Developed World ex-US 40/60 Momentum vs Rob Arnott 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
Rob Arnott Portfolio
1.00$
Initial Capital
October 2014
1.54$
Final Capital
September 2024
4.42%
Yearly Return
7.80
Std Deviation
-17.86%
Max Drawdown
33 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
Rob Arnott Portfolio
1.00$
Initial Capital
August 2009
2.38$
Final Capital
September 2024
5.89%
Yearly Return
7.25
Std Deviation
-17.86%
Max Drawdown
33 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 Rob Arnott Portfolio obtained a 4.42% compound annual return, with a 7.80% 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
Rob Arnott Portfolio
Rob Arnott 		7.42 1.88 6.09 16.34 4.11 4.42 5.89
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).

Rob Arnott Portfolio: an investment of 1$, since October 2014, now would be worth 1.54$, with a total return of 54.08% (4.42% 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).

Rob Arnott Portfolio: an investment of 1$, since August 2009, now would be worth 2.38$, with a total return of 138.36% (5.89% 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 Rob Arnott Portfolio
Author Rob Arnott
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 18.55 16.34
Infl. Adjusted Return (%) 15.76 13.60
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.00
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -0.76
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.69 8.46
Sharpe Ratio 1.97 1.30
Sortino Ratio 2.73 1.82
Ulcer Index 0.75 1.09
Ratio: Return / Standard Deviation 2.77 1.93
Ratio: Return / Deepest Drawdown 7.27 5.45
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Rob Arnott Portfolio
Author Rob Arnott
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 3.75 4.11
Infl. Adjusted Return (%) -0.41 -0.06
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.86
Start to Recovery (months) 35 33*
Longest Drawdown Depth (%) -19.40 -17.86
Start to Recovery (months) 35 33*
Longest Negative Period (months) 48 45
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.62 9.79
Sharpe Ratio 0.18 0.20
Sortino Ratio 0.24 0.26
Ulcer Index 7.52 7.63
Ratio: Return / Standard Deviation 0.44 0.42
Ratio: Return / Deepest Drawdown 0.19 0.23
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Rob Arnott Portfolio
Author Rob Arnott
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.05 4.42
Infl. Adjusted Return (%) 1.16 1.52
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.86
Start to Recovery (months) 35 33*
Longest Drawdown Depth (%) -19.40 -17.86
Start to Recovery (months) 35 33*
Longest Negative Period (months) 56 45
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.91 7.80
Sharpe Ratio 0.37 0.38
Sortino Ratio 0.49 0.50
Ulcer Index 5.54 5.66
Ratio: Return / Standard Deviation 0.59 0.57
Ratio: Return / Deepest Drawdown 0.21 0.25
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Rob Arnott Portfolio
Author Rob Arnott
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.33 5.89
Infl. Adjusted Return (%) 2.71 3.26
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.86
Start to Recovery (months) 35 33*
Longest Drawdown Depth (%) -19.40 -17.86
Start to Recovery (months) 35 33*
Longest Negative Period (months) 56 45
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.93 7.25
Sharpe Ratio 0.63 0.68
Sortino Ratio 0.83 0.90
Ulcer Index 4.72 4.70
Ratio: Return / Standard Deviation 0.77 0.81
Ratio: Return / Deepest Drawdown 0.27 0.33
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 Rob Arnott Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.86 33* Jan 2022
In progress
-8.72 6 Feb 2020
Jul 2020
-7.72 5 Feb 2020
Jun 2020
-6.23 16 Mar 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.84 6 Sep 2018
Feb 2019
-4.27 8 Aug 2016
Mar 2017
-3.86 10 Aug 2016
May 2017
-2.77 7 Feb 2018
Aug 2018
-2.41 3 Sep 2020
Nov 2020
-1.71 2 Sep 2021
Oct 2021
-1.62 5 Jan 2021
May 2021
-1.46 2 Nov 2021
Dec 2021

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Developed World ex-US 40/60 Momentum Rob Arnott Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.86 33* Jan 2022
In progress
-8.94 15 May 2011
Jul 2012
-8.72 6 Feb 2020
Jul 2020
-7.72 5 Feb 2020
Jun 2020
-6.23 16 Mar 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.66 10 May 2013
Feb 2014
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.84 6 Sep 2018
Feb 2019
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.86 10 Aug 2016
May 2017
-3.51 3 Aug 2011
Oct 2011

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 Rob Arnott Portfolio
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 7.42% -3.00%
2023
 10.83% -4.47% 9.08% -7.06%
2022
 -14.37% -19.07% -14.81% -17.86%
2021
 1.27% -2.17% 11.04% -1.71%
2020
 11.65% -7.72% 7.98% -8.72%
2019
 14.52% -0.27% 16.67% -0.49%
2018
 -4.03% -6.00% -4.12% -4.84%
2017
 11.62% -0.20% 9.02% -0.37%
2016
 2.96% -4.27% 7.14% -3.86%
2015
 0.07% -5.38% -3.26% -5.73%
2014
 1.57% -1.52% 7.59% -2.79%
2013
 8.39% -5.17% 1.41% -5.66%
2012
 12.90% -3.09% 10.55% -2.17%
2011
 -0.59% -8.94% 7.73% -3.51%
2010
 10.77% -4.04% 11.89% -2.99%