Developed World ex-US 40/60 Momentum vs Stocks/Bonds 40/60 Momentum 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
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.89$
Final Capital
September 2024
6.59%
Yearly Return
8.02
Std Deviation
-21.11%
Max Drawdown
35 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
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
3.06$
Final Capital
September 2024
7.66%
Yearly Return
7.19
Std Deviation
-21.11%
Max Drawdown
35 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 Stocks/Bonds 40/60 Momentum Portfolio obtained a 6.59% compound annual return, with a 8.02% 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
Stocks/Bonds 40/60 Momentum 14.66 2.05 6.77 24.94 5.31 6.59 7.66
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).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.89$, with a total return of 89.34% (6.59% 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).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 3.06$, with a total return of 206.25% (7.66% 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 Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.55 24.94
Infl. Adjusted Return (%) 15.76 22.00
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.77
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -3.77
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 8.71
Sharpe Ratio 1.97 2.25
Sortino Ratio 2.73 2.87
Ulcer Index 0.75 1.14
Ratio: Return / Standard Deviation 2.77 2.86
Ratio: Return / Deepest Drawdown 7.27 6.62
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.75 5.31
Infl. Adjusted Return (%) -0.41 1.09
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -21.11
Start to Recovery (months) 35 35
Longest Drawdown Depth (%) -19.40 -21.11
Start to Recovery (months) 35 35
Longest Negative Period (months) 48 46
RISK INDICATORS
Standard Deviation (%) 8.62 10.06
Sharpe Ratio 0.18 0.31
Sortino Ratio 0.24 0.42
Ulcer Index 7.52 10.18
Ratio: Return / Standard Deviation 0.44 0.53
Ratio: Return / Deepest Drawdown 0.19 0.25
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.05 6.59
Infl. Adjusted Return (%) 1.16 3.63
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -21.11
Start to Recovery (months) 35 35
Longest Drawdown Depth (%) -19.40 -21.11
Start to Recovery (months) 35 35
Longest Negative Period (months) 56 46
RISK INDICATORS
Standard Deviation (%) 6.91 8.02
Sharpe Ratio 0.37 0.64
Sortino Ratio 0.49 0.84
Ulcer Index 5.54 7.31
Ratio: Return / Standard Deviation 0.59 0.82
Ratio: Return / Deepest Drawdown 0.21 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.33 7.66
Infl. Adjusted Return (%) 2.71 4.98
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -21.11
Start to Recovery (months) 35 35
Longest Drawdown Depth (%) -19.40 -21.11
Start to Recovery (months) 35 35
Longest Negative Period (months) 56 46
RISK INDICATORS
Standard Deviation (%) 6.93 7.19
Sharpe Ratio 0.63 0.93
Sortino Ratio 0.83 1.23
Ulcer Index 4.72 5.97
Ratio: Return / Standard Deviation 0.77 1.07
Ratio: Return / Deepest Drawdown 0.27 0.36
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 Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-21.11 35 Nov 2021
Sep 2024
-19.40 35 Sep 2021
Jul 2024
-7.72 5 Feb 2020
Jun 2020
-7.10 4 Feb 2020
May 2020
-6.00 14 Feb 2018
Mar 2019
-5.89 6 Oct 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.77 3 Sep 2020
Nov 2020
-3.61 7 Aug 2016
Feb 2017
-2.95 8 Aug 2015
Mar 2016
-2.55 7 Feb 2018
Aug 2018
-2.38 3 Feb 2021
Apr 2021
-2.07 2 Sep 2021
Oct 2021
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-21.11 35 Nov 2021
Sep 2024
-19.40 35 Sep 2021
Jul 2024
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.10 4 Feb 2020
May 2020
-6.00 14 Feb 2018
Mar 2019
-5.89 6 Oct 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.77 3 Sep 2020
Nov 2020
-3.62 5 Jun 2011
Oct 2011
-3.61 7 Aug 2016
Feb 2017
-3.48 5 May 2010
Sep 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 Stocks/Bonds 40/60 Momentum
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 14.66% -3.77%
2023
 10.83% -4.47% 6.90% -5.19%
2022
 -14.37% -19.07% -15.17% -19.48%
2021
 1.27% -2.17% 4.23% -2.38%
2020
 11.65% -7.72% 16.57% -7.10%
2019
 14.52% -0.27% 16.20% -0.81%
2018
 -4.03% -6.00% -0.73% -5.89%
2017
 11.62% -0.20% 17.14% 0.00%
2016
 2.96% -4.27% 3.51% -3.61%
2015
 0.07% -5.38% 3.91% -2.95%
2014
 1.57% -1.52% 9.34% -1.49%
2013
 8.39% -5.17% 12.57% -1.74%
2012
 12.90% -3.09% 7.87% -2.05%
2011
 -0.59% -8.94% 7.13% -3.62%
2010
 10.77% -4.04% 10.93% -3.48%