US Stocks Minimum Volatility vs US Stocks 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 US Stocks Momentum Portfolio obtained a 12.68% compound annual return, with a 15.38% standard deviation, in the last 30 Years.

Summary

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US Stocks Minimum Volatility Portfolio US Stocks Momentum Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
30 Years Stats Return +9.77% +12.68%
Std Dev 13.71% 15.38%
Max Drawdown -43.27% -53.85%
All time Stats
(Since Jan 1985)
Return +11.14% +13.65%
Std Dev 14.21% 15.47%
Max Drawdown -43.27% -53.85%
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
US Stocks Momentum Portfolio +10.00 +24.44 +32.84 +12.02 +12.68 +12.68 +13.65
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).

US Stocks Momentum Portfolio: an investment of 1$, since March 1994, now would be worth 35.91$, with a total return of 3491.37% (12.68% 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).

US Stocks Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 150.09$, with a total return of 14908.84% (13.65% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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US Stocks Minimum Volatility Portfolio
US Stocks Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-53.85% Nov 2007 Feb 2009 (16) Jan 2013 (63) 26.01
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-43.19% Sep 2000 Sep 2002 (25) Jul 2005 (59) 24.89
-35.36% Sep 2000 Sep 2002 (25) Jul 2005 (59) 18.12
-30.16% Nov 2021 Sep 2022 (11) In progress (28) 20.43
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.90% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.65
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-16.52% Jul 1998 Aug 1998 (2) Nov 1998 (5) 8.42
-15.44% Oct 2018 Dec 2018 (3) Jun 2019 (9) 7.83
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-11.51% Aug 1998 Aug 1998 (1) Oct 1998 (3) 6.32
-9.14% Jul 1999 Sep 1999 (3) Dec 1999 (6) 4.76
-7.82% Sep 2020 Oct 2020 (2) Nov 2020 (3) 4.35
-7.78% Aug 2015 Sep 2015 (2) May 2016 (10) 3.71
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-6.40% Jan 2000 Feb 2000 (2) Mar 2000 (3) 4.05
-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

Drawdown comparison chart since January 1985.

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US Stocks Minimum Volatility Portfolio
US Stocks Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-53.85% Nov 2007 Feb 2009 (16) Jan 2013 (63) 26.01
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-43.19% Sep 2000 Sep 2002 (25) Jul 2005 (59) 24.89
-35.36% Sep 2000 Sep 2002 (25) Jul 2005 (59) 18.12
-30.55% Sep 1987 Nov 1987 (3) Jul 1989 (23) 18.49
-30.16% Nov 2021 Sep 2022 (11) In progress (28) 20.43
-30.08% Sep 1987 Nov 1987 (3) May 1989 (21) 16.33
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.90% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.65
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-16.52% Jul 1998 Aug 1998 (2) Nov 1998 (5) 8.42
-15.44% Oct 2018 Dec 2018 (3) Jun 2019 (9) 7.83
-14.10% Jun 1990 Oct 1990 (5) Feb 1991 (9) 7.72
-12.56% Jun 1990 Sep 1990 (4) Jan 1991 (8) 7.07
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-11.51% Aug 1998 Aug 1998 (1) Oct 1998 (3) 6.32
-9.14% Jul 1999 Sep 1999 (3) Dec 1999 (6) 4.76
-8.39% Sep 1986 Sep 1986 (1) Jan 1987 (5) 3.95
-7.82% Sep 2020 Oct 2020 (2) Nov 2020 (3) 4.35
-7.79% Sep 1986 Sep 1986 (1) Nov 1986 (3) 4.08

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%
+16.14%
0.00%
2023
+10.34%
-4.29%
+9.16%
-6.59%
2022
-9.42%
-17.35%
-18.26%
-26.94%
2021
+20.84%
-4.99%
+13.37%
-4.41%
2020
+5.64%
-19.06%
+29.85%
-17.90%
2019
+27.69%
-1.61%
+27.26%
-2.20%
2018
+1.36%
-7.56%
-1.66%
-15.44%
2017
+18.91%
-0.35%
+37.50%
0.00%
2016
+10.57%
-5.27%
+5.00%
-5.03%
2015
+5.45%
-5.12%
+8.93%
-7.78%
2014
+16.33%
-3.04%
+14.61%
-4.38%
2013
+25.09%
-3.26%
+34.58%
-2.81%
2012
+10.82%
-2.17%
+14.94%
-6.80%
2011
+12.70%
-11.70%
+5.93%
-14.50%
2010
+14.52%
-12.81%
+18.02%
-12.13%
2009
+18.18%
-19.43%
+17.45%
-19.56%
2008
-25.77%
-28.06%
-40.96%
-41.23%
2007
+4.15%
-5.15%
+17.64%
-2.82%
2006
+14.77%
-3.11%
+10.56%
-3.64%
2005
+6.45%
-3.39%
+19.14%
-1.25%
2004
+14.34%
-2.88%
+16.70%
-2.66%
2003
+19.79%
-5.68%
+25.99%
-4.14%
2002
-15.44%
-24.56%
-12.28%
-22.85%
2001
-7.96%
-20.58%
-17.35%
-26.75%
2000
+2.67%
-9.24%
-9.61%
-13.35%
1999
+7.63%
-9.14%
+40.42%
-1.57%
1998
+22.82%
-16.52%
+48.76%
-11.51%
1997
+30.20%
-5.47%
+36.86%
-4.89%
1996
+14.96%
-5.24%
+29.83%
-3.81%
1995
+36.61%
-0.39%
+42.32%
-0.02%
1994
+0.13%
-7.03%
-1.09%
-7.23%
1993
+11.82%
-2.26%
+13.22%
-2.14%
1992
+6.42%
-2.83%
+4.32%
-3.35%
1991
+28.86%
-4.68%
+36.90%
-4.00%
1990
-2.01%
-14.10%
+1.49%
-12.56%
1989
+35.71%
-2.13%
+42.76%
-1.57%
1988
+15.74%
-3.84%
+7.07%
-5.33%
1987
+3.77%
-30.08%
+2.34%
-30.55%
1986
+17.36%
-8.39%
+22.70%
-7.79%
1985
+32.55%
-3.71%
+32.38%
-3.74%