Data Source: from January 1982 to October 2022 (~41 years)
Consolidated Returns as of 31 October 2022
Live Update: Nov 29 2022, 02:59PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.03%
1 Day
Nov 29 2022, 02:59PM Eastern Time
1.60%
Current Month
November 2022

The US Stocks Momentum Portfolio is a Very High Risk portfolio and can be implemented with 1 ETF.

It's exposed for 100% on the Stock Market.

In the last 30 Years, the US Stocks Momentum Portfolio obtained a 12.44% compound annual return, with a 15.06% standard deviation.

Asset Allocation and ETFs

The US Stocks Momentum Portfolio has the following asset allocation:

100% Stocks
0% Fixed Income
0% Commodities

The US Stocks Momentum Portfolio can be implemented with the following ETFs:

Weight Ticker ETF Name Investment Themes
100.00 %
MTUM iShares Edge MSCI USA Momentum Fctr Equity, U.S., Large Cap, Growth
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of Oct 31, 2022

The US Stocks Momentum Portfolio guaranteed the following returns.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends
US STOCKS MOMENTUM PORTFOLIO RETURNS
Consolidated returns as of 31 October 2022
Live Update: Nov 29 2022, 02:59PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%)
Return (%) as of Oct 31, 2022
  1 Day Time ET(*) Nov 2022 1M 6M 1Y 5Y 10Y 30Y MAX
(~41Y)
US Stocks Momentum Portfolio 0.03 1.60 12.55 1.53 -21.40 9.29 14.05 12.44 13.56
US Inflation Adjusted return 12.09 -1.50 -27.05 5.23 11.20 9.69 10.40
Components
MTUM
iShares Edge MSCI USA Momentum Fctr
0.03 02:59PM
Nov 29 2022
1.60 12.55 1.53 -21.40 9.29 14.05 12.44 13.56
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) Eastern Time (ET - America/New York)

US Inflation is updated to Oct 2022. Current inflation (annualized) is 1Y: 7.75% , 5Y: 3.85% , 10Y: 2.57% , 30Y: 2.51%

Portfolio Metrics as of Oct 31, 2022

Metrics of US Stocks Momentum Portfolio, updated as of 31 October 2022.

Portfolio metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends
US STOCKS MOMENTUM PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1982 - 31 October 2022 (~41 years)
Swipe left to see all data
Metrics as of Oct 31, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~41Y)
Portfolio
Return (%)
12.55 3.74 1.53 -21.40 8.34 9.29 14.05 11.30 12.44 13.56
US Inflation (%) 0.41 0.59 3.08 7.75 5.01 3.85 2.57 2.52 2.51 2.87
Infl. Adjusted
Return (%)
12.09 3.14 -1.50 -27.05 3.16 5.23 11.20 8.56 9.69 10.40
Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 22.70 21.50 18.82 15.00 15.06 15.06 15.36
Sharpe Ratio -0.97 0.37 0.44 0.90 0.68 0.68 0.62
Sortino Ratio -1.50 0.51 0.60 1.21 0.89 0.90 0.83
MAXIMUM DRAWDOWN
Drawdown Depth (%) -30.16 -30.16 -30.16 -30.16 -53.85 -53.85 -53.85
Start (yyyy mm) 2021 11 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Bottom (yyyy mm) 2022 09 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Start to Bottom (# months) 11 11 11 11 16 16 16
Start to Recovery (# months) in progress
> 12
> 12
> 12
> 12
63
63
63
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 59.99 42.50 39.50 24.93 17.82 14.18
Worst Return (%) -47.72 -15.43 -3.82 -0.39 6.83 12.00
% Positive Periods 82% 87% 95% 99% 100% 100%
MONTHS
Positive 1 1 2 3 19 36 75 152 229 313
Negative 0 2 4 9 17 24 45 88 131 177
% Positive 100% 33% 33% 25% 53% 60% 63% 63% 64% 64%
WITHDRAWAL RATES (WR)
Safe WR (%) 41.72 24.90 18.57 10.01 11.84 13.59
Perpetual WR (%) 3.07 4.97 10.07 7.89 8.84 9.42
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Portfolio Dividends

In 2021, the US Stocks Momentum Portfolio granted a 0.62% dividend yield. If you are interested in getting periodic income, please refer to the US Stocks Momentum Portfolio: Dividend Yield page.

Capital Growth as of Oct 31, 2022

An investment of 1000$, since November 1992, now would be worth 33714.78$, with a total return of 3271.48% (12.44% annualized).

The Inflation Adjusted Capital now would be 16042.16$, with a net total return of 1504.22% (9.69% annualized).
An investment of 1000$, since January 1982, now would be worth 180173.56$, with a total return of 17917.36% (13.56% annualized).

The Inflation Adjusted Capital now would be 56830.98$, with a net total return of 5583.10% (10.40% annualized).

Drawdowns

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-53.85% Nov 2007 Feb 2009 16 Jan 2013 47 63
-43.19% Sep 2000 Sep 2002 25 Jul 2005 34 59
-30.16% Nov 2021 Sep 2022 11 in progress 1 12
-17.90% Feb 2020 Mar 2020 2 Jun 2020 3 5
-15.44% Oct 2018 Dec 2018 3 Jun 2019 6 9
-11.51% Aug 1998 Aug 1998 1 Oct 1998 2 3
-7.82% Sep 2020 Oct 2020 2 Nov 2020 1 3
-7.78% Aug 2015 Sep 2015 2 May 2016 8 10
-7.23% Feb 1994 Jun 1994 5 Feb 1995 8 13
-6.40% Jan 2000 Feb 2000 2 Mar 2000 1 3
-5.01% Apr 2000 May 2000 2 Aug 2000 3 5
-4.89% Aug 1997 Aug 1997 1 Nov 1997 3 4
-4.85% Feb 2018 Mar 2018 2 Jul 2018 4 6
-4.38% Mar 2014 Apr 2014 2 Jun 2014 2 4
-4.13% Mar 1997 Mar 1997 1 Apr 1997 1 2
-3.81% Jul 1996 Jul 1996 1 Sep 1996 2 3
-3.64% May 2006 Jun 2006 2 Sep 2006 3 5
-3.50% Aug 2016 Nov 2016 4 Jan 2017 2 6
-3.47% Sep 2021 Sep 2021 1 Oct 2021 1 2
-2.81% Aug 2013 Aug 2013 1 Sep 2013 1 2
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-53.85% Nov 2007 Feb 2009 16 Jan 2013 47 63
-43.19% Sep 2000 Sep 2002 25 Jul 2005 34 59
-30.55% Sep 1987 Nov 1987 3 Jul 1989 20 23
-30.16% Nov 2021 Sep 2022 11 in progress 1 12
-17.90% Feb 2020 Mar 2020 2 Jun 2020 3 5
-15.44% Oct 2018 Dec 2018 3 Jun 2019 6 9
-12.56% Jun 1990 Sep 1990 4 Jan 1991 4 8
-12.00% Jul 1983 Jul 1984 13 Jan 1985 6 19
-11.51% Aug 1998 Aug 1998 1 Oct 1998 2 3
-7.82% Sep 2020 Oct 2020 2 Nov 2020 1 3
-7.79% Sep 1986 Sep 1986 1 Nov 1986 2 3
-7.78% Aug 2015 Sep 2015 2 May 2016 8 10
-7.23% Feb 1994 Jun 1994 5 Feb 1995 8 13
-6.40% Jan 2000 Feb 2000 2 Mar 2000 1 3
-6.32% Jan 1990 Jan 1990 1 May 1990 4 5
-5.32% Jul 1986 Jul 1986 1 Aug 1986 1 2
-5.01% Apr 2000 May 2000 2 Aug 2000 3 5
-4.93% Jan 1982 Feb 1982 2 Aug 1982 6 8
-4.89% Aug 1997 Aug 1997 1 Nov 1997 3 4
-4.85% Feb 2018 Mar 2018 2 Jul 2018 4 6

Rolling Returns ( more details)

US Stocks Momentum Portfolio: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
15.59 59.99
Jul 1982 - Jun 1983
-47.72
Mar 2008 - Feb 2009
17.54%
2 Years
14.79 46.81
Apr 1997 - Mar 1999
-25.84
Mar 2007 - Feb 2009
11.99%
3 Years
14.48 42.50
Aug 1996 - Jul 1999
-15.43
Mar 2006 - Feb 2009
12.97%
5 Years
14.09 39.50
Jan 1995 - Dec 1999
-3.82
Mar 2004 - Feb 2009
4.64%
7 Years
13.72 28.91
Jan 1993 - Dec 1999
-0.57
Mar 2002 - Feb 2009
0.49%
10 Years
13.48 24.93
Sep 1990 - Aug 2000
-0.39
Mar 1999 - Feb 2009
1.08%
15 Years
13.03 22.80
Jan 1985 - Dec 1999
5.61
Sep 2000 - Aug 2015
0.00%
20 Years
12.50 17.82
Apr 1982 - Mar 2002
6.83
Apr 2000 - Mar 2020
0.00%
30 Years
13.23 14.18
Sep 1988 - Aug 2018
12.00
Oct 1992 - Sep 2022
0.00%
(*) Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the US Stocks Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in US Stocks Momentum Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
2.20
80%
-1.70
20%
-1.86
40%
1.77
80%
1.09
40%
1.17
60%
3.33
100%
3.55
80%
-2.69
20%
1.55
60%
2.84
80%
-0.55
60%
 Capital Growth on monthly avg returns
100
102.20
100.46
98.59
100.33
101.43
102.61
106.03
109.79
106.84
108.50
111.58
110.97
Best 8.2
2018
3.4
2019
4.8
2022
11.7
2020
5.9
2020
6.1
2019
7.0
2020
9.5
2020
0.9
2018
12.5
2022
10.6
2020
3.4
2020
Worst -9.0
2022
-7.2
2020
-11.5
2020
-12.7
2022
-2.2
2019
-6.4
2022
0.9
2021
-2.0
2022
-5.9
2022
-9.9
2018
-3.9
2021
-7.5
2018
Monthly Seasonality over the period Nov 2017 - Oct 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.26
60%
0.76
50%
-0.24
50%
1.08
60%
2.26
70%
0.97
60%
3.09
90%
1.35
60%
-0.94
40%
2.52
70%
2.14
80%
0.09
60%
 Capital Growth on monthly avg returns
100
101.26
102.03
101.78
102.89
105.21
106.24
109.51
110.99
109.95
112.72
115.13
115.24
Best 8.2
2018
6.7
2014
5.3
2016
11.7
2020
5.9
2020
6.1
2019
7.0
2020
9.5
2020
3.3
2013
12.5
2022
10.6
2020
3.4
2020
Worst -9.0
2022
-7.2
2020
-11.5
2020
-12.7
2022
-2.2
2019
-6.4
2022
-1.0
2014
-6.0
2015
-5.9
2022
-9.9
2018
-3.9
2021
-7.5
2018
Monthly Seasonality over the period Nov 2012 - Oct 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.49
63%
0.64
59%
1.23
68%
1.86
66%
1.57
66%
0.57
59%
1.31
59%
0.99
68%
-0.47
49%
1.44
66%
1.72
70%
1.65
75%
 Capital Growth on monthly avg returns
100
101.49
102.15
103.40
105.32
106.98
107.58
108.99
110.07
109.56
111.13
113.05
114.91
Best 13.1
1987
8.4
1998
9.7
2000
11.7
2020
10.0
1990
6.6
1999
9.4
1989
12.5
1982
9.0
2010
12.5
2022
10.6
2020
11.3
1991
Worst -9.0
2022
-11.7
2009
-11.5
2020
-12.7
2022
-7.6
2010
-8.9
2008
-6.6
2002
-11.5
1998
-10.1
2008
-22.2
1987
-8.5
1987
-7.5
2018
Monthly Seasonality over the period Jan 1982 - Oct 2022

Monthly/Yearly Returns

US Stocks Momentum Portfolio data source starts from January 1982: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1982 - Oct 2022
313 Positive Months (64%) - 177 Negative Months (36%)
MONTHLY RETURNS TABLE
Jan 1982 - Oct 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2022
-17.77 -23.07 -9.0 -2.7 4.8 -12.7 -0.6 -6.4 5.2 -2.0 -5.9 12.5
2021
+13.37 +5.91 1.6 -0.6 -1.2 7.1 -1.1 1.9 0.9 4.1 -3.5 8.6 -3.9 -0.5
2020
+29.85 +28.10 3.7 -7.2 -11.5 11.7 5.9 4.3 7.0 9.5 -3.8 -4.2 10.6 3.4
2019
+27.26 +24.41 6.5 3.4 2.1 2.3 -2.2 6.1 1.8 0.3 -1.1 0.6 3.3 1.7
2018
-1.66 -3.50 8.2 -1.5 -3.4 0.5 3.4 -0.1 1.8 5.9 0.9 -9.9 1.4 -7.5
2017
+37.50 +34.66 3.2 3.8 2.1 2.6 4.8 0.3 3.5 1.5 2.8 5.0 2.8 0.1
2016
+5.00 +2.87 -3.8 -1.3 5.3 -0.6 2.5 3.0 2.7 -1.5 0.5 -1.9 -0.6 1.1
2015
+8.93 +8.14 -0.7 5.4 -1.0 -1.0 3.4 -0.3 3.8 -6.0 -1.9 7.3 0.5 -0.1
2014
+14.61 +13.75 -2.3 6.7 -3.4 -1.0 4.1 2.1 -1.0 4.6 -0.7 2.3 3.8 -0.8
2013
+34.58 +32.59 5.3 1.5 4.0 2.1 2.5 -1.2 5.3 -2.8 3.3 4.7 3.1 2.7
2012
+14.94 +12.97 4.6 4.3 3.1 -0.8 -6.1 4.0 1.1 2.4 2.5 -1.9 0.5 0.8
2011
+5.93 +2.89 2.7 3.8 0.3 3.2 -0.8 -1.4 -1.7 -5.1 -6.4 10.9 -0.1 1.3
2010
+18.02 +16.28 -3.4 3.4 6.3 1.8 -7.6 -4.9 7.0 -4.2 9.0 4.0 0.2 6.7
2009
+17.45 +14.33 -9.0 -11.7 7.6 9.3 5.2 -0.8 7.1 3.2 3.1 -2.7 5.9 1.4
2008
-40.96 -41.02 -6.4 -3.0 -1.3 4.4 1.2 -8.9 -1.3 1.2 -10.1 -17.6 -7.9 0.5
2007
+17.64 +13.03 2.6 -0.9 2.2 5.3 4.2 -0.5 -2.0 2.1 4.5 2.1 -2.7 -0.1
2006
+10.56 +7.82 2.0 0.1 1.2 0.9 -3.5 -0.2 0.0 1.8 2.4 2.9 1.7 1.0
2005
+19.14 +15.20 -1.1 3.3 -0.6 -0.6 4.3 1.3 4.7 0.2 1.8 -1.1 5.0 0.8
2004
+16.70 +13.02 2.5 1.8 -0.8 -1.4 2.2 2.3 -2.7 0.7 1.4 1.7 4.7 3.3
2003
+25.99 +23.67 -2.6 -1.5 0.0 8.3 5.4 0.9 1.7 1.9 -1.3 5.3 1.0 5.0
2002
-12.28 -14.32 -0.2 -1.0 4.1 -4.9 0.2 -6.3 -6.6 1.5 -8.9 8.5 6.5 -4.3
2001
-17.35 -18.61 4.0 -10.0 -6.2 8.2 -1.1 -2.9 -1.6 -6.7 -9.1 0.8 7.7 0.0
2000
-9.61 -12.57 -5.0 -1.5 9.7 -3.5 -1.6 2.0 -1.6 6.5 -5.5 -0.5 -7.5 -0.5
1999
+40.42 +36.75 5.2 -1.6 5.6 5.2 -0.7 6.6 -1.5 0.9 -0.6 7.0 2.8 6.2
1998
+48.76 +46.40 3.0 8.4 6.2 2.6 -0.6 5.4 0.1 -11.5 7.1 8.5 6.1 6.9
1997
+36.86 +34.57 6.5 1.2 -4.1 6.5 6.5 4.3 8.1 -4.9 5.0 -2.2 4.0 2.1
1996
+29.83 +25.65 4.2 0.9 2.3 1.6 2.8 1.4 -3.8 2.4 5.9 3.6 7.4 -1.8
1995
+42.32 +38.80 3.7 4.4 3.1 3.3 4.2 2.3 3.5 0.7 4.4 0.0 4.6 1.8
1994
-1.09 -3.66 3.4 -3.0 -4.3 1.0 1.5 -2.4 3.1 3.7 -2.7 2.8 -4.2 0.6
1993
+13.22 +10.20 1.1 1.6 2.4 -2.1 2.9 0.5 -0.2 4.0 -0.5 2.3 -0.7 1.4
1992
+4.32 +1.38 -2.1 1.0 -2.2 2.7 0.2 -1.8 3.8 -2.4 0.9 0.1 3.2 1.0
1991
+36.90 +32.83 4.9 7.6 2.9 0.7 4.7 -4.0 5.0 2.7 -1.2 1.7 -3.4 11.3
1990
+1.49 -4.35 -6.3 1.7 3.0 -2.1 10.0 -0.3 0.0 -8.4 -4.3 0.0 6.6 3.0
1989
+42.76 +36.42 8.3 -1.6 3.1 5.9 4.7 0.2 9.4 2.5 0.3 -1.5 2.6 2.9
1988
+7.07 +2.54 3.4 3.9 -3.8 0.3 0.1 4.0 -1.1 -4.3 3.8 2.2 -2.3 1.2
1987
+2.34 -2.00 13.1 3.8 2.7 -1.2 0.9 4.9 4.8 3.7 -2.5 -22.2 -8.5 7.5
1986
+22.70 +21.37 0.8 7.9 5.8 -1.0 5.7 2.0 -5.3 7.6 -7.8 5.8 2.8 -2.2
1985
+32.38 +27.54 7.7 1.5 0.1 -0.2 6.1 1.5 -0.1 -0.6 -3.0 4.5 7.0 4.7
1984
-0.83 -4.59 -1.1 -3.9 1.0 0.1 -6.1 1.6 -2.2 11.1 -0.6 -0.3 -1.7 2.2
1983
+16.95 +12.68 3.1 2.1 3.2 7.3 -1.2 3.5 -3.6 1.6 1.0 -1.8 2.0 -1.0
1982
+30.44 +25.63 -0.7 -4.3 0.2 4.9 -2.0 -0.7 -1.3 12.5 1.7 11.1 4.6 2.2

Portofolio Returns, up to December 2013, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

  • MTUM - iShares Edge MSCI USA Momentum Fctr: simulated historical serie, up to December 2013

Portfolio efficiency

Compared to the US Stocks Momentum Portfolio, no other portfolio in our database granted a higher return over 30 Years and a less severe drawdown at the same time.

The following portfolios share asset allocation strategy and/or similar asset weights.

Swipe left to see all data
5 Years Stats (%)
% Allocation
Portfolio Return Dev.Std Drawdown Stocks Bonds Comm
Cape US Sector Value
Robert Shiller
+11.72 18.53 -21.00 100 0 0
US Stocks
+9.80 18.65 -24.81 100 0 0
US Stocks Equal Weight
+9.63 19.84 -26.65 100 0 0
US Stocks Momentum
+9.29 18.82 -30.16 100 0 0
US Stocks Minimum Volatility
+8.73 14.66 -19.06 100 0 0
US Stocks Value
+8.19 18.53 -26.06 100 0 0
US Stocks ESG
+7.41 18.72 -27.79 100 0 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Return Dev.Std Drawdown Stocks Bonds Comm
Technology
+13.06 23.81 -81.08 100 0 0
US Stocks Momentum
+12.44 15.06 -53.85 100 0 0
Stocks/Bonds 80/20 Momentum
+11.15 12.13 -43.61 80 20 0
US Stocks
+9.79 15.27 -50.84 100 0 0
US Stocks Minimum Volatility
+9.77 13.59 -43.27 100 0 0
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