Developed World ex-US 40/60 Momentum vs Fulvio Marchese In Saecula Saeculorum 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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
October 2014
2.07$
Final Capital
September 2024
7.55%
Yearly Return
8.51
Std Deviation
-18.89%
Max Drawdown
26 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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
August 2009
3.49$
Final Capital
September 2024
8.60%
Yearly Return
7.93
Std Deviation
-18.89%
Max Drawdown
26 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 Fulvio Marchese In Saecula Saeculorum Portfolio obtained a 7.55% 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
In Saecula Saeculorum
Fulvio Marchese 		13.98 2.12 8.68 25.16 8.34 7.55 8.60
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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since October 2014, now would be worth 2.07$, with a total return of 107.02% (7.55% 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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since August 2009, now would be worth 3.49$, with a total return of 249.49% (8.60% 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 In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 18.55 25.16
Infl. Adjusted Return (%) 15.76 22.22
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.83
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -1.23
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 8.11
Sharpe Ratio 1.97 2.44
Sortino Ratio 2.73 3.35
Ulcer Index 0.75 0.86
Ratio: Return / Standard Deviation 2.77 3.10
Ratio: Return / Deepest Drawdown 7.27 8.88
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 3.75 8.34
Infl. Adjusted Return (%) -0.41 4.00
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.89
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -18.89
Start to Recovery (months) 35 26
Longest Negative Period (months) 48 34
RISK INDICATORS
Standard Deviation (%) 8.62 10.59
Sharpe Ratio 0.18 0.58
Sortino Ratio 0.24 0.77
Ulcer Index 7.52 6.91
Ratio: Return / Standard Deviation 0.44 0.79
Ratio: Return / Deepest Drawdown 0.19 0.44
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.05 7.55
Infl. Adjusted Return (%) 1.16 4.56
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.89
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -18.89
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 34
RISK INDICATORS
Standard Deviation (%) 6.91 8.51
Sharpe Ratio 0.37 0.71
Sortino Ratio 0.49 0.96
Ulcer Index 5.54 5.06
Ratio: Return / Standard Deviation 0.59 0.89
Ratio: Return / Deepest Drawdown 0.21 0.40
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 40% 45%
Fixed Income 60% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.33 8.60
Infl. Adjusted Return (%) 2.71 5.90
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.89
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -18.89
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 34
RISK INDICATORS
Standard Deviation (%) 6.93 7.93
Sharpe Ratio 0.63 0.96
Sortino Ratio 0.83 1.30
Ulcer Index 4.72 4.17
Ratio: Return / Standard Deviation 0.77 1.08
Ratio: Return / Deepest Drawdown 0.27 0.46
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 In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.89 26 Jan 2022
Feb 2024
-8.50 4 Feb 2020
May 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.64 6 Sep 2018
Feb 2019
-5.38 14 May 2015
Jun 2016
-4.59 13 Mar 2015
Mar 2016
-4.27 8 Aug 2016
Mar 2017
-3.35 7 Feb 2018
Aug 2018
-3.31 3 Sep 2020
Nov 2020
-3.03 2 Sep 2021
Oct 2021
-2.83 2 Apr 2024
May 2024
-2.43 7 Aug 2016
Feb 2017
-2.10 2 May 2019
Jun 2019

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Developed World ex-US 40/60 Momentum In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.89 26 Jan 2022
Feb 2024
-8.94 15 May 2011
Jul 2012
-8.50 4 Feb 2020
May 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.64 6 Sep 2018
Feb 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.77 5 Jun 2011
Oct 2011
-4.59 13 Mar 2015
Mar 2016
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-4.00 5 May 2010
Sep 2010
-3.35 7 Feb 2018
Aug 2018

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 - 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 In Saecula Saeculorum
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 13.98% -2.83%
2023
 10.83% -4.47% 15.53% -6.33%
2022
 -14.37% -19.07% -14.97% -18.89%
2021
 1.27% -2.17% 10.12% -3.03%
2020
 11.65% -7.72% 15.89% -8.50%
2019
 14.52% -0.27% 20.14% -2.10%
2018
 -4.03% -6.00% -2.76% -5.64%
2017
 11.62% -0.20% 12.42% -0.04%
2016
 2.96% -4.27% 7.79% -2.43%
2015
 0.07% -5.38% -0.75% -4.59%
2014
 1.57% -1.52% 8.52% -2.04%
2013
 8.39% -5.17% 10.73% -2.94%
2012
 12.90% -3.09% 10.41% -2.92%
2011
 -0.59% -8.94% 6.12% -4.77%
2010
 10.77% -4.04% 14.27% -4.00%