Stocks/Bonds 80/20 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)
1.96%
1 Day
Mar 01 2024
1.96%
Current Month
March 2024

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

It's exposed for 80% on the Stock Market.

In the last 30 Years, the Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.32% compound annual return, with a 12.42% standard deviation.

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Asset Allocation and ETFs

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

80% Stocks
20% Fixed Income
0% Commodities

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

Weight (%) Ticker Currency ETF Name Investment Themes
80.00
MTUM
USD iShares Edge MSCI USA Momentum Fctr Equity, U.S., Large Cap, Growth
20.00
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 80/20 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 80/20 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 80/20 Momentum Portfolio 1.96 1.96 7.82 19.94 26.62 9.80 10.50 11.32 12.54
US Inflation Adjusted return 7.82 18.58 23.27 5.47 7.52 8.58 9.41
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 80/20 Momentum Portfolio granted a 1.81% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 80/20 Momentum Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 24.93$, with a total return of 2393.10% (11.32% annualized).

The Inflation Adjusted Capital now would be 11.81$, with a net total return of 1081.00% (8.58% annualized).
An investment of 1$, since January 1982, now would be worth 145.71$, with a total return of 14470.67% (12.54% annualized).

The Inflation Adjusted Capital now would be 44.27$, with a net total return of 4327.40% (9.41% annualized).

Portfolio Metrics as of Feb 29, 2024

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

Metrics are calculated based on monthly returns, assuming:
STOCKS/BONDS 80/20 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 (%) 7.82 17.70 19.94 26.62 3.58 9.80 10.50 9.62 11.32 12.54
Infl. Adjusted Return (%) details 7.82 17.07 18.58 23.27 -1.84 5.47 7.52 6.88 8.58 9.41
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 (%) -5.88 -27.23 -27.23 -27.23 -43.61 -43.61 -43.61
Start to Recovery (# months) details 3 28* 28* 28* 52 52 52
Start (yyyy mm) 2023 09 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 2 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 36 36 36
End (yyyy mm) 2023 11 - - - 2012 02 2012 02 2012 02
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 09 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 2 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 36 36 36
End (yyyy mm) 2023 11 - - - 2012 02 2012 02 2012 02
Longest negative period (# months) details 8 34 39 39 61 112 112
Period Start (yyyy mm) 2023 03 2021 03 2020 08 2020 08 2004 03 1999 11 1999 11
Period End (yyyy mm) 2023 10 2023 12 2023 10 2023 10 2009 03 2009 02 2009 02
Annualized Return (%) -0.96 -0.47 -0.51 -0.51 -0.39 -0.47 -0.47
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -6.67 -32.11 -32.11 -32.11 -44.54 -44.54 -44.54
Start to Recovery (# months) details 4 28* 28* 28* 63 63 63
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 47 47 47
End (yyyy mm) 2023 11 - - - 2013 01 2013 01 2013 01
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 08 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 47 47 47
End (yyyy mm) 2023 11 - - - 2013 01 2013 01 2013 01
Longest negative period (# months) details 8 36* 54 62 70 133 133
Period Start (yyyy mm) 2023 03 2021 03 2019 05 2018 09 2005 12 2000 09 2000 09
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2011 09 2011 09 2011 09
Annualized Return (%) -3.86 -1.84 -0.01 -0.44 -0.34 -0.07 -0.07
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 13.86 15.94 15.68 12.97 12.41 12.42 12.58
Sharpe Ratio 1.55 0.08 0.51 0.72 0.67 0.73 0.68
Sortino Ratio 2.17 0.11 0.70 0.98 0.88 0.96 0.91
Ulcer Index 2.32 16.39 12.97 9.46 11.74 11.97 10.68
Ratio: Return / Standard Deviation 1.92 0.22 0.62 0.81 0.78 0.91 1.00
Ratio: Return / Deepest Drawdown 4.52 0.13 0.36 0.39 0.22 0.26 0.29
% Positive Months details 75% 52% 60% 60% 62% 63% 64%
Positive Months 9 19 36 73 151 229 325
Negative Months 3 17 24 47 89 131 181
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 10.50 15.66 16.06 21.69
Worst 10 Years Return (%) - Annualized 7.21 1.38 1.38
Best 10 Years Return (%) - Annualized 7.52 13.66 13.66 18.42
Worst 10 Years Return (%) - Annualized 5.36 -1.18 -1.18
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 47.61 35.32 33.15 16.06 12.35 11.32
Worst Rolling Return (%) - Annualized -38.13 -10.64 -1.56 1.38 6.81
% Positive Periods 81% 83% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 77.04 25.11 16.07 8.87 5.68 11.04
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.38 10.10
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 45.61 32.65 30.06 13.66 9.80 8.58
Worst Rolling Return (%) - Annualized -38.13 -12.54 -4.10 -1.18 4.63
% Positive Periods 78% 76% 88% 93% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 77.04 25.11 16.07 8.87 5.68 11.04
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.38 10.10
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 53.30 35.32 33.15 21.69 16.50 13.19
Worst Rolling Return (%) - Annualized -38.13 -10.64 -1.56 1.38 6.81 10.44
% Positive Periods 82% 88% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 77.04 25.11 16.07 8.87 5.68 8.37
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.38 7.65
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 49.60 32.65 30.06 18.42 12.86 10.11
Worst Rolling Return (%) - Annualized -38.13 -12.54 -4.10 -1.18 4.63 7.72
% Positive Periods 78% 83% 91% 95% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 77.04 25.11 16.07 8.87 5.68 8.37
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.38 7.65
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 80/20 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
-43.61% Nov 2007 Feb 2009 16 Feb 2012 36 52 20.50
-32.75% Sep 2000 Sep 2002 25 Dec 2004 27 52 18.54
-27.23% Nov 2021 Sep 2022 11 in progress 17 28 18.50
-14.33% Feb 2020 Mar 2020 2 Jun 2020 3 5 6.76
-12.46% Oct 2018 Dec 2018 3 Jun 2019 6 9 6.19
-9.24% Aug 1998 Aug 1998 1 Oct 1998 2 3 4.97
-6.55% Sep 2020 Oct 2020 2 Nov 2020 1 3 3.63
-6.22% Aug 2015 Sep 2015 2 Mar 2016 6 8 3.19
-5.19% Apr 2012 May 2012 2 Aug 2012 3 5 2.34
-4.92% Jan 2000 Feb 2000 2 Mar 2000 1 3 3.18
-4.22% Aug 1997 Aug 1997 1 Nov 1997 3 4 2.02
-4.14% Apr 2000 May 2000 2 Aug 2000 3 5 2.61
-4.12% Mar 1994 Jun 1994 4 Aug 1994 2 6 2.67
-4.02% Feb 2018 Mar 2018 2 Jul 2018 4 6 2.22
-3.67% Sep 1994 Nov 1994 3 Jan 1995 2 5 2.19
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 130 2.8 Months 36.01%
 
DD = 0% 36.01%
 
0% < DD <= -5% 101 3.6 Months 27.98%
 
DD <= -5% 63.99%
 
-5% < DD <= -10% 37 9.8 Months 10.25%
 
DD <= -10% 74.24%
 
-10% < DD <= -15% 15 24.1 Months 4.16%
 
DD <= -15% 78.39%
 
-15% < DD <= -20% 19 19.0 Months 5.26%
 
DD <= -20% 83.66%
 
-20% < DD <= -25% 33 10.9 Months 9.14%
 
DD <= -25% 92.80%
 
-25% < DD <= -30% 16 22.6 Months 4.43%
 
DD <= -30% 97.23%
 
-30% < DD <= -35% 6 60.2 Months 1.66%
 
DD <= -35% 98.89%
 
-35% < DD <= -40% 2 180.5 Months 0.55%
 
DD <= -40% 99.45%
 
-40% < DD <= -45% 2 180.5 Months 0.55%
 
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
-44.54% Nov 2007 Feb 2009 16 Jan 2013 47 63 20.94
-35.76% Sep 2000 Sep 2002 25 Nov 2005 38 63 20.20
-32.11% Nov 2021 Sep 2022 11 in progress 17 28 24.21
-14.07% Feb 2020 Mar 2020 2 Jun 2020 3 5 6.52
-12.67% Oct 2018 Dec 2018 3 Jun 2019 6 9 6.48
-9.48% Jul 1998 Aug 1998 2 Oct 1998 2 4 4.60
-6.86% Sep 2020 Oct 2020 2 Nov 2020 1 3 3.82
-6.01% Aug 2015 Sep 2015 2 Mar 2016 6 8 3.08
-5.60% Jan 2000 Feb 2000 2 Mar 2000 1 3 3.53
-4.90% Mar 1994 Jun 1994 4 Aug 1994 2 6 3.12
-4.45% Aug 1997 Aug 1997 1 Nov 1997 3 4 2.26
-4.32% Feb 2018 Apr 2018 3 Aug 2018 4 7 2.42
-4.30% Aug 2016 Nov 2016 4 Feb 2017 3 7 2.46
-4.25% Apr 2000 May 2000 2 Aug 2000 3 5 2.94
-4.18% Sep 1994 Nov 1994 3 Feb 1995 3 6 2.37
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 113 3.2 Months 31.30%
 
DD = 0% 31.30%
 
0% < DD <= -5% 99 3.6 Months 27.42%
 
DD <= -5% 58.73%
 
-5% < DD <= -10% 29 12.4 Months 8.03%
 
DD <= -10% 66.76%
 
-10% < DD <= -15% 24 15.0 Months 6.65%
 
DD <= -15% 73.41%
 
-15% < DD <= -20% 21 17.2 Months 5.82%
 
DD <= -20% 79.22%
 
-20% < DD <= -25% 23 15.7 Months 6.37%
 
DD <= -25% 85.60%
 
-25% < DD <= -30% 30 12.0 Months 8.31%
 
DD <= -30% 93.91%
 
-30% < DD <= -35% 15 24.1 Months 4.16%
 
DD <= -35% 98.06%
 
-35% < DD <= -40% 5 72.2 Months 1.39%
 
DD <= -40% 99.45%
 
-40% < DD <= -45% 2 180.5 Months 0.55%
 
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
-43.61% Nov 2007 Feb 2009 16 Feb 2012 36 52 20.50
-32.75% Sep 2000 Sep 2002 25 Dec 2004 27 52 18.54
-27.23% Nov 2021 Sep 2022 11 in progress 17 28 18.50
-25.63% Sep 1987 Nov 1987 3 May 1989 18 21 15.38
-14.33% Feb 2020 Mar 2020 2 Jun 2020 3 5 6.76
-12.46% Oct 2018 Dec 2018 3 Jun 2019 6 9 6.19
-10.02% Aug 1990 Sep 1990 2 Jan 1991 4 6 6.20
-9.41% Jul 1983 May 1984 11 Oct 1984 5 16 4.29
-9.24% Aug 1998 Aug 1998 1 Oct 1998 2 3 4.97
-6.80% Feb 1994 Jun 1994 5 Feb 1995 8 13 4.09
-6.69% Sep 1986 Sep 1986 1 Nov 1986 2 3 3.50
-6.55% Sep 2020 Oct 2020 2 Nov 2020 1 3 3.63
-6.22% Aug 2015 Sep 2015 2 Mar 2016 6 8 3.19
-5.43% Jan 1990 Jan 1990 1 May 1990 4 5 3.18
-5.19% Apr 2012 May 2012 2 Aug 2012 3 5 2.34
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 194 2.6 Months 38.26%
 
DD = 0% 38.26%
 
0% < DD <= -5% 154 3.3 Months 30.37%
 
DD <= -5% 68.64%
 
-5% < DD <= -10% 49 10.3 Months 9.66%
 
DD <= -10% 78.30%
 
-10% < DD <= -15% 18 28.2 Months 3.55%
 
DD <= -15% 81.85%
 
-15% < DD <= -20% 30 16.9 Months 5.92%
 
DD <= -20% 87.77%
 
-20% < DD <= -25% 35 14.5 Months 6.90%
 
DD <= -25% 94.67%
 
-25% < DD <= -30% 17 29.8 Months 3.35%
 
DD <= -30% 98.03%
 
-30% < DD <= -35% 6 84.5 Months 1.18%
 
DD <= -35% 99.21%
 
-35% < DD <= -40% 2 253.5 Months 0.39%
 
DD <= -40% 99.61%
 
-40% < DD <= -45% 2 253.5 Months 0.39%
 
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
-44.54% Nov 2007 Feb 2009 16 Jan 2013 47 63 20.94
-35.76% Sep 2000 Sep 2002 25 Nov 2005 38 63 20.20
-32.11% Nov 2021 Sep 2022 11 in progress 17 28 24.21
-26.34% Sep 1987 Nov 1987 3 Jul 1989 20 23 17.22
-14.07% Feb 2020 Mar 2020 2 Jun 2020 3 5 6.52
-13.00% Jul 1983 May 1984 11 Jan 1985 8 19 6.60
-12.67% Oct 2018 Dec 2018 3 Jun 2019 6 9 6.48
-12.28% Jun 1990 Oct 1990 5 Feb 1991 4 9 6.76
-9.48% Jul 1998 Aug 1998 2 Oct 1998 2 4 4.60
-7.80% Feb 1994 Jun 1994 5 Mar 1995 9 14 5.09
-7.03% Sep 1986 Sep 1986 1 Jan 1987 4 5 3.24
-6.86% Sep 2020 Oct 2020 2 Nov 2020 1 3 3.82
-6.32% Jan 1990 Jan 1990 1 May 1990 4 5 4.27
-6.01% Aug 2015 Sep 2015 2 Mar 2016 6 8 3.08
-5.60% Jan 2000 Feb 2000 2 Mar 2000 1 3 3.53
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 166 3.1 Months 32.74%
 
DD = 0% 32.74%
 
0% < DD <= -5% 144 3.5 Months 28.40%
 
DD <= -5% 61.14%
 
-5% < DD <= -10% 53 9.6 Months 10.45%
 
DD <= -10% 71.60%
 
-10% < DD <= -15% 32 15.8 Months 6.31%
 
DD <= -15% 77.91%
 
-15% < DD <= -20% 30 16.9 Months 5.92%
 
DD <= -20% 83.83%
 
-20% < DD <= -25% 29 17.5 Months 5.72%
 
DD <= -25% 89.55%
 
-25% < DD <= -30% 31 16.4 Months 6.11%
 
DD <= -30% 95.66%
 
-30% < DD <= -35% 15 33.8 Months 2.96%
 
DD <= -35% 98.62%
 
-35% < DD <= -40% 5 101.4 Months 0.99%
 
DD <= -40% 99.61%
 
-40% < DD <= -45% 2 253.5 Months 0.39%
 
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 80/20 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 -38.13 03/2008
02/2009
0.61$ -5.41 0.94$ 14.30 1.14$ 27.43 1.27$ 47.61 04/1997
03/1998
1.47$ 26.62 18.91%
2Y -19.13 03/2007
02/2009
0.65$ -5.33 0.89$ 13.68 1.29$ 23.31 1.52$ 39.17 04/1997
03/1999
1.93$ 5.85 18.99%
3Y -10.64 03/2006
02/2009
0.71$ -0.93 0.97$ 13.07 1.44$ 20.38 1.74$ 35.32 08/1996
07/1999
2.47$ 3.58 16.92%
5Y -1.56 03/2004
02/2009
0.92$ 2.73 1.14$ 11.21 1.70$ 16.30 2.12$ 33.15 01/1995
12/1999
4.18$ 9.80 0.66%
7Y 1.09 03/2002
02/2009
1.07$ 5.76 1.48$ 9.65 1.90$ 14.25 2.54$ 21.43 05/1994
04/2001
3.89$ 11.22 0.00%
10Y 1.38 03/1999
02/2009
1.14$ 5.72 1.74$ 9.37 2.44$ 14.32 3.81$ 16.06 01/1995
12/2004
4.43$ 10.50 0.00%
15Y 5.92 09/2000
08/2015
2.37$ 7.22 2.84$ 9.54 3.92$ 10.69 4.58$ 13.62 03/2009
02/2024
6.79$ 13.62 0.00%
20Y 6.81 04/2000
03/2020
3.73$ 8.11 4.75$ 9.78 6.46$ 11.19 8.34$ 12.35 12/1994
11/2014
10.26$ 9.62 0.00%
30Y 11.32 03/1994
02/2024
24.93$ 11.32 24.93$ 11.32 24.93$ 11.32 24.93$ 11.32 03/1994
02/2024
24.93$ 11.32 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 -38.13 03/2008
02/2009
0.61$ -8.34 0.91$ 11.59 1.11$ 24.36 1.24$ 45.61 04/1997
03/1998
1.45$ 23.27 21.20%
2Y -20.76 03/2007
02/2009
0.62$ -8.87 0.83$ 10.85 1.22$ 19.90 1.43$ 37.04 04/1997
03/1999
1.87$ 1.46 21.66%
3Y -12.54 03/2006
02/2009
0.66$ -4.44 0.87$ 10.76 1.35$ 17.47 1.62$ 32.65 08/1996
07/1999
2.33$ -1.84 23.69%
5Y -4.10 03/2004
02/2009
0.81$ 0.28 1.01$ 9.36 1.56$ 14.16 1.93$ 30.06 01/1995
12/1999
3.72$ 5.47 11.96%
7Y -1.45 03/2002
02/2009
0.90$ 3.16 1.24$ 6.52 1.55$ 12.35 2.25$ 18.33 05/1994
04/2001
3.24$ 7.50 1.08%
10Y -1.18 03/1999
02/2009
0.88$ 3.20 1.37$ 6.74 1.92$ 11.94 3.09$ 13.66 09/2010
08/2020
3.59$ 7.52 6.64%
15Y 3.68 09/2000
08/2015
1.71$ 4.79 2.01$ 7.06 2.78$ 8.38 3.34$ 10.81 03/2009
02/2024
4.66$ 10.81 0.00%
20Y 4.63 04/2000
03/2020
2.47$ 5.81 3.09$ 7.30 4.09$ 8.79 5.39$ 9.80 12/1994
11/2014
6.49$ 6.88 0.00%
30Y 8.58 03/1994
02/2024
11.80$ 8.58 11.80$ 8.58 11.80$ 8.58 11.80$ 8.58 03/1994
02/2024
11.80$ 8.58 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 -38.13 03/2008
02/2009
0.61$ -1.40 0.98$ 14.30 1.14$ 29.39 1.29$ 53.30 07/1982
06/1983
1.53$ 26.62 17.37%
2Y -19.13 03/2007
02/2009
0.65$ 0.98 1.01$ 13.70 1.29$ 23.04 1.51$ 39.17 04/1997
03/1999
1.93$ 5.85 13.25%
3Y -10.64 03/2006
02/2009
0.71$ 2.53 1.07$ 13.70 1.46$ 19.70 1.71$ 35.32 08/1996
07/1999
2.47$ 3.58 11.68%
5Y -1.56 03/2004
02/2009
0.92$ 3.72 1.20$ 13.30 1.86$ 18.06 2.29$ 33.15 01/1995
12/1999
4.18$ 9.80 0.45%
7Y 1.09 03/2002
02/2009
1.07$ 6.25 1.52$ 13.06 2.36$ 17.80 3.14$ 24.53 01/1993
12/1999
4.64$ 11.22 0.00%
10Y 1.38 03/1999
02/2009
1.14$ 7.60 2.08$ 13.61 3.58$ 15.97 4.39$ 21.69 09/1990
08/2000
7.11$ 10.50 0.00%
15Y 5.92 09/2000
08/2015
2.37$ 8.02 3.18$ 10.81 4.66$ 16.48 9.86$ 20.17 01/1985
12/1999
15.73$ 13.62 0.00%
20Y 6.81 04/2000
03/2020
3.73$ 9.30 5.91$ 11.04 8.12$ 14.37 14.66$ 16.50 04/1982
03/2002
21.19$ 9.62 0.00%
30Y 10.44 11/1993
10/2023
19.67$ 11.23 24.33$ 12.18 31.42$ 12.73 36.44$ 13.19 04/1982
03/2012
41.09$ 11.32 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 -38.13 03/2008
02/2009
0.61$ -6.28 0.93$ 11.53 1.11$ 26.02 1.26$ 49.60 07/1982
06/1983
1.49$ 23.27 21.62%
2Y -20.76 03/2007
02/2009
0.62$ -2.72 0.94$ 10.59 1.22$ 19.60 1.43$ 37.04 04/1997
03/1999
1.87$ 1.46 16.56%
3Y -12.54 03/2006
02/2009
0.66$ -0.52 0.98$ 11.02 1.36$ 15.81 1.55$ 32.65 08/1996
07/1999
2.33$ -1.84 16.77%
5Y -4.10 03/2004
02/2009
0.81$ 1.15 1.05$ 10.31 1.63$ 14.61 1.97$ 30.06 01/1995
12/1999
3.72$ 5.47 8.05%
7Y -1.45 03/2002
02/2009
0.90$ 3.76 1.29$ 10.02 1.95$ 13.92 2.48$ 21.53 01/1993
12/1999
3.91$ 7.50 0.71%
10Y -1.18 03/1999
02/2009
0.88$ 5.65 1.73$ 10.35 2.67$ 12.98 3.38$ 18.42 09/1990
08/2000
5.42$ 7.52 4.13%
15Y 3.68 09/2000
08/2015
1.71$ 5.58 2.25$ 8.46 3.37$ 12.68 5.99$ 16.46 01/1985
12/1999
9.83$ 10.81 0.00%
20Y 4.63 04/2000
03/2020
2.47$ 6.79 3.72$ 8.37 4.99$ 10.92 7.93$ 12.86 04/1982
03/2002
11.24$ 6.88 0.00%
30Y 7.72 11/1993
10/2023
9.31$ 8.47 11.46$ 9.34 14.55$ 9.79 16.49$ 10.11 10/1990
09/2020
17.98$ 8.58 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 80/20 Momentum Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Stocks/Bonds 80/20 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
0.30
80%
-0.91
20%
-0.89
60%
1.68
80%
-0.38
20%
2.09
80%
2.85
100%
1.89
80%
-3.42
0%
2.39
60%
4.01
80%
1.00
60%
Best 4.4
2024
7.8
2024
3.2
2022
9.6
2020
4.7
2020
5.4
2023
5.9
2020
7.5
2020
-1.0
2019
9.4
2022
8.8
2020
4.5
2023
Worst -7.6
2022
-5.4
2020
-9.4
2020
-10.9
2022
-4.1
2023
-5.3
2022
1.0
2021
-2.2
2022
-5.6
2022
-3.5
2020
-3.2
2021
-3.3
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
1.29
70%
0.32
40%
-0.46
50%
0.89
60%
1.30
60%
1.46
70%
2.32
90%
1.34
70%
-1.58
30%
1.39
60%
2.62
80%
-0.04
50%
Best 6.3
2018
7.8
2024
4.4
2016
9.6
2020
4.7
2020
5.4
2023
5.9
2020
7.5
2020
2.2
2017
9.4
2022
8.8
2020
4.5
2023
Worst -7.6
2022
-5.4
2020
-9.4
2020
-10.9
2022
-4.1
2023
-5.3
2022
-0.9
2014
-4.9
2015
-5.6
2022
-8.3
2018
-3.2
2021
-5.7
2018
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
1.36
65%
0.65
58%
0.98
67%
1.57
69%
1.23
62%
0.70
62%
1.23
60%
0.92
69%
-0.34
48%
1.18
67%
1.72
71%
1.46
74%
Best 10.7
1987
7.8
2024
7.9
2000
9.6
2020
8.5
1990
5.4
2023
8.1
1989
10.9
1982
7.1
2010
9.9
1982
8.8
2020
9.8
1991
Worst -7.6
2022
-9.3
2009
-9.4
2020
-10.9
2022
-6.0
2010
-7.0
2008
-5.1
2002
-9.2
1998
-8.0
2008
-18.3
1987
-6.8
1987
-5.7
2018
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 80/20 Momentum Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

STOCKS/BONDS 80/20 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)
229 Positive Months (64%) - 131 Negative Months (36%)
325 Positive Months (64%) - 181 Negative Months (36%)
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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

No other portfolio in our database 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
Stocks/Bonds 80/20 Momentum +11.32 12.42 -43.61 80 20 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 80/20 +11.27 15.55 -22.75 80 20 0
Stocks/Bonds 80/20 Momentum +9.80 15.68 -27.23 80 20 0

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

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30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Technology +13.98 24.02 -81.08 100 0 0
US Stocks Momentum +12.68 15.38 -53.85 100 0 0
US Stocks Quality +11.77 15.08 -46.25 100 0 0
Stocks/Bonds 80/20 Momentum +11.32 12.42 -43.61 80 20 0
US Stocks +10.22 15.55 -50.84 100 0 0
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