Developed World ex-US 40/60 Momentum vs All Country World 20/80 Portfolio Comparison

Period: August 2009 - August 2024 (~15 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
September 2014
1.45$
Final Capital
August 2024
3.81%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
All Country World 20/80 Portfolio
1.00$
Initial Capital
September 2014
1.39$
Final Capital
August 2024
3.36%
Yearly Return
6.22
Std Deviation
-17.97%
Max Drawdown
36 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
August 2024
5.30%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
All Country World 20/80 Portfolio
1.00$
Initial Capital
August 2009
2.01$
Final Capital
August 2024
4.72%
Yearly Return
5.62
Std Deviation
-17.97%
Max Drawdown
36 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.81% compound annual return, with a 6.93% standard deviation, in the last 10 Years.

The All Country World 20/80 Portfolio obtained a 3.36% compound annual return, with a 6.22% standard deviation, in the last 10 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 31 August 2024 (~15 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 8.83 1.02 5.89 14.61 3.57 3.81 5.30
All Country World 20/80 5.73 1.48 5.81 11.01 2.31 3.36 4.72
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since September 2014, now would be worth 1.45$, with a total return of 45.36% (3.81% annualized).

All Country World 20/80 Portfolio: an investment of 1$, since September 2014, now would be worth 1.39$, with a total return of 39.13% (3.36% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.18$, with a total return of 117.83% (5.30% annualized).

All Country World 20/80 Portfolio: an investment of 1$, since August 2009, now would be worth 2.01$, with a total return of 100.64% (4.72% 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 August 2009 - 31 August 2024 (~15 years)
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Developed World ex-US 40/60 Momentum All Country World 20/80
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.61 11.01
Infl. Adjusted Return (%) 11.92 8.41
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -4.12
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -4.12
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 7.68 8.03
Sharpe Ratio 1.21 0.71
Sortino Ratio 1.64 1.01
Ulcer Index 1.33 1.54
Ratio: Return / Standard Deviation 1.90 1.37
Ratio: Return / Deepest Drawdown 4.60 2.67
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum All Country World 20/80
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.57 2.31
Infl. Adjusted Return (%) -0.55 -1.75
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.97
Start to Recovery (months) 35 36*
Longest Drawdown Depth (%) -19.40 -17.97
Start to Recovery (months) 35 36*
Longest Negative Period (months) 48 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.62 8.04
Sharpe Ratio 0.17 0.02
Sortino Ratio 0.22 0.03
Ulcer Index 7.52 7.82
Ratio: Return / Standard Deviation 0.41 0.29
Ratio: Return / Deepest Drawdown 0.18 0.13
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum All Country World 20/80
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.81 3.36
Infl. Adjusted Return (%) 0.97 0.52
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.97
Start to Recovery (months) 35 36*
Longest Drawdown Depth (%) -19.40 -17.97
Start to Recovery (months) 35 36*
Longest Negative Period (months) 56 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.93 6.22
Sharpe Ratio 0.34 0.31
Sortino Ratio 0.45 0.41
Ulcer Index 5.55 5.62
Ratio: Return / Standard Deviation 0.55 0.54
Ratio: Return / Deepest Drawdown 0.20 0.19
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum All Country World 20/80
Author
ASSET ALLOCATION
Stocks 40% 20%
Fixed Income 60% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.30 4.72
Infl. Adjusted Return (%) 2.69 2.13
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.97
Start to Recovery (months) 35 36*
Longest Drawdown Depth (%) -19.40 -17.97
Start to Recovery (months) 35 36*
Longest Negative Period (months) 56 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.95 5.62
Sharpe Ratio 0.63 0.67
Sortino Ratio 0.83 0.89
Ulcer Index 4.73 4.62
Ratio: Return / Standard Deviation 0.76 0.84
Ratio: Return / Deepest Drawdown 0.27 0.26
Metrics calculated over the period 1 August 2009 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 August 2009 - 31 August 2024 (~15 years)

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Developed World ex-US 40/60 Momentum All Country World 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.97 36* Sep 2021
In progress
-7.72 5 Feb 2020
Jun 2020
-6.55 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.05 11 May 2015
Mar 2016
-2.99 7 Oct 2016
Apr 2017
-2.77 12 Feb 2018
Jan 2019
-1.68 5 Jan 2021
May 2021
-1.62 5 Jan 2021
May 2021
-1.52 6 Sep 2014
Feb 2015
-1.33 2 Oct 2020
Nov 2020
-1.21 3 Sep 2020
Nov 2020

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Developed World ex-US 40/60 Momentum All Country World 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.97 36* Sep 2021
In progress
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-6.55 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.30 10 May 2013
Feb 2014
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.05 11 May 2015
Mar 2016
-2.99 7 Oct 2016
Apr 2017
-2.77 12 Feb 2018
Jan 2019
-2.61 3 Aug 2011
Oct 2011

Rolling Returns

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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 August 2009 - 31 August 2024 (~15 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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Developed World ex-US 40/60 Momentum All Country World 20/80
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 5.73% -2.38%
2023
 10.83% -4.47% 10.25% -5.13%
2022
 -14.37% -19.07% -14.66% -17.51%
2021
 1.27% -2.17% 2.00% -1.92%
2020
 11.65% -7.72% 8.36% -6.55%
2019
 14.52% -0.27% 12.96% -0.19%
2018
 -4.03% -6.00% -1.87% -2.77%
2017
 11.62% -0.20% 8.23% -0.08%
2016
 2.96% -4.27% 5.12% -2.99%
2015
 0.07% -5.38% 0.31% -3.05%
2014
 1.57% -1.52% 6.24% -1.20%
2013
 8.39% -5.17% 2.59% -4.30%
2012
 12.90% -3.09% 9.39% -1.73%
2011
 -0.59% -8.94% 4.99% -2.61%
2010
 10.77% -4.04% 8.78% -1.65%