Developed World ex-US 40/60 Momentum vs Bob Clyatt Sandwich Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.05%
Yearly Return
6.91
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Bob Clyatt Sandwich Portfolio
1.00$
Initial Capital
October 2014
1.78$
Final Capital
September 2024
5.91%
Yearly Return
8.51
Std Deviation
-19.10%
Max Drawdown
31 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.20$
Final Capital
September 2024
5.33%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Bob Clyatt Sandwich Portfolio
1.00$
Initial Capital
August 2009
2.81$
Final Capital
September 2024
7.05%
Yearly Return
8.33
Std Deviation
-19.10%
Max Drawdown
31 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 4.05% compound annual return, with a 6.91% standard deviation, in the last 10 Years.

The Bob Clyatt Sandwich Portfolio obtained a 5.91% compound annual return, with a 8.51% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 September 2024 (~15 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 9.76 0.86 3.79 18.55 3.75 4.05 5.33
Sandwich Portfolio
Bob Clyatt 		10.52 1.87 7.69 20.08 6.13 5.91 7.05
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 48.78% (4.05% annualized).

Bob Clyatt Sandwich Portfolio: an investment of 1$, since October 2014, now would be worth 1.78$, with a total return of 77.50% (5.91% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 119.69% (5.33% annualized).

Bob Clyatt Sandwich Portfolio: an investment of 1$, since August 2009, now would be worth 2.81$, with a total return of 180.99% (7.05% 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 August 2009 - 30 September 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Sandwich Portfolio
Author Bob Clyatt
ASSET ALLOCATION
Stocks 40% 55%
Fixed Income 60% 45%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 20.08
Infl. Adjusted Return (%) 15.76 17.26
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.86
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -2.15
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.69 8.60
Sharpe Ratio 1.97 1.71
Sortino Ratio 2.73 2.36
Ulcer Index 0.75 1.01
Ratio: Return / Standard Deviation 2.77 2.34
Ratio: Return / Deepest Drawdown 7.27 7.02
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Sandwich Portfolio
Author Bob Clyatt
ASSET ALLOCATION
Stocks 40% 55%
Fixed Income 60% 45%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 6.13
Infl. Adjusted Return (%) -0.41 1.87
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.10
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -19.10
Start to Recovery (months) 35 31
Longest Negative Period (months) 48 36
RISK INDICATORS
Standard Deviation (%) 8.62 10.41
Sharpe Ratio 0.18 0.38
Sortino Ratio 0.24 0.50
Ulcer Index 7.52 7.43
Ratio: Return / Standard Deviation 0.44 0.59
Ratio: Return / Deepest Drawdown 0.19 0.32
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Sandwich Portfolio
Author Bob Clyatt
ASSET ALLOCATION
Stocks 40% 55%
Fixed Income 60% 45%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 5.91
Infl. Adjusted Return (%) 1.16 2.97
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.10
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -19.10
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 36
RISK INDICATORS
Standard Deviation (%) 6.91 8.51
Sharpe Ratio 0.37 0.52
Sortino Ratio 0.49 0.69
Ulcer Index 5.54 5.47
Ratio: Return / Standard Deviation 0.59 0.69
Ratio: Return / Deepest Drawdown 0.21 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Sandwich Portfolio
Author Bob Clyatt
ASSET ALLOCATION
Stocks 40% 55%
Fixed Income 60% 45%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 7.05
Infl. Adjusted Return (%) 2.71 4.39
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -19.10
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -19.10
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 36
RISK INDICATORS
Standard Deviation (%) 6.93 8.33
Sharpe Ratio 0.63 0.73
Sortino Ratio 0.83 0.98
Ulcer Index 4.72 4.62
Ratio: Return / Standard Deviation 0.77 0.85
Ratio: Return / Deepest Drawdown 0.27 0.37
Metrics calculated over the period 1 August 2009 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Sandwich Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-19.10 31 Jan 2022
Jul 2024
-10.75 7 Jan 2020
Jul 2020
-7.72 5 Feb 2020
Jun 2020
-7.14 8 Sep 2018
Apr 2019
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.03 13 Jun 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-2.79 7 Feb 2018
Aug 2018
-2.79 2 May 2019
Jun 2019
-2.74 4 Sep 2021
Dec 2021
-2.39 3 Sep 2020
Nov 2020
-1.73 4 Oct 2016
Jan 2017
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Sandwich Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-19.10 31 Jan 2022
Jul 2024
-10.75 7 Jan 2020
Jul 2020
-9.56 10 May 2011
Feb 2012
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.14 8 Sep 2018
Apr 2019
-6.00 14 Feb 2018
Mar 2019
-5.67 5 May 2010
Sep 2010
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-5.03 13 Jun 2015
Jun 2016
-4.32 5 May 2012
Sep 2012
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010

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 August 2009 - 30 September 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 Sandwich Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 10.52% -2.86%
2023
 10.83% -4.47% 12.05% -7.10%
2022
 -14.37% -19.07% -14.72% -19.10%
2021
 1.27% -2.17% 9.88% -2.74%
2020
 11.65% -7.72% 10.59% -10.75%
2019
 14.52% -0.27% 16.81% -2.79%
2018
 -4.03% -6.00% -4.77% -7.14%
2017
 11.62% -0.20% 13.38% 0.00%
2016
 2.96% -4.27% 6.63% -2.20%
2015
 0.07% -5.38% 0.48% -4.93%
2014
 1.57% -1.52% 4.84% -2.58%
2013
 8.39% -5.17% 12.69% -2.58%
2012
 12.90% -3.09% 10.59% -4.32%
2011
 -0.59% -8.94% 0.70% -9.56%
2010
 10.77% -4.04% 13.17% -5.67%