US Stocks Minimum Volatility vs Stocks/Bonds 80/20 Momentum Portfolio Comparison

Last Update: 29 February 2024

The US Stocks Minimum Volatility Portfolio obtained a 9.77% compound annual return, with a 13.71% standard deviation, in the last 30 Years.

The Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.32% compound annual return, with a 12.42% standard deviation, in the last 30 Years.

Summary

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US Stocks Minimum Volatility Portfolio Stocks/Bonds 80/20 Momentum Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 80%
Fixed Income 0% 20%
Commodities 0% 0%
30 Years Stats Return +9.77% +11.32%
Std Dev 13.71% 12.42%
Max Drawdown -43.27% -43.61%
All time Stats
(Since Jan 1985)
Return +11.14% +12.33%
Std Dev 14.21% 12.62%
Max Drawdown -43.27% -43.61%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
US Stocks Minimum Volatility Portfolio +2.09 +9.89 +17.47 +9.15 +10.62 +9.77 +11.14
Stocks/Bonds 80/20 Momentum Portfolio +7.82 +19.94 +26.62 +9.80 +10.50 +11.32 +12.33
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

US Stocks Minimum Volatility Portfolio: an investment of 1$, since March 1994, now would be worth 16.37$, with a total return of 1536.95% (9.77% annualized).

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since March 1994, now would be worth 24.93$, with a total return of 2393.10% (11.32% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since January 1985, now would be worth 62.63$, with a total return of 6163.30% (11.14% annualized).

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 95.14$, with a total return of 9413.91% (12.33% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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US Stocks Minimum Volatility Portfolio
Stocks/Bonds 80/20 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-43.61% Nov 2007 Feb 2009 (16) Feb 2012 (52) 20.50
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-35.36% Sep 2000 Sep 2002 (25) Jul 2005 (59) 18.12
-32.75% Sep 2000 Sep 2002 (25) Dec 2004 (52) 18.54
-27.23% Nov 2021 Sep 2022 (11) In progress (28) 18.50
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-16.52% Jul 1998 Aug 1998 (2) Nov 1998 (5) 8.42
-14.33% Feb 2020 Mar 2020 (2) Jun 2020 (5) 6.76
-12.46% Oct 2018 Dec 2018 (3) Jun 2019 (9) 6.19
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-9.24% Aug 1998 Aug 1998 (1) Oct 1998 (3) 4.97
-9.14% Jul 1999 Sep 1999 (3) Dec 1999 (6) 4.76
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-6.55% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.63
-6.22% Aug 2015 Sep 2015 (2) Mar 2016 (8) 3.19
-5.47% Aug 1997 Aug 1997 (1) Dec 1997 (5) 2.74
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.24% Jul 1996 Jul 1996 (1) Sep 1996 (3) 3.27
-5.19% Apr 2012 May 2012 (2) Aug 2012 (5) 2.34

Drawdown comparison chart since January 1985.

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US Stocks Minimum Volatility Portfolio
Stocks/Bonds 80/20 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-43.61% Nov 2007 Feb 2009 (16) Feb 2012 (52) 20.50
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-35.36% Sep 2000 Sep 2002 (25) Jul 2005 (59) 18.12
-32.75% Sep 2000 Sep 2002 (25) Dec 2004 (52) 18.54
-30.08% Sep 1987 Nov 1987 (3) May 1989 (21) 16.33
-27.23% Nov 2021 Sep 2022 (11) In progress (28) 18.50
-25.63% Sep 1987 Nov 1987 (3) May 1989 (21) 15.38
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-16.52% Jul 1998 Aug 1998 (2) Nov 1998 (5) 8.42
-14.33% Feb 2020 Mar 2020 (2) Jun 2020 (5) 6.76
-14.10% Jun 1990 Oct 1990 (5) Feb 1991 (9) 7.72
-12.46% Oct 2018 Dec 2018 (3) Jun 2019 (9) 6.19
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-10.02% Aug 1990 Sep 1990 (2) Jan 1991 (6) 6.20
-9.24% Aug 1998 Aug 1998 (1) Oct 1998 (3) 4.97
-9.14% Jul 1999 Sep 1999 (3) Dec 1999 (6) 4.76
-8.39% Sep 1986 Sep 1986 (1) Jan 1987 (5) 3.95
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-7.03% Feb 1994 Mar 1994 (2) Oct 1994 (9) 4.25

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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Year Return Drawdown Return Drawdown
2024
+4.31%
0.00%
+12.61%
0.00%
2023
+10.34%
-4.29%
+8.41%
-5.88%
2022
-9.42%
-17.35%
-17.23%
-24.45%
2021
+20.84%
-4.99%
+10.32%
-3.67%
2020
+5.64%
-19.06%
+25.42%
-14.33%
2019
+27.69%
-1.61%
+23.57%
-1.46%
2018
+1.36%
-7.56%
-1.35%
-12.46%
2017
+18.91%
-0.35%
+30.71%
0.00%
2016
+10.57%
-5.27%
+4.51%
-3.62%
2015
+5.45%
-5.12%
+7.25%
-6.22%
2014
+16.33%
-3.04%
+12.86%
-3.39%
2013
+25.09%
-3.26%
+27.24%
-2.48%
2012
+10.82%
-2.17%
+12.58%
-5.19%
2011
+12.70%
-11.70%
+6.33%
-10.88%
2010
+14.52%
-12.81%
+15.66%
-9.31%
2009
+18.18%
-19.43%
+14.68%
-16.18%
2008
-25.77%
-28.06%
-31.40%
-32.66%
2007
+4.15%
-5.15%
+15.50%
-1.97%
2006
+14.77%
-3.11%
+9.30%
-2.94%
2005
+6.45%
-3.39%
+15.79%
-1.04%
2004
+14.34%
-2.88%
+14.21%
-2.13%
2003
+19.79%
-5.68%
+21.59%
-3.04%
2002
-15.44%
-24.56%
-8.17%
-17.08%
2001
-7.96%
-20.58%
-12.19%
-20.18%
2000
+2.67%
-9.24%
-5.41%
-9.70%
1999
+7.63%
-9.14%
+32.18%
-1.61%
1998
+22.82%
-16.52%
+40.72%
-9.24%
1997
+30.20%
-5.47%
+31.37%
-4.22%
1996
+14.96%
-5.24%
+24.58%
-3.09%
1995
+36.61%
-0.39%
+37.49%
0.00%
1994
+0.13%
-7.03%
-1.40%
-6.80%
1993
+11.82%
-2.26%
+12.52%
-1.57%
1992
+6.42%
-2.83%
+4.88%
-2.94%
1991
+28.86%
-4.68%
+32.57%
-3.31%
1990
-2.01%
-14.10%
+2.93%
-10.02%
1989
+35.71%
-2.13%
+36.94%
-1.39%
1988
+15.74%
-3.84%
+7.13%
-4.35%
1987
+3.77%
-30.08%
+2.18%
-25.63%
1986
+17.36%
-8.39%
+21.18%
-6.69%
1985
+32.55%
-3.71%
+30.36%
-2.61%