1 July 1994 – 20 November 2024
Performance
- Annualized Return
-
10.3%
- Sharpe Ratio
-
0.66
- Maximum Drawdown
-
-40.13%
Metrics
| Metric | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Initial Balance | $10,000 |
| Final Balance | $196,863 |
| Returns [View more details] | |
| Month-To-Date | 2.03% |
| Year-To-Date | 21.54% |
| 3M | 3.68% |
| 6M | 8.01% |
| Annualized Return (3Y) | 2.84% |
| Annualized Return (5Y) | 8.14% |
| Annualized Return (All) | 10.3% |
| Risk [View more details] | |
| Annual Volatility | 16.85% |
| Max Drawdown | -40.13% |
| Sharpe Ratio | 0.66 |
| Sortino Ratio | 1.16 |
| Adjusted Sortino (S/√2) | 0.82 |
- Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on July 1994.
- Final balance: The amount of capital we've accrued over time as of November 2024.
- Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 30 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
- Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
- Best year: The best performance attained over its lifetime in a given year.
- Worst year: The worst performance undergone over its lifetime in a given year.
- Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
- Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
- Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
- Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
- Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
- Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.
Annualized Returns
| Annual Return 1y | Annual Return 3y | Annual Return 5y | Annual Return 10y | Annual Return 20y | Annual Return | |
|---|---|---|---|---|---|---|
| US Stocks/Bonds 60/40 Momentum Portfolio | 26.7 | 2.84 | 8.14 | 9.05 | 8.75 | 10.3 |
Annual Returns
| Year | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| 1994 | 2.4% |
| 1995 | 32.81% |
| 1996 | 19.46% |
| 1997 | 26.05% |
| 1998 | 32.86% |
| 1999 | 24.1% |
| 2000 | -1.06% |
| 2001 | -6.98% |
| 2002 | -3.92% |
| 2003 | 17.18% |
| 2004 | 11.63% |
| 2005 | 12.49% |
| 2006 | 8.01% |
| 2007 | 13.32% |
| 2008 | -21.4% |
| 2009 | 11.68% |
| 2010 | 13.47% |
| 2011 | 6.74% |
| 2012 | 10.56% |
| 2013 | 20.08% |
| 2014 | 11.21% |
| 2015 | 5.77% |
| 2016 | 4.04% |
| 2017 | 24.09% |
| 2018 | -0.83% |
| 2019 | 20.24% |
| 2020 | 20.77% |
| 2021 | 7.01% |
| 2022 | -15.62% |
| 2023 | 8.04% |
| 2024 | 21.54% |
US Stocks/Bonds 60/40 Momentum Portfolio had 25 positive years and 6 negative years. That's a positive ratio of 81%.
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1994 | - | - | - | - | - | - | 2.6% | 2.9% | -2.4% | 1.1% | -3.1% | 1.4% | 2.4% |
| 1995 | 1.5% | 3.4% | 3% | 3.2% | 3.8% | 2.6% | 2.1% | 0.1% | 3.4% | 2.3% | 2.3% | 1.1% | 32.8% |
| 1996 | 3.2% | 0.4% | -0.4% | 1% | 2.5% | 1.4% | -2.4% | 1.6% | 4.9% | 2.8% | 5.3% | -2% | 19.5% |
| 1997 | 5.6% | 0.2% | -3.8% | 6.7% | 3.5% | 3.9% | 6.5% | -5.3% | 4.1% | -1.4% | 2.6% | 1.5% | 26.1% |
| 1998 | 2.1% | 3.8% | 4.3% | 2.8% | -1.2% | 5.2% | 1.1% | -9.6% | 3.7% | 5.5% | 5.4% | 6.8% | 32.9% |
| 1999 | 2.9% | -2.2% | 3.7% | 0.3% | -0.3% | 3% | -2.3% | -0.3% | 0.3% | 5.3% | 2.7% | 9.2% | 24.1% |
| 2000 | -4.2% | 2.5% | 6.1% | -3.4% | -3.7% | 4.4% | -0.7% | 5.3% | -5.2% | -2.3% | -1.6% | 2.6% | -1.1% |
| 2001 | -1.7% | -4.4% | -4.1% | 3.8% | 0.4% | -1.7% | 0.9% | -0.9% | -3% | 0.6% | 2.7% | 0.6% | -7% |
| 2002 | 1.1% | 1% | -0.6% | 2.9% | 0.4% | -3% | -3.4% | 1.5% | -3.1% | 0.3% | -0.7% | -0.1% | -3.9% |
| 2003 | -1.1% | 0.1% | 0.6% | 4% | 3.6% | 1% | 0.4% | 1.1% | 0.4% | 3.6% | 0.8% | 1.8% | 17.2% |
| 2004 | 1.7% | 1.3% | -0% | -3.8% | -0.2% | 3.7% | -2.7% | 1.1% | 3.5% | 0.8% | 4.4% | 1.6% | 11.6% |
| 2005 | -1% | 3.4% | -1% | -1.7% | 2.6% | 2.6% | 2.1% | 1.5% | 2.2% | -2.3% | 2.1% | 1.5% | 12.5% |
| 2006 | 3.9% | -2.3% | 0.8% | 0.7% | -2.6% | 0.5% | -1.4% | 0.2% | 1.6% | 3.2% | 2.9% | 0.6% | 8% |
| 2007 | 2.3% | -1.2% | 1.3% | 2.5% | 1.9% | -1.9% | -1.6% | 1.3% | 4.5% | 3.1% | -1.4% | 1.9% | 13.3% |
| 2008 | -6% | -0.3% | -0.2% | 4.9% | 1.8% | -0.9% | -5.3% | -0.1% | -9.5% | -8.7% | -2.6% | 4.3% | -21.4% |
| 2009 | -6.3% | -6.2% | 4% | 3.5% | 2.9% | 1.6% | 4.4% | 1.2% | 2.8% | -1.7% | 4.6% | 1.1% | 11.7% |
| 2010 | -3.3% | 2.9% | 4.4% | 0.7% | 0.4% | -6.5% | 4.8% | -2% | 5.9% | 3% | 0.8% | 2.3% | 13.5% |
| 2011 | 0.3% | 2.5% | 1.2% | 3% | 0.2% | -0.6% | -0.5% | -2.9% | -2.6% | 4.8% | 0.1% | 1.3% | 6.7% |
| 2012 | 1.5% | 3.1% | 2.4% | 1.5% | -2.5% | 1.9% | 1.3% | 0.9% | 1.2% | -1.5% | 1.2% | -0.7% | 10.6% |
| 2013 | 2.4% | 1.5% | 0% | 5.3% | -0.8% | -1.2% | 4.1% | -2.5% | 2.4% | 3.7% | 1.9% | 1.8% | 20.1% |
| 2014 | -0.7% | 4.1% | -2.1% | -0.2% | 2.9% | 1.2% | -0.8% | 3.3% | -0.6% | 1.8% | 2.6% | -0.6% | 11.2% |
| 2015 | 0.5% | 2.9% | -0.6% | -0.7% | 1.8% | -0.6% | 2.7% | -3.8% | -0.9% | 4.4% | 0.2% | -0.1% | 5.8% |
| 2016 | -1.7% | -0.4% | 3.4% | -0.3% | 1.5% | 2.6% | 1.8% | -1% | 0.3% | -1.5% | -1.4% | 0.8% | 4% |
| 2017 | 2.1% | 2.5% | 1.3% | 1.9% | 3.3% | 0.3% | 2.3% | 1.3% | 1.6% | 3.3% | 1.8% | 0.2% | 24.1% |
| 2018 | 4.5% | -1.3% | 0.3% | -2.2% | 2.4% | -0.1% | 1.2% | 3.9% | 0.4% | -6.5% | 1.2% | -4% | -0.8% |
| 2019 | 4.4% | 2.2% | 2.1% | 1.4% | -0.7% | 4.3% | 1.2% | 1.2% | -1% | 0.5% | 2.1% | 1.1% | 20.2% |
| 2020 | 3% | -3.8% | -6.9% | 7.3% | 3.7% | 2.8% | 4.6% | 5.6% | -2.5% | -2.8% | 6.8% | 2.3% | 20.8% |
| 2021 | 0.7% | -1% | -1.2% | 4.6% | -0.9% | 1.5% | 1% | 2.5% | -2.5% | 5.4% | -2.5% | -0.5% | 7% |
| 2022 | -6.2% | -2% | 1.5% | -9% | 0.5% | -4.4% | 4% | -2.4% | -5.2% | 6.5% | 3.7% | -2.6% | -15.6% |
| 2023 | 1% | -3.4% | 1.3% | 1.7% | -3.3% | 3.9% | 1% | -0.1% | -3.9% | -1.6% | 7.5% | 4.4% | 8% |
| 2024 | 3.3% | 5.8% | 2.9% | -4% | 3.7% | 2.9% | -0.6% | 2.5% | 2.4% | -0.9% | 2% | - | 21.5% |
| Pos | 66.7% | 60% | 63.3% | 70% | 66.7% | 66.7% | 64.5% | 61.3% | 58.1% | 64.5% | 77.4% | 73.3% | 80.6% |
| Avg | 0.5% | 0.5% | 0.8% | 1.3% | 0.9% | 1% | 0.9% | 0.3% | 0.1% | 1% | 1.8% | 1.3% | 10.8% |
Other Return Metrics
| Metric | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Cumulative Return | 1868.63% |
| Enh Ann Return | 11.18% |
| Best Year | 32.86% |
| Worst Year | -21.4% |
| Best Month | 9.21% |
| Worst Month | -9.61% |
| Best Day | 60.25% |
| Worst Day | -36.84% |
| Win Ratio (Yearly) | 80.65% |
| Win Ratio (Quarterly) | 75.41% |
| Win Ratio (Monthly) | 66.03% |
| Win Ratio (Daily) | 53.18% |
Annual Volatility
| Annual Volatility 1y | Annual Volatility 3y | Annual Volatility 5y | Annual Volatility 10y | Annual Volatility 20y | Annual Volatility | |
|---|---|---|---|---|---|---|
| US Stocks/Bonds 60/40 Momentum Portfolio | 71.77 | 42.79 | 34.95 | 25.3 | 19.23 | 16.85 |
Sharpe Ratio
| Sharpe Ratio 1y | Sharpe Ratio 3y | Sharpe Ratio 5y | Sharpe Ratio 10y | Sharpe Ratio 20y | Sharpe Ratio | |
|---|---|---|---|---|---|---|
| US Stocks/Bonds 60/40 Momentum Portfolio | 0.65 | 0.26 | 0.38 | 0.46 | 0.53 | 0.66 |
3-Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.
Drawdown Periods
Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.
US Stocks/Bonds 60/40 Momentum Portfolio
| Start | Valley | End | Days | Drawdown |
|---|---|---|---|---|
| 2024-07-17 | 2024-09-09 | 2024-09-19 | 64 | -40.13% |
| 2008-01-23 | 2009-03-09 | 2011-02-28 | 1132 | -31.63% |
| 2021-11-09 | 2022-09-27 | 2024-06-12 | 946 | -24.66% |
| 2020-02-20 | 2020-03-23 | 2020-07-01 | 132 | -21.37% |
| 2000-09-06 | 2003-03-21 | 2004-02-27 | 1269 | -18% |
The US Stocks/Bonds 60/40 Momentum Portfolio took approximately 24 months on average to recover from a major drawdown. The longest drawdown lasted 42 months.
Underwater plot
The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.
Other Risk Metrics
| Metric | US Stocks/Bonds 60/40 Momentum Portfolio |
|---|---|
| Sharpe Ratio | 0.66 |
| Sortino Ratio | 1.16 |
| Adjusted Sortino (S/√2) | 0.82 |
| Calmar Ratio | 0.26 |
| Omega Ratio | 1.39 |
| Gain to Pain Ratio | 0.39 |
| Ulcer Index | 0.08 |
| Kelly Criterion | 14.96% |
| Skew | 18.51 |
| Kurtosis | 1548.3 |
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