -4.08%
2015
 -3.26% -5.73% 0.46% -2.56%
2014
 7.59% -2.79% 8.51% -1.57%
2013
 1.41% -5.66% 1.73% -4.61%
2012
 10.55% -2.17% 9.44% -1.48%
2011
 7.73% -3.51% 7.68% -1.94%
2010
 11.89% -2.99% 13.35% -0.33%
2009
 14.59% -11.26% 19.29% -1.70%
2008
 -11.48% -21.15% -5.09% -13.81%
2007
 7.64% -1.84% 10.42% -0.94%
2006
 8.97% -1.26% 7.02% -1.81%
2005
 7.74% -2.50% 5.78% -1.51%
2004
 11.93% -4.70% 7.35% -2.86%
2003
 17.00% -2.42% 15.98% -1.15%
2002
 8.16% -0.99% 4.11% -2.74%
2001
 0.06% -2.47% 1.74% -4.71%
2000
 12.87% -0.83% 5.64% -4.73%
1999
 7.22% -2.71% 12.39% -3.53%
1998
 6.53% -4.10% 18.15% -2.77%
1997
 7.20% -2.36% 4.45% -3.38%
1996
 11.02% -0.75% 8.16% -0.95%
1995
 21.23% 0.00% 22.80% 0.00%
1994
 -2.84% -7.37% -4.83% -7.24%
1993
 13.77% -2.73% 15.58% -0.99%
1992
 6.56% -2.87% 8.79% -2.57%
1991
 18.67% -1.99% 23.75% -1.85%
1990
 2.80% -6.11% 2.22% -5.01%
1989
 17.53% -1.16% 13.13% -0.77%
1988
 13.48% -1.21% 6.27% -2.13%
1987
 6.41% -5.21% 4.63% -5.36%
1986
 21.76% -3.06% 17.00% -1.71%