US Stocks Momentum vs US Stocks ESG Portfolio Comparison

Last Update: 29 February 2024

The US Stocks Momentum Portfolio obtained a 12.68% compound annual return, with a 15.71% 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 Momentum 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 +12.68% +10.09%
Std Dev 15.71% 16.04%
Max Drawdown -30.16% -27.79%
All time Stats
(Since Sep 2005)
Return +10.55% +9.43%
Std Dev 15.79% 17.17%
Max Drawdown -53.85% -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 Momentum Portfolio +10.00 +24.44 +32.84 +12.02 +12.68 +10.55
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 Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 3.30$, with a total return of 230.08% (12.68% 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 Momentum Portfolio: an investment of 1$, since September 2005, now would be worth 6.40$, with a total return of 539.74% (10.55% 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 Momentum 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
-30.16% Nov 2021 Sep 2022 (11) In progress (28) 20.43
-27.79% Jan 2022 Sep 2022 (9) Jan 2024 (25) 15.67
-19.14% Feb 2020 Mar 2020 (2) Jul 2020 (6) 8.48
-17.90% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.65
-17.80% Feb 2018 Dec 2018 (11) Jul 2019 (18) 7.36
-15.44% Oct 2018 Dec 2018 (3) Jun 2019 (9) 7.83
-13.26% Jul 2015 Jan 2016 (7) Nov 2016 (17) 6.04
-7.82% Sep 2020 Oct 2020 (2) Nov 2020 (3) 4.35
-7.78% Aug 2015 Sep 2015 (2) May 2016 (10) 3.71
-5.81% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.48
-5.21% Sep 2021 Sep 2021 (1) Oct 2021 (2) 3.01
-4.85% Feb 2018 Mar 2018 (2) Jul 2018 (6) 2.60
-4.63% Sep 2014 Sep 2014 (1) Nov 2014 (3) 2.61
-4.38% Mar 2014 Apr 2014 (2) Jun 2014 (4) 2.49
-3.54% Jul 2014 Jul 2014 (1) Aug 2014 (2) 2.04
-3.50% Aug 2016 Nov 2016 (4) Jan 2017 (6) 2.07
-3.47% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.00
-2.13% Dec 2014 Jan 2015 (2) Feb 2015 (3) 1.07
-2.07% Mar 2015 Apr 2015 (2) May 2015 (3) 1.16
-1.77% Feb 2021 Mar 2021 (2) Apr 2021 (3) 0.93

Drawdown comparison chart since September 2005.

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US Stocks Momentum 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
-53.85% Nov 2007 Feb 2009 (16) Jan 2013 (63) 26.01
-52.70% Jun 2007 Feb 2009 (21) Feb 2011 (45) 25.25
-30.16% Nov 2021 Sep 2022 (11) In progress (28) 20.43
-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
-17.90% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.65
-17.80% Feb 2018 Dec 2018 (11) Jul 2019 (18) 7.36
-15.44% Oct 2018 Dec 2018 (3) Jun 2019 (9) 7.83
-13.26% Jul 2015 Jan 2016 (7) Nov 2016 (17) 6.04
-7.82% Sep 2020 Oct 2020 (2) Nov 2020 (3) 4.35
-7.78% Aug 2015 Sep 2015 (2) May 2016 (10) 3.71
-5.81% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.48
-5.21% Sep 2021 Sep 2021 (1) Oct 2021 (2) 3.01
-4.85% Feb 2018 Mar 2018 (2) Jul 2018 (6) 2.60
-4.63% Sep 2014 Sep 2014 (1) Nov 2014 (3) 2.61
-4.38% Mar 2014 Apr 2014 (2) Jun 2014 (4) 2.49
-3.64% May 2006 Jun 2006 (2) Sep 2006 (5) 2.65
-3.54% Jul 2014 Jul 2014 (1) Aug 2014 (2) 2.04
-3.50% Aug 2016 Nov 2016 (4) Jan 2017 (6) 2.07

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
+16.14%
0.00%
+6.82%
0.00%
2023
+9.16%
-6.59%
+30.80%
-9.36%
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%