US Stocks Momentum Portfolio vs US Stocks ESG Portfolio Portfolio Comparison

Simulation Settings
Period: September 2005 - May 2025 (~20 years)
Consolidated Returns as of 31 May 2025
Initial Amount: 1$
Currency: USD
Inflation: US
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond May 2025.
Reset settings
Close
Results
All Data
(2005/09 - 2025/05)
Inflation Adjusted:
US Stocks Momentum Portfolio
1.00$
Invested Capital
September 2005
8.21$
Final Capital
May 2025
11.25%
Yearly Return
15.85%
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period
1.00$
Invested Capital
September 2005
5.02$
Final Capital
May 2025
8.51%
Yearly Return
15.85%
Std Deviation
-54.61%
Max Drawdown
67months
Recovery Period
US Stocks ESG Portfolio
1.00$
Invested Capital
September 2005
6.15$
Final Capital
May 2025
9.64%
Yearly Return
16.95%
Std Deviation
-52.70%
Max Drawdown
45months
Recovery Period
1.00$
Invested Capital
September 2005
3.76$
Final Capital
May 2025
6.94%
Yearly Return
16.95%
Std Deviation
-54.03%
Max Drawdown
68months
Recovery Period

As of May 2025, over the analyzed timeframe, the US Stocks Momentum Portfolio obtained a 11.25% compound annual return, with a 15.85% standard deviation. It suffered a maximum drawdown of -53.85% that required 63 months to be recovered.

As of May 2025, over the analyzed timeframe, the US Stocks ESG Portfolio obtained a 9.64% compound annual return, with a 16.95% standard deviation. It suffered a maximum drawdown of -52.70% that required 45 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.
Mastering Etf Investing
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Set your goal
Use top metrics to evaluate
Join the passive investing strategy
Exclusive new asset allocations in EUR and USD
Buy now
English book
Buy now
Italian book

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
US Stocks ESG Portfolio
Weight
(%)		 Ticker Name
100.00
ESGV
Vanguard ESG U.S. Stock ETF
Test Your Asset Allocation
Evaluate your portfolio strategy in 7 different currencies
Try the Backtest Tool

Portfolio Returns as of May 31, 2025

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
Return Comparison
Capital Growth
All Data
(2005/09 - 2025/05)
Inflation Adjusted:
Swipe left to see all data
Initial Amount $ Final Amount $ Total Return (%) Annualized (%)
US Stocks Momentum
 1 $ 8.21 $ 721.15% 11.25%
US Stocks ESG
 1 $ 6.15 $ 515.43% 9.64%
Sep 2005 May 2025

Loading data
Please wait
Swipe left to see all data
Initial Amount $ Final Amount $ Total Return (%) Annualized (%)
US Stocks Momentum
 1 $ 5.02 $ 402.17% 8.51%
US Stocks ESG
 1 $ 3.76 $ 276.36% 6.94%
Sep 2005 May 2025

Loading data
Please wait
Swipe left to see all data
Return (%) as of May 31, 2025
YTD
(5M) 		1M 6M 1Y 5Y 10Y MAX
(~20Y)
http://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp US Stocks Momentum
-- Market Benchmark 		12.19 10.45 7.59 25.24 14.22 13.78 11.25
http://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp US Stocks ESG
-- Market Benchmark 		-0.44 6.81 -2.59 13.16 14.96 9.95 9.64
Returns over 1 year are annualized.
Explore All Lazy Portfolios
Tailored Portfolios for every Investment Strategy
Readings that may interest you

Portfolio Metrics as of May 31, 2025

The following metrics, updated as of 31 May 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 June 2024 - 31 May 2025 (1 year)
Period: 1 June 2020 - 31 May 2025 (5 years)
Period: 1 June 2015 - 31 May 2025 (10 years)
Period: 1 September 2005 - 31 May 2025 (~20 years)
1 Year
5 Years
10 Years
All (2005/09 - 2025/05)
Swipe left to see all data
US Stocks Momentum US Stocks ESG
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 25.24 13.16
Infl. Adjusted (%) 22.33 10.53
DRAWDOWN
Deepest Drawdown Depth (%) -7.52 -9.40
Start to Recovery (months) 4 4*
Longest Drawdown Depth (%) -7.52 -9.40
Start to Recovery (months) 4 4*
Longest Negative Period (months) 5 8
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 16.49 12.98
Sharpe Ratio 1.25 0.65
Sortino Ratio 1.68 0.89
Ulcer Index 2.69 3.84
Ratio: Return / Standard Deviation 1.53 1.01
Ratio: Return / Deepest Drawdown 3.36 1.40
Metrics calculated over the period 1 June 2024 - 31 May 2025
Swipe left to see all data
US Stocks Momentum US Stocks ESG
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.22 14.96
Infl. Adjusted (%) 9.18 9.89
DRAWDOWN
Deepest Drawdown Depth (%) -30.16 -27.79
Start to Recovery (months) 29 25
Longest Drawdown Depth (%) -30.16 -27.79
Start to Recovery (months) 29 25
Longest Negative Period (months) 38 30
RISK INDICATORS
Standard Deviation (%) 18.50 17.16
Sharpe Ratio 0.63 0.72
Sortino Ratio 0.88 0.97
Ulcer Index 14.21 10.46
Ratio: Return / Standard Deviation 0.77 0.87
Ratio: Return / Deepest Drawdown 0.47 0.54
Metrics calculated over the period 1 June 2020 - 31 May 2025
Swipe left to see all data
US Stocks Momentum US Stocks ESG
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 13.78 9.95
Infl. Adjusted (%) 10.39 6.68
DRAWDOWN
Deepest Drawdown Depth (%) -30.16 -27.79
Start to Recovery (months) 29 25
Longest Drawdown Depth (%) -30.16 -27.79
Start to Recovery (months) 29 25
Longest Negative Period (months) 38 43
RISK INDICATORS
Standard Deviation (%) 16.47 16.33
Sharpe Ratio 0.73 0.50
Sortino Ratio 1.00 0.68
Ulcer Index 10.61 8.56
Ratio: Return / Standard Deviation 0.84 0.61
Ratio: Return / Deepest Drawdown 0.46 0.36
Metrics calculated over the period 1 June 2015 - 31 May 2025
Swipe left to see all data
US Stocks Momentum US Stocks ESG
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.25 9.64
Infl. Adjusted (%) 8.51 6.94
DRAWDOWN
Deepest Drawdown Depth (%) -53.85 -52.70
Start to Recovery (months) 63 45
Longest Drawdown Depth (%) -53.85 -52.70
Start to Recovery (months) 63 45
Longest Negative Period (months) 68 65
RISK INDICATORS
Standard Deviation (%) 15.85 16.95
Sharpe Ratio 0.61 0.48
Sortino Ratio 0.81 0.63
Ulcer Index 15.48 13.04
Ratio: Return / Standard Deviation 0.71 0.57
Ratio: Return / Deepest Drawdown 0.21 0.18
Metrics calculated over the period 1 September 2005 - 31 May 2025
Mastering Etf Investing
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Buy now
English book
Buy now
Italian book

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 June 2015 - 31 May 2025 (10 years)
Period: 1 September 2005 - 31 May 2025 (~20 years)

Loading data
Please wait
Swipe left to see all data
US Stocks Momentum US Stocks ESG
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-52.70 45 Jun 2007
Feb 2011
-30.16 29 Nov 2021
Mar 2024
-27.79 25 Jan 2022
Jan 2024
-23.59 21 May 2011
Jan 2013
-19.14 6 Feb 2020
Jul 2020
-17.90 5 Feb 2020
Jun 2020
-17.80 18 Feb 2018
Jul 2019
-15.44 9 Oct 2018
Jun 2019
-13.26 17 Jul 2015
Nov 2016
-9.40 4* Feb 2025
In progress
-7.82 3 Sep 2020
Nov 2020
-7.78 10 Aug 2015
May 2016
-7.52 4 Feb 2025
May 2025
-5.81 3 Sep 2020
Nov 2020

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 September 2005 - 31 May 2025 (~20 years)


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

Loading data
Please wait

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.

Swipe left to see all data
US Stocks Momentum US Stocks ESG
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2025
 12.19 -7.52 -0.44 -9.40
2024
 32.89 -5.47 24.69 -4.89
2023
 9.15 -6.59 30.80 -9.37
2022
 -18.26 -26.94 -24.04 -27.79
2021
 13.37 -4.41 26.20 -5.21
2020
 29.85 -17.90 25.67 -19.14
2019
 27.26 -2.20 33.37 -6.25
2018
 -1.66 -15.44 -15.69 -17.80
2017
 37.50 0.00 13.03 -1.52
2016
 5.00 -5.03 11.65 -6.66
2015
 8.93 -7.78 2.12 -10.78
2014
 14.61 -4.38 9.13 -4.63
2013
 34.58 -2.81 38.98 -3.17
2012
 14.94 -6.80 17.37 -9.30
2011
 5.93 -14.50 -5.78 -23.59
2010
 18.02 -12.13 19.88 -12.90
2009
 17.45 -19.56 39.10 -15.76
2008
 -40.96 -41.23 -39.83 -43.27
2007
 17.64 -2.82 5.81 -6.69
2006
 10.56 -3.64 18.46 -2.59
Mastering Etf Investing
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Buy now
English book
Buy now
Italian book