Stocks/Bonds 20/80 Momentum Portfolio: ETF allocation and returns

Data Source: from January 1982 to February 2024 (~42 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.80%
1 Day
Mar 01 2024
0.80%
Current Month
March 2024

The Stocks/Bonds 20/80 Momentum Portfolio is a Low Risk portfolio and can be implemented with 2 ETFs.

It's exposed for 20% on the Stock Market.

In the last 30 Years, the Stocks/Bonds 20/80 Momentum Portfolio obtained a 6.20% compound annual return, with a 4.95% standard deviation.

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Asset Allocation and ETFs

The Stocks/Bonds 20/80 Momentum Portfolio has the following asset allocation:

20% Stocks
80% Fixed Income
0% Commodities

The Stocks/Bonds 20/80 Momentum Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
20.00
MTUM
USD iShares Edge MSCI USA Momentum Fctr Equity, U.S., Large Cap, Growth
80.00
BND
USD Vanguard Total Bond Market Bond, U.S., All-Term

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of Feb 29, 2024

The Stocks/Bonds 20/80 Momentum Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: March 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
STOCKS/BONDS 20/80 MOMENTUM PORTFOLIO
Consolidated returns as of 29 February 2024
Live Update: Mar 01 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Feb 29, 2024
  1 Day Time ET(*) Mar 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~42Y)
Stocks/Bonds 20/80 Momentum Portfolio 0.80 0.80 1.01 6.71 9.00 2.91 3.73 6.20 8.15
US Inflation Adjusted return 1.01 5.50 6.13 -1.14 0.93 3.59 5.14
Components
MTUM
USD iShares Edge MSCI USA Momentum Fctr 2.34 Mar 01 2024 2.34 10.00 24.44 32.84 12.02 12.68 12.68 13.73
BND
USD Vanguard Total Bond Market 0.42 Mar 01 2024 0.42 -1.36 2.38 3.47 0.54 1.39 4.19 6.44
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.71% , 5Y: 4.10% , 10Y: 2.77% , 30Y: 2.52%

In 2023, the Stocks/Bonds 20/80 Momentum Portfolio granted a 2.85% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 20/80 Momentum Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 6.08$, with a total return of 507.85% (6.20% annualized).

The Inflation Adjusted Capital now would be 2.88$, with a net total return of 187.94% (3.59% annualized).
An investment of 1$, since January 1982, now would be worth 27.22$, with a total return of 2622.09% (8.15% annualized).

The Inflation Adjusted Capital now would be 8.27$, with a net total return of 727.13% (5.14% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Stocks/Bonds 20/80 Momentum Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
STOCKS/BONDS 20/80 MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 January 1982 - 29 February 2024 (~42 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~42Y)
Investment Return (%) 1.01 5.88 6.71 9.00 -1.45 2.91 3.73 4.72 6.20 8.15
Infl. Adjusted Return (%) details 1.01 5.31 5.50 6.13 -6.60 -1.14 0.93 2.10 3.59 5.14
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.87
Pending updates, the monthly inflation after Jan 2024 is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -5.41 -17.91 -17.91 -17.91 -17.91 -17.91 -17.91
Start to Recovery (# months) details 8 28* 28* 28* 28* 28* 28*
Start (yyyy mm) 2023 05 2021 11 2021 11 2021 11 2021 11 2021 11 2021 11
Start to Bottom (# months) 6 11 11 11 11 11 11
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17 17 17
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 05 2021 11 2021 11 2021 11 2021 11 2021 11 2021 11
Start to Bottom (# months) 6 11 11 11 11 11 11
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17 17 17
End (yyyy mm) 2023 12 - - - - - -
Longest negative period (# months) details 8 36* 53 53 53 53 53
Period Start (yyyy mm) 2023 03 2021 03 2019 06 2019 06 2019 06 2019 06 2019 06
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -3.55 -1.45 -0.01 -0.01 -0.01 -0.01 -0.01
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -6.79 -26.72 -28.23 -28.23 -28.23 -28.23 -28.23
Start to Recovery (# months) details 8 30* 38* 38* 38* 38* 38*
Start (yyyy mm) 2023 05 2021 09 2021 01 2021 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 6 26 34 34 34 34 34
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 2 4 4 4 4 4 4
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 05 2021 09 2021 01 2021 01 2021 01 2021 01 2021 01
Start to Bottom (# months) 6 26 34 34 34 34 34
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 2 4 4 4 4 4 4
End (yyyy mm) 2023 12 - - - - - -
Longest negative period (# months) details 8 36* 60* 116 116 116 116
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2014 03 2014 03 2014 03 2014 03
Period End (yyyy mm) 2023 10 2024 02 2024 02 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -6.37 -6.60 -1.14 -0.11 -0.11 -0.11 -0.11
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 7.84 8.31 7.52 5.87 5.13 4.95 5.50
Sharpe Ratio 0.49 -0.46 0.14 0.43 0.66 0.79 0.76
Sortino Ratio 0.73 -0.64 0.20 0.58 0.86 1.05 1.05
Ulcer Index 1.96 11.04 8.62 6.17 4.56 3.76 3.30
Ratio: Return / Standard Deviation 1.15 -0.17 0.39 0.64 0.92 1.25 1.48
Ratio: Return / Deepest Drawdown 1.67 -0.08 0.16 0.21 0.26 0.35 0.45
% Positive Months details 66% 50% 58% 63% 68% 69% 70%
Positive Months 8 18 35 76 165 250 356
Negative Months 4 18 25 44 75 110 150
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 3.73 6.60 9.91 14.33
Worst 10 Years Return (%) - Annualized 2.92 2.92 2.92
Best 10 Years Return (%) - Annualized 0.93 4.76 7.25 10.03
Worst 10 Years Return (%) - Annualized 0.13 0.13 0.13
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 23.01 15.44 14.03 9.91 7.88 6.20
Worst Rolling Return (%) - Annualized -16.89 -4.27 1.08 2.92 4.38
% Positive Periods 91% 94% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.53 27.88 20.50 11.18 6.56 6.57
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.15 1.99 4.29
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 19.97 12.59 11.39 7.25 5.44 3.59
Worst Rolling Return (%) - Annualized -22.87 -9.46 -2.84 0.13 1.76
% Positive Periods 84% 92% 92% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.53 27.88 20.50 11.18 6.56 6.57
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.15 1.99 4.29
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1982 - Feb 2024)
Best Rolling Return (%) - Annualized 34.58 20.38 18.99 14.33 11.86 9.88
Worst Rolling Return (%) - Annualized -16.89 -4.27 1.08 2.92 4.38 5.79
% Positive Periods 91% 96% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.53 27.88 20.50 11.18 6.56 6.37
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.15 1.99 3.90
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 31.09 16.81 15.11 10.03 8.39 6.74
Worst Rolling Return (%) - Annualized -22.87 -9.46 -2.84 0.13 1.76 3.19
% Positive Periods 83% 94% 95% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.53 27.88 20.50 11.18 6.56 6.37
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.15 1.99 3.90
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 29 February 2024
Swipe left to see all data
Asset
MTUM
BND
MTUM
-
0.47
BND
0.47
-
Asset
MTUM
BND
MTUM
-
0.46
BND
0.46
-
Asset
MTUM
BND
MTUM
-
0.37
BND
0.37
-
Asset
MTUM
BND
MTUM
-
0.17
BND
0.17
-
Asset
MTUM
BND
MTUM
-
0.24
BND
0.24
-

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

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.

STOCKS/BONDS 20/80 MOMENTUM PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1982 - 29 February 2024 (~42 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-17.91% Nov 2021 Sep 2022 11 in progress 17 28 12.46
-9.00% Jan 2008 Oct 2008 10 Aug 2009 10 20 4.15
-3.64% Aug 2016 Nov 2016 4 Apr 2017 5 9 1.84
-3.49% Mar 1994 Jun 1994 4 Jan 1995 7 11 2.25
-3.46% Feb 2020 Mar 2020 2 Apr 2020 1 3 1.73
-3.12% Sep 2018 Oct 2018 2 Feb 2019 4 6 1.75
-2.95% Jan 2021 Mar 2021 3 Jun 2021 3 6 1.39
-2.48% May 2013 Jun 2013 2 Oct 2013 4 6 1.41
-2.37% Apr 2004 Apr 2004 1 Aug 2004 4 5 1.53
-2.29% Jul 2003 Jul 2003 1 Sep 2003 2 3 1.35
-2.26% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.22
-2.01% Feb 2001 Mar 2001 2 Jul 2001 4 6 1.04
-1.89% Feb 2018 Apr 2018 3 Aug 2018 4 7 0.98
-1.81% Aug 1997 Aug 1997 1 Sep 1997 1 2 1.05
-1.79% Jun 2002 Jul 2002 2 Oct 2002 3 5 0.85
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 184 2.0 Months 50.97%
 
DD = 0% 50.97%
 
0% < DD <= -5% 147 2.5 Months 40.72%
 
DD <= -5% 91.69%
 
-5% < DD <= -10% 10 36.1 Months 2.77%
 
DD <= -10% 94.46%
 
-10% < DD <= -15% 14 25.8 Months 3.88%
 
DD <= -15% 98.34%
 
-15% < DD <= -20% 6 60.2 Months 1.66%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-28.23% Jan 2021 Oct 2023 34 in progress 4 38 18.25
-11.46% Dec 2007 Oct 2008 11 Sep 2009 11 22 5.14
-4.81% Mar 1994 Nov 1994 9 Mar 1995 4 13 3.14
-4.41% Aug 2016 Nov 2016 4 May 2017 6 10 2.56
-3.55% Sep 2018 Oct 2018 2 Mar 2019 5 7 1.91
-3.17% Feb 2020 Mar 2020 2 Apr 2020 1 3 1.59
-3.02% May 2013 Aug 2013 4 Oct 2013 2 6 1.77
-2.84% Apr 2004 May 2004 2 Dec 2004 7 9 1.59
-2.83% Sep 2005 Oct 2005 2 Dec 2005 2 4 1.56
-2.64% Jun 2003 Jul 2003 2 Nov 2003 4 6 1.33
-2.59% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.42
-2.48% Jan 2006 Jun 2006 6 Sep 2006 3 9 1.34
-2.43% Feb 2018 Apr 2018 3 Aug 2018 4 7 1.44
-2.29% Feb 2015 Aug 2015 7 Mar 2016 7 14 1.08
-2.29% Feb 2001 Mar 2001 2 Oct 2001 7 9 1.35
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 133 2.7 Months 36.84%
 
DD = 0% 36.84%
 
0% < DD <= -5% 191 1.9 Months 52.91%
 
DD <= -5% 89.75%
 
-5% < DD <= -10% 11 32.8 Months 3.05%
 
DD <= -10% 92.80%
 
-10% < DD <= -15% 3 120.3 Months 0.83%
 
DD <= -15% 93.63%
 
-15% < DD <= -20% 3 120.3 Months 0.83%
 
DD <= -20% 94.46%
 
-20% < DD <= -25% 15 24.1 Months 4.16%
 
DD <= -25% 98.61%
 
-25% < DD <= -30% 5 72.2 Months 1.39%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-17.91% Nov 2021 Sep 2022 11 in progress 17 28 12.46
-9.00% Jan 2008 Oct 2008 10 Aug 2009 10 20 4.15
-6.53% Sep 1987 Nov 1987 3 Feb 1988 3 6 3.65
-5.47% Feb 1984 May 1984 4 Aug 1984 3 7 2.67
-5.46% Feb 1994 Jun 1994 5 Feb 1995 8 13 3.79
-3.64% Aug 2016 Nov 2016 4 Apr 2017 5 9 1.84
-3.46% Feb 2020 Mar 2020 2 Apr 2020 1 3 1.73
-3.28% May 1983 Jul 1983 3 Nov 1983 4 7 1.66
-3.15% Sep 1986 Sep 1986 1 Nov 1986 2 3 1.63
-3.12% Sep 2018 Oct 2018 2 Feb 2019 4 6 1.75
-2.95% Jan 2021 Mar 2021 3 Jun 2021 3 6 1.39
-2.90% Aug 1990 Sep 1990 2 Nov 1990 2 4 1.92
-2.82% Apr 1987 May 1987 2 Jul 1987 2 4 1.78
-2.80% Mar 1988 May 1988 3 Jun 1988 1 4 1.73
-2.78% Jan 1990 Jan 1990 1 May 1990 4 5 1.74
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 271 1.9 Months 53.45%
 
DD = 0% 53.45%
 
0% < DD <= -5% 201 2.5 Months 39.64%
 
DD <= -5% 93.10%
 
-5% < DD <= -10% 15 33.8 Months 2.96%
 
DD <= -10% 96.06%
 
-10% < DD <= -15% 14 36.2 Months 2.76%
 
DD <= -15% 98.82%
 
-15% < DD <= -20% 6 84.5 Months 1.18%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-28.23% Jan 2021 Oct 2023 34 in progress 4 38 18.25
-11.46% Dec 2007 Oct 2008 11 Sep 2009 11 22 5.14
-8.64% Mar 1987 Nov 1987 9 May 1989 18 27 3.98
-7.90% May 1983 May 1984 13 Oct 1984 5 18 3.45
-7.01% Feb 1994 Nov 1994 10 May 1995 6 16 4.69
-4.41% Aug 2016 Nov 2016 4 May 2017 6 10 2.56
-4.37% Aug 1990 Sep 1990 2 Dec 1990 3 5 2.81
-4.32% Jan 1990 Apr 1990 4 Jun 1990 2 6 2.71
-3.55% Sep 2018 Oct 2018 2 Mar 2019 5 7 1.91
-3.50% Sep 1986 Sep 1986 1 Jan 1987 4 5 1.60
-3.17% Feb 2020 Mar 2020 2 Apr 2020 1 3 1.59
-3.02% May 2013 Aug 2013 4 Oct 2013 2 6 1.77
-2.84% Apr 2004 May 2004 2 Dec 2004 7 9 1.59
-2.83% Sep 2005 Oct 2005 2 Dec 2005 2 4 1.56
-2.82% Jun 1982 Jun 1982 1 Aug 1982 2 3 1.41
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 195 2.6 Months 38.46%
 
DD = 0% 38.46%
 
0% < DD <= -5% 259 2.0 Months 51.08%
 
DD <= -5% 89.55%
 
-5% < DD <= -10% 27 18.8 Months 5.33%
 
DD <= -10% 94.87%
 
-10% < DD <= -15% 3 169.0 Months 0.59%
 
DD <= -15% 95.46%
 
-15% < DD <= -20% 3 169.0 Months 0.59%
 
DD <= -20% 96.06%
 
-20% < DD <= -25% 15 33.8 Months 2.96%
 
DD <= -25% 99.01%
 
-25% < DD <= -30% 5 101.4 Months 0.99%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

STOCKS/BONDS 20/80 MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1982 - 29 February 2024 (~42 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -16.89 11/2021
10/2022
0.83$ 2.34 1.02$ 6.93 1.06$ 11.42 1.11$ 23.01 01/1995
12/1995
1.23$ 9.00 8.88%
2Y -9.26 11/2021
10/2023
0.82$ 3.32 1.06$ 6.28 1.12$ 10.90 1.22$ 16.78 12/1994
11/1996
1.36$ -1.16 7.42%
3Y -4.27 11/2020
10/2023
0.87$ 4.21 1.13$ 6.10 1.19$ 9.89 1.32$ 15.44 01/1995
12/1997
1.53$ -1.45 5.54%
5Y 1.08 10/2018
09/2023
1.05$ 4.77 1.26$ 5.86 1.32$ 7.72 1.45$ 14.03 01/1995
12/1999
1.92$ 2.91 0.00%
7Y 1.99 11/2016
10/2023
1.14$ 5.19 1.42$ 5.85 1.48$ 7.72 1.68$ 11.64 12/1994
11/2001
2.16$ 3.57 0.00%
10Y 2.92 11/2013
10/2023
1.33$ 5.19 1.65$ 5.88 1.77$ 7.88 2.13$ 9.91 01/1995
12/2004
2.57$ 3.73 0.00%
15Y 4.03 10/2007
09/2022
1.80$ 5.34 2.18$ 5.88 2.35$ 7.34 2.89$ 8.27 12/1994
11/2009
3.29$ 5.30 0.00%
20Y 4.38 11/2003
10/2023
2.35$ 5.01 2.65$ 5.92 3.15$ 7.11 3.95$ 7.88 12/1994
11/2014
4.55$ 4.72 0.00%
30Y 6.20 03/1994
02/2024
6.07$ 6.20 6.07$ 6.20 6.07$ 6.20 6.07$ 6.20 03/1994
02/2024
6.07$ 6.20 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -22.87 11/2021
10/2022
0.77$ -0.40 0.99$ 4.20 1.04$ 9.35 1.09$ 19.97 01/1995
12/1995
1.19$ 6.13 15.19%
2Y -13.97 11/2021
10/2023
0.74$ 1.21 1.02$ 3.96 1.08$ 8.22 1.17$ 14.77 04/1997
03/1999
1.31$ -5.26 10.68%
3Y -9.46 11/2020
10/2023
0.74$ 1.99 1.06$ 3.79 1.11$ 7.22 1.23$ 12.59 01/1995
12/1997
1.42$ -6.60 7.69%
5Y -2.84 10/2018
09/2023
0.86$ 2.38 1.12$ 3.71 1.19$ 5.55 1.31$ 11.39 01/1995
12/1999
1.71$ -1.14 7.31%
7Y -1.45 11/2016
10/2023
0.90$ 2.69 1.20$ 3.64 1.28$ 5.45 1.45$ 8.97 12/1994
11/2001
1.82$ 0.10 4.69%
10Y 0.13 11/2013
10/2023
1.01$ 2.79 1.31$ 3.65 1.43$ 5.26 1.66$ 7.25 01/1995
12/2004
2.01$ 0.93 0.00%
15Y 1.62 11/2007
10/2022
1.27$ 3.21 1.60$ 3.66 1.71$ 4.80 2.02$ 5.62 12/1994
11/2009
2.27$ 2.69 0.00%
20Y 1.76 11/2003
10/2023
1.41$ 2.43 1.61$ 3.72 2.07$ 4.84 2.57$ 5.44 02/1995
01/2015
2.88$ 2.10 0.00%
30Y 3.59 03/1994
02/2024
2.87$ 3.59 2.87$ 3.59 2.87$ 3.59 2.87$ 3.59 03/1994
02/2024
2.87$ 3.59 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -16.89 11/2021
10/2022
0.83$ 2.27 1.02$ 7.61 1.07$ 14.24 1.14$ 34.58 03/1982
02/1983
1.34$ 9.00 8.69%
2Y -9.26 11/2021
10/2023
0.82$ 3.93 1.08$ 7.03 1.14$ 13.15 1.28$ 26.72 07/1984
06/1986
1.60$ -1.16 5.18%
3Y -4.27 11/2020
10/2023
0.87$ 4.63 1.14$ 7.13 1.22$ 13.40 1.45$ 20.38 07/1984
06/1987
1.74$ -1.45 3.82%
5Y 1.08 10/2018
09/2023
1.05$ 5.13 1.28$ 6.89 1.39$ 11.88 1.75$ 18.99 03/1982
02/1987
2.38$ 2.91 0.00%
7Y 1.99 11/2016
10/2023
1.14$ 5.44 1.44$ 6.67 1.57$ 11.33 2.11$ 15.18 08/1982
07/1989
2.68$ 3.57 0.00%
10Y 2.92 11/2013
10/2023
1.33$ 5.41 1.69$ 7.15 1.99$ 11.16 2.88$ 14.33 01/1982
12/1991
3.81$ 3.73 0.00%
15Y 4.03 10/2007
09/2022
1.80$ 5.62 2.26$ 7.49 2.95$ 10.76 4.62$ 12.83 08/1982
07/1997
6.11$ 5.30 0.00%
20Y 4.38 11/2003
10/2023
2.35$ 5.81 3.09$ 7.68 4.39$ 10.10 6.85$ 11.86 03/1982
02/2002
9.41$ 4.72 0.00%
30Y 5.79 11/1993
10/2023
5.41$ 6.58 6.76$ 7.75 9.38$ 8.99 13.22$ 9.88 04/1982
03/2012
16.90$ 6.20 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -22.87 11/2021
10/2022
0.77$ -0.73 0.99$ 5.08 1.05$ 11.12 1.11$ 31.09 07/1982
06/1983
1.31$ 6.13 16.97%
2Y -13.97 11/2021
10/2023
0.74$ 1.48 1.02$ 4.47 1.09$ 9.63 1.20$ 23.37 07/1984
06/1986
1.52$ -5.26 8.49%
3Y -9.46 11/2020
10/2023
0.74$ 2.45 1.07$ 4.63 1.14$ 10.02 1.33$ 16.81 07/1984
06/1987
1.59$ -6.60 5.31%
5Y -2.84 10/2018
09/2023
0.86$ 2.97 1.15$ 4.58 1.25$ 8.32 1.49$ 15.11 03/1982
02/1987
2.02$ -1.14 4.92%
7Y -1.45 11/2016
10/2023
0.90$ 3.06 1.23$ 4.76 1.38$ 8.21 1.73$ 11.23 08/1982
07/1989
2.10$ 0.10 3.07%
10Y 0.13 11/2013
10/2023
1.01$ 3.13 1.36$ 4.67 1.57$ 7.87 2.13$ 10.03 07/1982
06/1992
2.60$ 0.93 0.00%
15Y 1.62 11/2007
10/2022
1.27$ 3.43 1.65$ 4.86 2.03$ 7.36 2.90$ 9.15 06/1984
05/1999
3.71$ 2.69 0.00%
20Y 1.76 11/2003
10/2023
1.41$ 3.55 2.00$ 5.12 2.71$ 6.88 3.78$ 8.39 03/1982
02/2002
5.00$ 2.10 0.00%
30Y 3.19 11/1993
10/2023
2.56$ 4.00 3.24$ 5.11 4.46$ 5.96 5.67$ 6.74 07/1982
06/2012
7.06$ 3.59 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the Stocks/Bonds 20/80 Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Stocks/Bonds 20/80 Momentum Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.41
60%
-1.00
20%
-0.34
40%
0.43
80%
0.24
60%
0.67
80%
1.46
100%
0.21
60%
-2.12
0%
0.14
60%
2.44
80%
0.65
60%
Best 2.5
2023
1.0
2024
2.2
2023
4.3
2020
1.6
2020
2.3
2019
2.9
2022
2.2
2019
-0.7
2019
1.9
2021
5.5
2023
3.8
2023
Worst -3.5
2022
-3.1
2023
-3.3
2020
-5.7
2022
-1.9
2023
-2.5
2022
0.2
2023
-2.7
2022
-4.5
2022
-1.5
2023
-0.8
2021
-1.4
2022
Monthly Seasonality over the period Feb 1982 - Feb 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.76
80%
-0.38
50%
-0.04
50%
0.29
70%
0.64
80%
0.51
70%
1.08
90%
0.36
60%
-1.07
30%
0.03
60%
1.27
70%
0.38
50%
Best 2.5
2023
1.3
2017
2.2
2023
4.3
2020
1.6
2014
2.3
2019
2.9
2022
2.2
2019
0.3
2017
1.9
2021
5.5
2023
3.8
2023
Worst -3.5
2022
-3.1
2023
-3.3
2020
-5.7
2022
-1.9
2023
-2.5
2022
-0.4
2014
-2.7
2022
-4.5
2022
-2.9
2018
-2.2
2016
-1.4
2022
Monthly Seasonality over the period Feb 1982 - Feb 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.82
81%
0.32
67%
0.28
57%
0.69
74%
0.67
67%
0.62
71%
0.91
76%
0.77
74%
0.28
60%
0.69
74%
0.99
71%
0.96
71%
Best 3.6
1987
4.2
1986
4.1
1986
4.3
2020
5.8
1985
3.0
1988
4.0
1997
6.4
1982
4.1
1982
6.3
1982
5.5
2023
4.8
1991
Worst -3.5
2022
-3.1
2023
-3.3
2020
-5.7
2022
-3.7
1984
-2.5
2022
-2.5
1983
-2.7
1990
-4.5
2022
-5.3
2008
-2.2
2016
-1.4
2022
Monthly Seasonality over the period Feb 1982 - Feb 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Stocks/Bonds 20/80 Momentum Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

STOCKS/BONDS 20/80 MOMENTUM PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1982 - 29 February 2024 (~42 years)
250 Positive Months (69%) - 110 Negative Months (31%)
356 Positive Months (70%) - 150 Negative Months (30%)
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(Scroll down to see all data)
Investment Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • MTUM - iShares Edge MSCI USA Momentum Fctr (MTUM), up to December 2013
  • BND - Vanguard Total Bond Market (BND), up to December 2007

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Golden Butterfly Tyler +7.56 7.73 -17.79 40 40 20
Simplified Permanent Portfolio +6.85 6.88 -16.43 25 50 25
Ulcer Free Strategy Aim Ways +6.61 5.50 -17.05 7 82 11
Desert Portfolio Gyroscopic Investing +6.60 5.50 -14.72 30 60 10
Permanent Portfolio Harry Browne +6.47 6.59 -15.92 25 50 25
Stocks/Bonds 20/80 Momentum +6.20 4.95 -17.91 20 80 0

The following portfolios share asset allocation strategy and/or similar asset weights.

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5 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 20/80 +3.30 7.62 -16.57 20 80 0
Stocks/Bonds 20/80 Momentum +2.91 7.52 -17.91 20 80 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Low Risk categorization.

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30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Ulcer Free Strategy Aim Ways +6.61 5.50 -17.05 7 82 11
High Yield Bonds Income +6.50 8.82 -23.97 0 100 0
Stocks/Bonds 20/80 Momentum +6.20 4.95 -17.91 20 80 0
All Country World 20/80 +5.70 5.63 -17.97 20 80 0
Stocks/Bonds 20/80 +5.66 4.92 -16.57 20 80 0
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