US Stocks Momentum Portfolio vs Robert Shiller Cape US Sector Value Portfolio Portfolio Comparison

Simulation Settings
Period: November 2012 - June 2025 (~13 years)
Consolidated Returns as of 30 June 2025
Initial Amount: 1$
Currency: USD
Inflation: US
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Results
All Data
(2012/11 - 2025/06)
Inflation Adjusted:
US Stocks Momentum Portfolio
1.00$
Invested Capital
November 2012
6.26$
Final Capital
June 2025
15.59%
Yearly Return
15.26%
Std Deviation
-30.16%
Max Drawdown
29months
Recovery Period
1.00$
Invested Capital
November 2012
4.53$
Final Capital
June 2025
12.66%
Yearly Return
15.26%
Std Deviation
-34.85%
Max Drawdown
37months
Recovery Period
Robert Shiller Cape US Sector Value Portfolio
1.00$
Invested Capital
November 2012
6.04$
Final Capital
June 2025
15.25%
Yearly Return
14.99%
Std Deviation
-21.00%
Max Drawdown
6months
Recovery Period
1.00$
Invested Capital
November 2012
4.36$
Final Capital
June 2025
12.33%
Yearly Return
14.99%
Std Deviation
-24.50%
Max Drawdown
31months
Recovery Period

As of June 2025, over the analyzed timeframe, the US Stocks Momentum Portfolio obtained a 15.59% compound annual return, with a 15.26% standard deviation. It suffered a maximum drawdown of -30.16% that required 29 months to be recovered.

As of June 2025, over the analyzed timeframe, the Robert Shiller Cape US Sector Value Portfolio obtained a 15.25% compound annual return, with a 14.99% standard deviation. It suffered a maximum drawdown of -21.00% that required 6 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.
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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

US Stocks Momentum Portfolio
Weight
(%)		 Ticker Name
100.00
MTUM
iShares Edge MSCI USA Momentum Fctr
Robert Shiller Cape US Sector Value Portfolio
Weight
(%)		 Ticker Name
100.00
CAPE
DoubleLine Shiller U.S. Equities ETF
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Portfolio Returns as of Jun 30, 2025

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
Return Comparison
Capital Growth
All Data
(2012/11 - 2025/06)
Inflation Adjusted:
Swipe left to see all data
Initial Amount $ Final Amount $ Total Return (%) Annualized (%)
US Stocks Momentum
 1 $ 6.26 $ 526.41% 15.59%
Robert Shiller Cape US Sector Value
Robert Shiller 		1 $ 6.04 $ 503.54% 15.25%
Nov 2012 Jun 2025

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Initial Amount $ Final Amount $ Total Return (%) Annualized (%)
US Stocks Momentum
 1 $ 4.53 $ 352.50% 12.66%
Robert Shiller Cape US Sector Value
Robert Shiller 		1 $ 4.36 $ 335.98% 12.33%
Nov 2012 Jun 2025

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Return (%) as of Jun 30, 2025
YTD
(6M) 		1M 6M 1Y 5Y 10Y MAX
(~13Y)
http://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp US Stocks Momentum
-- Market Benchmark 		16.68 4.00 16.68 24.60 14.15 14.27 15.59
http://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_robert_shiller.webp Cape US Sector Value
Robert Shiller 		6.43 2.69 6.43 16.23 16.04 14.09 15.25
Returns over 1 year are annualized.
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Portfolio Metrics as of Jun 30, 2025

The following metrics, updated as of 30 June 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 July 2024 - 30 June 2025 (1 year)
Period: 1 July 2020 - 30 June 2025 (5 years)
Period: 1 July 2015 - 30 June 2025 (10 years)
Period: 1 November 2012 - 30 June 2025 (~13 years)
1 Year
5 Years
10 Years
All (2012/11 - 2025/06)
Swipe left to see all data
US Stocks Momentum Cape US Sector Value
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 24.60 16.23
Infl. Adjusted (%) 21.64 13.47
DRAWDOWN
Deepest Drawdown Depth (%) -7.52 -6.08
Start to Recovery (months) 4 7*
Longest Drawdown Depth (%) -7.52 -6.08
Start to Recovery (months) 4 7*
Longest Negative Period (months) 5 7*
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 16.41 12.40
Sharpe Ratio 1.22 0.94
Sortino Ratio 1.65 1.24
Ulcer Index 2.69 2.86
Ratio: Return / Standard Deviation 1.50 1.31
Ratio: Return / Deepest Drawdown 3.27 2.67
Metrics calculated over the period 1 July 2024 - 30 June 2025
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US Stocks Momentum Cape US Sector Value
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.15 16.04
Infl. Adjusted (%) 9.21 11.01
DRAWDOWN
Deepest Drawdown Depth (%) -30.16 -20.07
Start to Recovery (months) 29 19
Longest Drawdown Depth (%) -30.16 -20.07
Start to Recovery (months) 29 19
Longest Negative Period (months) 38 26
RISK INDICATORS
Standard Deviation (%) 18.49 16.95
Sharpe Ratio 0.62 0.79
Sortino Ratio 0.87 1.09
Ulcer Index 14.21 6.04
Ratio: Return / Standard Deviation 0.77 0.95
Ratio: Return / Deepest Drawdown 0.47 0.80
Metrics calculated over the period 1 July 2020 - 30 June 2025
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US Stocks Momentum Cape US Sector Value
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.27 14.09
Infl. Adjusted (%) 10.89 10.72
DRAWDOWN
Deepest Drawdown Depth (%) -30.16 -21.00
Start to Recovery (months) 29 6
Longest Drawdown Depth (%) -30.16 -20.07
Start to Recovery (months) 29 19
Longest Negative Period (months) 38 26
RISK INDICATORS
Standard Deviation (%) 16.48 16.15
Sharpe Ratio 0.75 0.76
Sortino Ratio 1.03 1.02
Ulcer Index 10.61 5.50
Ratio: Return / Standard Deviation 0.87 0.87
Ratio: Return / Deepest Drawdown 0.47 0.67
Metrics calculated over the period 1 July 2015 - 30 June 2025
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US Stocks Momentum Cape US Sector Value
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 15.59 15.25
Infl. Adjusted (%) 12.66 12.33
DRAWDOWN
Deepest Drawdown Depth (%) -30.16 -21.00
Start to Recovery (months) 29 6
Longest Drawdown Depth (%) -30.16 -20.07
Start to Recovery (months) 29 19
Longest Negative Period (months) 38 26
RISK INDICATORS
Standard Deviation (%) 15.26 14.99
Sharpe Ratio 0.93 0.92
Sortino Ratio 1.26 1.24
Ulcer Index 9.45 4.93
Ratio: Return / Standard Deviation 1.02 1.02
Ratio: Return / Deepest Drawdown 0.52 0.73
Metrics calculated over the period 1 November 2012 - 30 June 2025
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Drawdowns

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.

DRAWDOWN COMPARISON
Period: 1 July 2015 - 30 June 2025 (10 years)
Period: 1 November 2012 - 30 June 2025 (~13 years)

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US Stocks Momentum Cape US Sector Value
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-30.16 29 Nov 2021
Mar 2024
-21.00 6 Feb 2020
Jul 2020
-20.07 19 Jan 2022
Jul 2023
-17.90 5 Feb 2020
Jun 2020
-15.44 9 Oct 2018
Jun 2019
-15.27 7 Oct 2018
Apr 2019
-8.74 3 Aug 2015
Oct 2015
-8.27 5 Aug 2023
Dec 2023
-7.82 3 Sep 2020
Nov 2020
-7.78 10 Aug 2015
May 2016
-7.52 4 Feb 2025
May 2025
-6.08 7* Dec 2024
In progress
-5.96 2 May 2019
Jun 2019
-5.62 6 Feb 2018
Jul 2018
-5.47 3 Apr 2024
Jun 2024

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the Simulation Settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Annualized Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 November 2012 - 30 June 2025 (~13 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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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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US Stocks Momentum Cape US Sector Value
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2025
 16.68 -7.52 6.43 -4.59
2024
 32.89 -5.47 14.40 -6.08
2023
 9.15 -6.59 27.65 -8.27
2022
 -18.26 -26.94 -15.62 -20.07
2021
 13.37 -4.41 27.80 -5.00
2020
 29.85 -17.90 19.47 -21.00
2019
 27.26 -2.20 32.61 -5.96
2018
 -1.66 -15.44 -3.51 -15.27
2017
 37.50 0.00 21.38 -0.24
2016
 5.00 -5.03 18.06 -4.58
2015
 8.93 -7.78 4.57 -8.74
2014
 14.61 -4.38 15.77 -3.84
2013
 34.58 -2.81 33.36 -2.99
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