Developed World ex-US 40/60 Momentum vs Davide Pisicchio PISI 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
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
September 2014
1.68$
Final Capital
August 2024
5.33%
Yearly Return
7.23
Std Deviation
-18.36%
Max Drawdown
31 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
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
August 2009
2.70$
Final Capital
August 2024
6.81%
Yearly Return
6.60
Std Deviation
-18.36%
Max Drawdown
31 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 Davide Pisicchio PISI Portfolio obtained a 5.33% compound annual return, with a 7.23% 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
PISI Portfolio
Davide Pisicchio 		9.24 1.73 8.58 14.60 5.06 5.33 6.81
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).

Davide Pisicchio PISI Portfolio: an investment of 1$, since September 2014, now would be worth 1.68$, with a total return of 68.13% (5.33% 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).

Davide Pisicchio PISI Portfolio: an investment of 1$, since August 2009, now would be worth 2.70$, with a total return of 170.20% (6.81% 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 PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 14.61 14.60
Infl. Adjusted Return (%) 11.92 11.92
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -5.14
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -5.14
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 3
RISK INDICATORS
Standard Deviation (%) 7.68 9.54
Sharpe Ratio 1.21 0.97
Sortino Ratio 1.64 1.31
Ulcer Index 1.33 1.96
Ratio: Return / Standard Deviation 1.90 1.53
Ratio: Return / Deepest Drawdown 4.60 2.84
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 3.57 5.06
Infl. Adjusted Return (%) -0.55 0.89
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.36
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.36
Start to Recovery (months) 35 31
Longest Negative Period (months) 48 41
RISK INDICATORS
Standard Deviation (%) 8.62 9.06
Sharpe Ratio 0.17 0.32
Sortino Ratio 0.22 0.44
Ulcer Index 7.52 7.36
Ratio: Return / Standard Deviation 0.41 0.56
Ratio: Return / Deepest Drawdown 0.18 0.28
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 3.81 5.33
Infl. Adjusted Return (%) 0.97 2.45
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.36
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.36
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 41
RISK INDICATORS
Standard Deviation (%) 6.93 7.23
Sharpe Ratio 0.34 0.54
Sortino Ratio 0.45 0.74
Ulcer Index 5.55 5.34
Ratio: Return / Standard Deviation 0.55 0.74
Ratio: Return / Deepest Drawdown 0.20 0.29
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.30 6.81
Infl. Adjusted Return (%) 2.69 4.16
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.36
Start to Recovery (months) 35 31
Longest Drawdown Depth (%) -19.40 -18.36
Start to Recovery (months) 35 31
Longest Negative Period (months) 56 41
RISK INDICATORS
Standard Deviation (%) 6.95 6.60
Sharpe Ratio 0.63 0.89
Sortino Ratio 0.83 1.21
Ulcer Index 4.73 4.40
Ratio: Return / Standard Deviation 0.76 1.03
Ratio: Return / Deepest Drawdown 0.27 0.37
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 PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.36 31 Jan 2022
Jul 2024
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.39 9 Aug 2016
Apr 2017
-4.27 8 Aug 2016
Mar 2017
-3.27 3 Feb 2020
Apr 2020
-3.27 14 Feb 2015
Mar 2016
-3.17 5 Sep 2018
Jan 2019
-2.74 3 Sep 2020
Nov 2020
-2.73 4 Sep 2021
Dec 2021
-2.72 7 Feb 2018
Aug 2018
-2.48 4 Jan 2021
Apr 2021
-1.94 3 Sep 2014
Nov 2014

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Developed World ex-US 40/60 Momentum PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.36 31 Jan 2022
Jul 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
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.27 3 Feb 2020
Apr 2020
-3.27 14 Feb 2015
Mar 2016
-3.17 5 Sep 2018
Jan 2019
-2.74 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 PISI Portfolio
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 9.24% -2.89%
2023
 10.83% -4.47% 11.85% -6.31%
2022
 -14.37% -19.07% -15.32% -18.36%
2021
 1.27% -2.17% 5.44% -2.73%
2020
 11.65% -7.72% 14.89% -3.27%
2019
 14.52% -0.27% 16.74% -0.45%
2018
 -4.03% -6.00% -1.64% -3.17%
2017
 11.62% -0.20% 9.63% -0.31%
2016
 2.96% -4.27% 5.77% -4.39%
2015
 0.07% -5.38% -0.33% -3.27%
2014
 1.57% -1.52% 8.90% -1.94%
2013
 8.39% -5.17% 3.96% -4.45%
2012
 12.90% -3.09% 8.48% -1.19%
2011
 -0.59% -8.94% 10.04% -2.16%
2010
 10.77% -4.04% 13.77% -0.81%