Developed World ex-US 40/60 Momentum vs Dynamic 40/60 Income Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond September 2024.
Reset settings
Close
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
Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
October 2014
1.64$
Final Capital
September 2024
5.05%
Yearly Return
7.86
Std Deviation
-17.33%
Max Drawdown
30 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
Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
August 2009
2.56$
Final Capital
September 2024
6.39%
Yearly Return
7.41
Std Deviation
-17.33%
Max Drawdown
30 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 Dynamic 40/60 Income Portfolio obtained a 5.05% compound annual return, with a 7.86% 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)
Swipe left to see all data
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
Dynamic 40/60 Income 10.58 2.05 6.79 18.95 4.84 5.05 6.39
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).

Dynamic 40/60 Income Portfolio: an investment of 1$, since October 2014, now would be worth 1.64$, with a total return of 63.61% (5.05% annualized).


Loading data
Please wait
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).

Dynamic 40/60 Income Portfolio: an investment of 1$, since August 2009, now would be worth 2.56$, with a total return of 155.90% (6.39% annualized).


Loading data
Please wait

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)
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 18.95
Infl. Adjusted Return (%) 15.76 16.16
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.45
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -1.87
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 7.32
Sharpe Ratio 1.97 1.86
Sortino Ratio 2.73 2.58
Ulcer Index 0.75 0.85
Ratio: Return / Standard Deviation 2.77 2.59
Ratio: Return / Deepest Drawdown 7.27 7.75
Metrics calculated over the period 1 October 2023 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 4.84
Infl. Adjusted Return (%) -0.41 0.64
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.33
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -17.33
Start to Recovery (months) 35 30
Longest Negative Period (months) 48 38
RISK INDICATORS
Standard Deviation (%) 8.62 10.11
Sharpe Ratio 0.18 0.26
Sortino Ratio 0.24 0.34
Ulcer Index 7.52 7.24
Ratio: Return / Standard Deviation 0.44 0.48
Ratio: Return / Deepest Drawdown 0.19 0.28
Metrics calculated over the period 1 October 2019 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 5.05
Infl. Adjusted Return (%) 1.16 2.13
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.33
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -17.33
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 38
RISK INDICATORS
Standard Deviation (%) 6.91 7.86
Sharpe Ratio 0.37 0.45
Sortino Ratio 0.49 0.60
Ulcer Index 5.54 5.24
Ratio: Return / Standard Deviation 0.59 0.64
Ratio: Return / Deepest Drawdown 0.21 0.29
Metrics calculated over the period 1 October 2014 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 6.39
Infl. Adjusted Return (%) 2.71 3.74
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.33
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -17.33
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 38
RISK INDICATORS
Standard Deviation (%) 6.93 7.41
Sharpe Ratio 0.63 0.73
Sortino Ratio 0.83 0.97
Ulcer Index 4.72 4.35
Ratio: Return / Standard Deviation 0.77 0.86
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)

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.09 5 Oct 2018
Feb 2019
-4.27 8 Aug 2016
Mar 2017
-4.06 11 Jun 2015
Apr 2016
-1.95 4 Oct 2016
Jan 2017
-1.93 6 Feb 2018
Jul 2018
-1.85 3 Sep 2020
Nov 2020
-1.83 4 Sep 2021
Dec 2021
-1.62 5 Jan 2021
May 2021
-1.51 2 May 2019
Jun 2019

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.19 8 Jun 2011
Jan 2012
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-5.09 5 Oct 2018
Feb 2019
-4.27 8 Aug 2016
Mar 2017
-4.06 11 Jun 2015
Apr 2016
-4.04 3 May 2010
Jul 2010
-3.72 3 May 2010
Jul 2010
-3.06 6 May 2013
Oct 2013

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:

Loading data
Please wait

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.
Swipe left to see all data
Developed World ex-US 40/60 Momentum Dynamic 40/60 Income
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 10.58% -2.45%
2023
 10.83% -4.47% 11.97% -5.00%
2022
 -14.37% -19.07% -14.37% -17.33%
2021
 1.27% -2.17% 6.72% -1.83%
2020
 11.65% -7.72% 8.28% -12.42%
2019
 14.52% -0.27% 15.91% -1.51%
2018
 -4.03% -6.00% -3.18% -5.09%
2017
 11.62% -0.20% 9.18% 0.00%
2016
 2.96% -4.27% 7.53% -1.95%
2015
 0.07% -5.38% 0.21% -4.06%
2014
 1.57% -1.52% 7.01% -1.44%
2013
 8.39% -5.17% 6.13% -3.06%
2012
 12.90% -3.09% 12.70% -2.72%
2011
 -0.59% -8.94% 2.96% -7.19%
2010
 10.77% -4.04% 11.25% -3.72%