Stocks/Bonds 80/20 Momentum vs US Stocks Quality Portfolio Comparison

Period: January 1982 - August 2024 (~43 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
September 1994
26.47$
Final Capital
August 2024
11.54%
Yearly Return
12.46
Std Deviation
-43.61%
Max Drawdown
52 months
Recovery Period
US Stocks Quality Portfolio
1.00$
Initial Capital
September 1994
29.67$
Final Capital
August 2024
11.96%
Yearly Return
15.10
Std Deviation
-46.25%
Max Drawdown
40 months
Recovery Period
Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
January 1982
157.18$
Final Capital
August 2024
12.58%
Yearly Return
12.57
Std Deviation
-43.61%
Max Drawdown
52 months
Recovery Period
US Stocks Quality Portfolio
1.00$
Initial Capital
January 1982
195.44$
Final Capital
August 2024
13.16%
Yearly Return
15.12
Std Deviation
-46.25%
Max Drawdown
40 months
Recovery Period

The Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.54% compound annual return, with a 12.46% standard deviation, in the last 30 Years.

The US Stocks Quality Portfolio obtained a 11.96% compound annual return, with a 15.10% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 31 August 2024 (~43 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Stocks/Bonds 80/20 Momentum 21.48 3.02 7.88 29.38 9.34 10.84 11.54 12.58
US Stocks Quality 21.35 3.49 11.40 29.09 15.97 13.24 11.96 13.16
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since September 1994, now would be worth 26.47$, with a total return of 2546.96% (11.54% annualized).

US Stocks Quality Portfolio: an investment of 1$, since September 1994, now would be worth 29.67$, with a total return of 2867.24% (11.96% annualized).


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Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 157.18$, with a total return of 15618.03% (12.58% annualized).

US Stocks Quality Portfolio: an investment of 1$, since January 1982, now would be worth 195.44$, with a total return of 19444.47% (13.16% 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 1982 - 31 August 2024 (~43 years)
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 29.38 29.09
Infl. Adjusted Return (%) 26.35 26.07
DRAWDOWN
Deepest Drawdown Depth (%) -5.89 -6.47
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.89 -6.47
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 14.47 13.95
Sharpe Ratio 1.66 1.70
Sortino Ratio 2.17 2.22
Ulcer Index 2.48 2.60
Ratio: Return / Standard Deviation 2.03 2.09
Ratio: Return / Deepest Drawdown 4.99 4.49
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.34 15.97
Infl. Adjusted Return (%) 5.00 11.36
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Negative Period (months) 39 27
RISK INDICATORS
Standard Deviation (%) 15.95 18.64
Sharpe Ratio 0.45 0.74
Sortino Ratio 0.62 0.97
Ulcer Index 12.99 9.53
Ratio: Return / Standard Deviation 0.59 0.86
Ratio: Return / Deepest Drawdown 0.34 0.57
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 13.24
Infl. Adjusted Return (%) 7.80 10.13
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Negative Period (months) 39 27
RISK INDICATORS
Standard Deviation (%) 13.10 15.58
Sharpe Ratio 0.72 0.76
Sortino Ratio 0.97 1.01
Ulcer Index 9.46 7.16
Ratio: Return / Standard Deviation 0.83 0.85
Ratio: Return / Deepest Drawdown 0.40 0.48
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.54 11.96
Infl. Adjusted Return (%) 8.81 9.22
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -46.25
Start to Recovery (months) 52 40
Longest Drawdown Depth (%) -32.75 -43.01
Start to Recovery (months) 52 77
Longest Negative Period (months) 112 130
RISK INDICATORS
Standard Deviation (%) 12.46 15.10
Sharpe Ratio 0.74 0.64
Sortino Ratio 0.98 0.85
Ulcer Index 11.97 13.77
Ratio: Return / Standard Deviation 0.93 0.79
Ratio: Return / Deepest Drawdown 0.26 0.26
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.58 13.16
Infl. Adjusted Return (%) 9.45 10.01
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -46.25
Start to Recovery (months) 52 40
Longest Drawdown Depth (%) -32.75 -43.01
Start to Recovery (months) 52 77
Longest Negative Period (months) 112 130
RISK INDICATORS
Standard Deviation (%) 12.57 15.12
Sharpe Ratio 0.72 0.63
Sortino Ratio 0.95 0.85
Ulcer Index 10.62 12.14
Ratio: Return / Standard Deviation 1.00 0.87
Ratio: Return / Deepest Drawdown 0.29 0.28
Metrics calculated over the period 1 January 1982 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1982 - 31 August 2024 (~43 years)

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Stocks/Bonds 80/20 Momentum US Stocks Quality
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-46.25 40 Nov 2007
Feb 2011
-43.61 52 Nov 2007
Feb 2012
-43.01 77 Sep 2000
Jan 2007
-32.75 52 Sep 2000
Dec 2004
-27.78 24 Jan 2022
Dec 2023
-27.23 32 Nov 2021
Jun 2024
-19.34 7 Jan 2020
Jul 2020
-14.61 7 Oct 2018
Apr 2019
-14.33 5 Feb 2020
Jun 2020
-13.90 9 May 2011
Jan 2012
-12.46 9 Oct 2018
Jun 2019
-12.07 4 Jul 1998
Oct 1998
-9.24 3 Aug 1998
Oct 1998
-7.19 6 Apr 2012
Sep 2012
-6.64 3 Aug 2015
Oct 2015

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Stocks/Bonds 80/20 Momentum US Stocks Quality
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-46.25 40 Nov 2007
Feb 2011
-43.61 52 Nov 2007
Feb 2012
-43.01 77 Sep 2000
Jan 2007
-32.75 52 Sep 2000
Dec 2004
-29.94 21 Sep 1987
May 1989
-27.78 24 Jan 2022
Dec 2023
-27.23 32 Nov 2021
Jun 2024
-25.63 21 Sep 1987
May 1989
-19.34 7 Jan 2020
Jul 2020
-14.61 7 Oct 2018
Apr 2019
-14.33 5 Feb 2020
Jun 2020
-13.90 9 May 2011
Jan 2012
-12.46 9 Oct 2018
Jun 2019
-12.07 4 Jul 1998
Oct 1998
-11.84 6 Aug 1990
Jan 1991

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 1982 - 31 August 2024 (~43 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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Stocks/Bonds 80/20 Momentum US Stocks Quality
Year Return Drawdown Return Drawdown
2024
 21.48% -4.94% 21.35% -4.50%
2023
 8.40% -5.89% 30.88% -6.88%
2022
 -17.23% -24.45% -20.49% -27.78%
2021
 10.32% -3.67% 26.93% -6.45%
2020
 25.42% -14.33% 17.03% -19.34%
2019
 23.57% -1.46% 33.89% -6.58%
2018
 -1.35% -12.46% -5.68% -14.61%
2017
 30.71% 0.00% 22.27% -0.04%
2016
 4.51% -3.62% 9.21% -4.62%
2015
 7.25% -6.22% 5.46% -6.64%
2014
 12.86% -3.39% 11.62% -4.19%
2013
 27.24% -2.48% 34.11% -2.85%
2012
 12.58% -5.19% 12.59% -7.19%
2011
 6.33% -10.88% 7.32% -13.90%
2010
 15.66% -9.31% 14.04% -12.90%
2009
 14.68% -16.18% 24.74% -18.35%
2008
 -31.40% -32.66% -31.36% -32.42%
2007
 15.50% -1.97% 9.91% -4.10%
2006
 9.30% -2.94% 12.62% -3.30%
2005
 15.79% -1.04% 5.28% -3.71%
2004
 14.21% -2.13% 8.51% -3.83%
2003
 21.59% -3.04% 23.58% -4.72%
2002
 -8.17% -17.08% -21.34% -27.87%
2001
 -12.19% -20.18% -10.47% -22.22%
2000
 -5.41% -9.70% -6.78% -12.22%
1999
 32.18% -1.61% 26.24% -4.34%
1998
 40.72% -9.24% 45.30% -12.07%
1997
 31.37% -4.22% 32.95% -5.23%
1996
 24.58% -3.09% 30.34% -3.76%
1995
 37.49% 0.00% 39.91% -0.17%
1994
 -1.40% -6.80% 5.81% -6.09%
1993
 12.52% -1.57% -1.84% -3.85%
1992
 4.88% -2.94% 2.36% -3.83%
1991
 32.57% -3.31% 42.31% -3.57%
1990
 2.93% -10.02% 3.83% -11.84%
1989
 36.94% -1.39% 36.63% -2.05%
1988
 7.13% -4.35% 15.66% -3.85%
1987
 2.18% -25.63% 4.18% -29.94%
1986
 21.18% -6.69% 24.86% -7.56%
1985
 30.36% -2.61% 33.09% -3.58%
1984
 2.34% -8.41% 8.49% -5.91%
1983
 14.60% -3.36% 16.46% -3.65%
1982
 30.58% -3.58% 19.76% -10.30%