Developed World ex-US 40/60 Momentum vs Harry Browne Permanent with Bitcoin 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
Harry Browne Permanent with Bitcoin Portfolio
1.00$
Initial Capital
September 2014
2.34$
Final Capital
August 2024
8.88%
Yearly Return
8.54
Std Deviation
-16.89%
Max Drawdown
27 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
Harry Browne Permanent with Bitcoin Portfolio
1.00$
Initial Capital
August 2009
11.07$
Final Capital
August 2024
17.28%
Yearly Return
35.77
Std Deviation
-37.49%
Max Drawdown
29 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 Harry Browne Permanent with Bitcoin Portfolio obtained a 8.88% compound annual return, with a 8.54% 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
Permanent Portfolio with Bitcoin
Harry Browne
11.01 1.42 9.48 18.15 6.97 8.88 17.28
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).

Harry Browne Permanent with Bitcoin Portfolio: an investment of 1$, since September 2014, now would be worth 2.34$, with a total return of 134.05% (8.88% 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).

Harry Browne Permanent with Bitcoin Portfolio: an investment of 1$, since August 2009, now would be worth 11.07$, with a total return of 1006.64% (17.28% 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 Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 14.61 18.15
Infl. Adjusted Return (%) 11.92 15.38
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -4.01
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -4.01
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 1
RISK INDICATORS
Standard Deviation (%) 7.68 9.01
Sharpe Ratio 1.21 1.42
Sortino Ratio 1.64 1.85
Ulcer Index 1.33 1.58
Ratio: Return / Standard Deviation 1.90 2.02
Ratio: Return / Deepest Drawdown 4.60 4.53
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 3.57 6.97
Infl. Adjusted Return (%) -0.55 2.73
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 39
RISK INDICATORS
Standard Deviation (%) 8.62 9.25
Sharpe Ratio 0.17 0.52
Sortino Ratio 0.22 0.75
Ulcer Index 7.52 6.19
Ratio: Return / Standard Deviation 0.41 0.75
Ratio: Return / Deepest Drawdown 0.18 0.41
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 3.81 8.88
Infl. Adjusted Return (%) 0.97 5.89
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.89
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.93 8.54
Sharpe Ratio 0.34 0.87
Sortino Ratio 0.45 1.31
Ulcer Index 5.55 4.77
Ratio: Return / Standard Deviation 0.55 1.04
Ratio: Return / Deepest Drawdown 0.20 0.53
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Author Harry Browne
ASSET ALLOCATION
Stocks 40% 25%
Fixed Income 60% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.30 17.28
Infl. Adjusted Return (%) 2.69 14.37
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -37.49
Start to Recovery (months) 35 29
Longest Drawdown Depth (%) -19.40 -23.85
Start to Recovery (months) 35 45
Longest Negative Period (months) 56 46
RISK INDICATORS
Standard Deviation (%) 6.95 35.77
Sharpe Ratio 0.63 0.46
Sortino Ratio 0.83 1.37
Ulcer Index 4.73 13.27
Ratio: Return / Standard Deviation 0.76 0.48
Ratio: Return / Deepest Drawdown 0.27 0.46
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 Permanent Portfolio with Bitcoin
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-19.40 35 Sep 2021
Jul 2024
-16.89 27 Jan 2022
Mar 2024
-7.72 5 Feb 2020
Jun 2020
-6.28 14 Feb 2015
Mar 2016
-6.08 9 Aug 2016
Apr 2017
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.63 14 Feb 2018
Mar 2019
-4.27 8 Aug 2016
Mar 2017
-2.86 2 Sep 2021
Oct 2021
-2.83 4 Sep 2014
Dec 2014
-2.67 3 Sep 2020
Nov 2020
-2.61 4 Jan 2021
Apr 2021
-2.43 3 Feb 2020
Apr 2020
-2.29 2 Apr 2024
May 2024

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Developed World ex-US 40/60 Momentum Permanent Portfolio with Bitcoin
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-37.49 29 Jul 2011
Nov 2013
-23.85 45 Dec 2013
Aug 2017
-19.40 35 Sep 2021
Jul 2024
-16.89 27 Jan 2022
Mar 2024
-8.94 15 May 2011
Jul 2012
-7.72 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
-4.63 14 Feb 2018
Mar 2019
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.14 5 Dec 2009
Apr 2010
-2.86 2 Sep 2021
Oct 2021
-2.67 3 Sep 2020
Nov 2020

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 - 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 Permanent Portfolio with Bitcoin
Year Return Drawdown Return Drawdown
2024
8.83% -2.55% 11.01% -2.29%
2023
10.83% -4.47% 14.40% -5.74%
2022
-14.37% -19.07% -13.80% -16.89%
2021
1.27% -2.17% 5.48% -2.86%
2020
11.65% -7.72% 21.66% -2.67%
2019
14.52% -0.27% 17.66% -1.61%
2018
-4.03% -6.00% -3.19% -4.63%
2017
11.62% -0.20% 38.10% -1.36%
2016
2.96% -4.27% 7.85% -6.08%
2015
0.07% -5.38% -2.15% -6.28%
2014
1.57% -1.52% 8.31% -2.83%
2013
8.39% -5.17% 122.23% -23.85%
2012
12.90% -3.09% 9.90% -1.72%
2011
-0.59% -8.94% 40.38% -37.49%
2010
10.77% -4.04% 20.30% -0.51%