Developed World ex-US 40/60 Momentum vs Harry Browne Permanent 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
Harry Browne Permanent Portfolio
1.00$
Initial Capital
October 2014
1.79$
Final Capital
September 2024
6.01%
Yearly Return
7.31
Std Deviation
-15.92%
Max Drawdown
27 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
Harry Browne Permanent Portfolio
1.00$
Initial Capital
August 2009
2.67$
Final Capital
September 2024
6.68%
Yearly Return
6.98
Std Deviation
-15.92%
Max Drawdown
27 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 Harry Browne Permanent Portfolio obtained a 6.01% compound annual return, with a 7.31% 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
Permanent Portfolio
Harry Browne 		13.39 2.48 9.25 24.07 6.41 6.01 6.68
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).

Harry Browne Permanent Portfolio: an investment of 1$, since October 2014, now would be worth 1.79$, with a total return of 79.23% (6.01% 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).

Harry Browne Permanent Portfolio: an investment of 1$, since August 2009, now would be worth 2.67$, with a total return of 166.55% (6.68% 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 Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 18.55 24.07
Infl. Adjusted Return (%) 15.76 21.15
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -1.77
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -0.01
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 1
RISK INDICATORS
Standard Deviation (%) 6.69 6.60
Sharpe Ratio 1.97 2.83
Sortino Ratio 2.73 3.91
Ulcer Index 0.75 0.51
Ratio: Return / Standard Deviation 2.77 3.65
Ratio: Return / Deepest Drawdown 7.27 13.62
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 3.75 6.41
Infl. Adjusted Return (%) -0.41 2.14
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.92
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -15.92
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 40
RISK INDICATORS
Standard Deviation (%) 8.62 8.58
Sharpe Ratio 0.18 0.49
Sortino Ratio 0.24 0.69
Ulcer Index 7.52 5.90
Ratio: Return / Standard Deviation 0.44 0.75
Ratio: Return / Deepest Drawdown 0.19 0.40
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 4.05 6.01
Infl. Adjusted Return (%) 1.16 3.07
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.92
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -15.92
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 40
RISK INDICATORS
Standard Deviation (%) 6.91 7.31
Sharpe Ratio 0.37 0.62
Sortino Ratio 0.49 0.89
Ulcer Index 5.54 4.69
Ratio: Return / Standard Deviation 0.59 0.82
Ratio: Return / Deepest Drawdown 0.21 0.38
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.33 6.68
Infl. Adjusted Return (%) 2.71 4.02
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.92
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -15.92
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 40
RISK INDICATORS
Standard Deviation (%) 6.93 6.98
Sharpe Ratio 0.63 0.82
Sortino Ratio 0.83 1.17
Ulcer Index 4.72 3.97
Ratio: Return / Standard Deviation 0.77 0.96
Ratio: Return / Deepest Drawdown 0.27 0.42
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 Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.92 27 Jan 2022
Mar 2024
-7.72 5 Feb 2020
Jun 2020
-6.98 13 Aug 2016
Aug 2017
-6.73 15 Feb 2015
Apr 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.43 5 Jan 2021
May 2021
-4.27 8 Aug 2016
Mar 2017
-4.25 13 Feb 2018
Feb 2019
-3.30 4 Sep 2020
Dec 2020
-2.73 2 Sep 2021
Oct 2021
-1.77 2 Apr 2024
May 2024
-1.67 3 Feb 2020
Apr 2020
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.92 27 Jan 2022
Mar 2024
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-6.98 13 Aug 2016
Aug 2017
-6.86 17 Oct 2012
Feb 2014
-6.73 15 Feb 2015
Apr 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.43 5 Jan 2021
May 2021
-4.27 8 Aug 2016
Mar 2017
-4.25 13 Feb 2018
Feb 2019
-4.04 3 May 2010
Jul 2010
-3.32 5 Dec 2009
Apr 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 Permanent Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 13.39% -1.77%
2023
 10.83% -4.47% 11.55% -5.68%
2022
 -14.37% -19.07% -12.53% -15.92%
2021
 1.27% -2.17% 4.21% -4.43%
2020
 11.65% -7.72% 16.10% -3.30%
2019
 14.52% -0.27% 16.17% -1.10%
2018
 -4.03% -6.00% -1.76% -4.25%
2017
 11.62% -0.20% 10.97% -0.83%
2016
 2.96% -4.27% 5.54% -6.98%
2015
 0.07% -5.38% -3.06% -6.73%
2014
 1.57% -1.52% 9.40% -2.62%
2013
 8.39% -5.17% -2.08% -6.04%
2012
 12.90% -3.09% 6.41% -1.83%
2011
 -0.59% -8.94% 11.11% -1.85%
2010
 10.77% -4.04% 13.92% -0.53%