US Stocks Minimum Volatility vs US Stocks ESG Portfolio Comparison

Last Update: 29 February 2024

The US Stocks Minimum Volatility Portfolio obtained a 10.62% compound annual return, with a 12.06% standard deviation, in the last 10 Years.

The US Stocks ESG Portfolio obtained a 10.09% compound annual return, with a 16.04% standard deviation, in the last 10 Years.

Summary

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US Stocks Minimum Volatility Portfolio US Stocks ESG Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
10 Years Stats Return +10.62% +10.09%
Std Dev 12.06% 16.04%
Max Drawdown -19.06% -27.79%
All time Stats
(Since Sep 2005)
Return +9.51% +9.43%
Std Dev 13.23% 17.17%
Max Drawdown -43.27% -52.70%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from September 2005

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1M 6M 1Y 5Y 10Y MAX
US Stocks Minimum Volatility Portfolio +2.09 +9.89 +17.47 +9.15 +10.62 +9.51
US Stocks ESG Portfolio +5.39 +15.15 +32.35 +14.85 +10.09 +9.43
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

US Stocks Minimum Volatility Portfolio: an investment of 1$, since March 2014, now would be worth 2.74$, with a total return of 174.45% (10.62% annualized).

US Stocks ESG Portfolio: an investment of 1$, since March 2014, now would be worth 2.61$, with a total return of 161.43% (10.09% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since September 2005, now would be worth 5.37$, with a total return of 436.99% (9.51% annualized).

US Stocks ESG Portfolio: an investment of 1$, since September 2005, now would be worth 5.30$, with a total return of 429.56% (9.43% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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US Stocks Minimum Volatility Portfolio
US Stocks ESG Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-27.79% Jan 2022 Sep 2022 (9) Jan 2024 (25) 15.67
-19.14% Feb 2020 Mar 2020 (2) Jul 2020 (6) 8.48
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.80% Feb 2018 Dec 2018 (11) Jul 2019 (18) 7.36
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-13.26% Jul 2015 Jan 2016 (7) Nov 2016 (17) 6.04
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-5.81% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.48
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.21% Sep 2021 Sep 2021 (1) Oct 2021 (2) 3.01
-5.12% Aug 2015 Sep 2015 (2) Oct 2015 (3) 3.42
-4.99% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.88
-4.63% Sep 2014 Sep 2014 (1) Nov 2014 (3) 2.61
-4.49% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.17
-3.54% Jul 2014 Jul 2014 (1) Aug 2014 (2) 2.04
-3.09% Jan 2021 Feb 2021 (2) Mar 2021 (3) 2.06
-2.53% Mar 2015 Jun 2015 (4) Jul 2015 (5) 1.21
-2.13% Dec 2014 Jan 2015 (2) Feb 2015 (3) 1.07
-2.05% Nov 2021 Nov 2021 (1) Dec 2021 (2) 1.18
-1.76% Aug 2019 Aug 2019 (1) Oct 2019 (3) 0.89

Drawdown comparison chart since September 2005.

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US Stocks Minimum Volatility Portfolio
US Stocks ESG Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-52.70% Jun 2007 Feb 2009 (21) Feb 2011 (45) 25.25
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-27.79% Jan 2022 Sep 2022 (9) Jan 2024 (25) 15.67
-23.59% May 2011 Sep 2011 (5) Jan 2013 (21) 9.88
-19.14% Feb 2020 Mar 2020 (2) Jul 2020 (6) 8.48
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.80% Feb 2018 Dec 2018 (11) Jul 2019 (18) 7.36
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-13.26% Jul 2015 Jan 2016 (7) Nov 2016 (17) 6.04
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-5.81% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.48
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90
-5.21% Sep 2021 Sep 2021 (1) Oct 2021 (2) 3.01
-5.12% Aug 2015 Sep 2015 (2) Oct 2015 (3) 3.42
-4.99% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.88
-4.72% Jun 2007 Jul 2007 (2) Sep 2007 (4) 2.74
-4.63% Sep 2014 Sep 2014 (1) Nov 2014 (3) 2.61
-4.49% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.17
-3.54% Jul 2014 Jul 2014 (1) Aug 2014 (2) 2.04

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%
+6.82%
0.00%
2023
+10.34%
-4.29%
+30.80%
-9.36%
2022
-9.42%
-17.35%
-24.04%
-27.79%
2021
+20.84%
-4.99%
+26.20%
-5.21%
2020
+5.64%
-19.06%
+25.67%
-19.14%
2019
+27.69%
-1.61%
+33.37%
-6.25%
2018
+1.36%
-7.56%
-15.69%
-17.80%
2017
+18.91%
-0.35%
+13.03%
-1.52%
2016
+10.57%
-5.27%
+11.65%
-6.66%
2015
+5.45%
-5.12%
+2.12%
-10.78%
2014
+16.33%
-3.04%
+9.13%
-4.63%
2013
+25.09%
-3.26%
+38.98%
-3.17%
2012
+10.82%
-2.17%
+17.37%
-9.30%
2011
+12.70%
-11.70%
-5.78%
-23.59%
2010
+14.52%
-12.81%
+19.88%
-12.90%
2009
+18.18%
-19.43%
+39.10%
-15.76%
2008
-25.77%
-28.06%
-39.83%
-43.27%
2007
+4.15%
-5.15%
+5.81%
-6.69%
2006
+14.77%
-3.11%
+18.46%
-2.59%