Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.69%
1 Day
Dec 01 2023
0.69%
Current Month
December 2023
The US Stocks Minimum Volatility Portfolio is a Very High Risk portfolio and can be implemented with 1 ETF.
It's exposed for 100% on the Stock Market.
In the last 30 Years, the US Stocks Minimum Volatility Portfolio obtained a 9.58% compound annual return, with a 13.72% standard deviation.
Table of contents
Asset Allocation and ETFs
The US Stocks Minimum Volatility Portfolio has the following asset allocation:
100% Stocks
0% Fixed Income
0% Commodities
The US Stocks Minimum Volatility Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 100.00 |
USMV
|
USD | iShares Edge MSCI Min Vol USA | Equity, U.S., Large Cap |
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 Nov 30, 2023
The US Stocks Minimum Volatility Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
US STOCKS MINIMUM VOLATILITY PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 01 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~39Y) |
|||
| US Stocks Minimum Volatility Portfolio | 0.69 | 0.69 | 6.41 | 7.86 | 3.33 | 8.15 | 10.13 | 9.58 | 11.02 | |||
| US Inflation Adjusted return | 6.41 | 6.62 | -0.01 | 3.92 | 7.11 | 6.88 | 8.00 | |||||
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023.
Waiting for updates, inflation of Nov 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.35%
, 5Y: 4.07%
, 10Y: 2.82%
, 30Y: 2.52%
Live update: World Markets and Indexes
In 2022, the US Stocks Minimum Volatility Portfolio granted a 1.45% dividend yield. If you are interested in getting periodic income, please refer to the US Stocks Minimum Volatility Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993,
now would be worth 15.54$, with a total return of 1454.09% (9.58% annualized).
The Inflation Adjusted Capital now would be 7.36$, with a net total return of 636.46% (6.88% annualized).
The Inflation Adjusted Capital now would be 7.36$, with a net total return of 636.46% (6.88% annualized).
An investment of 1$, since January 1985,
now would be worth 58.43$, with a total return of 5742.61% (11.02% annualized).
The Inflation Adjusted Capital now would be 20.00$, with a net total return of 1899.62% (8.00% annualized).
The Inflation Adjusted Capital now would be 20.00$, with a net total return of 1899.62% (8.00% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of US Stocks Minimum Volatility Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
US STOCKS MINIMUM VOLATILITY PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~39Y) |
|
| Investment Return (%) | 6.41 | 2.50 | 7.86 | 3.33 | 6.33 | 8.15 | 10.13 | 9.55 | 9.58 | 11.02 |
| Infl. Adjusted Return (%) details | 6.41 | 2.29 | 6.62 | -0.01 | 0.56 | 3.92 | 7.11 | 6.79 | 6.88 | 8.00 |
| US Inflation (%) | 0.00 | 0.21 | 1.17 | 3.35 | 5.74 | 4.07 | 2.82 | 2.59 | 2.52 | 2.79 |
| Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||||
|
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -5.70 | -17.35 | -19.06 | -19.06 | -43.27 | -43.27 | -43.27 | |||
| Start to Recovery (# months) details | 7 | 23* | 10 | 10 | 40 | 40 | 40 | |||
| Start (yyyy mm) | 2022 12 | 2022 01 | 2020 02 | 2020 02 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 2 | 2 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 02 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 4 | 14 | 8 | 8 | 24 | 24 | 24 | |||
| End (yyyy mm) | 2023 06 | - | 2020 11 | 2020 11 | 2011 02 | 2011 02 | 2011 02 | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
-17.35 | -17.35 |
same as deepest |
-35.36 | -35.36 | |||
| Start to Recovery (# months) details | 23* | 23* | 59 | 59 | ||||||
| Start (yyyy mm) | 2022 12 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 2000 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 25 | 25 | |||
| Bottom (yyyy mm) | 2023 02 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2002 09 | 2002 09 | |||
| Bottom to End (# months) | 4 | 14 | 14 | 14 | 24 | 34 | 34 | |||
| End (yyyy mm) | 2023 06 | - | - | - | 2011 02 | 2005 07 | 2005 07 | |||
| Longest negative period (# months) details | 11 | 27 | 27 | 27 | 64 | 131 | 131 | |||
| Period Start (yyyy mm) | 2022 12 | 2021 08 | 2021 08 | 2021 08 | 2003 12 | 1998 04 | 1998 04 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2009 03 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -3.15 | -1.04 | -1.04 | -1.04 | -0.35 | -0.16 | -0.16 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -6.68 | -22.36 | -22.36 | -22.36 | -44.14 | -44.14 | -44.14 | |||
| Start to Recovery (# months) details | 12* | 23* | 23* | 23* | 51 | 51 | 51 | |||
| Start (yyyy mm) | 2022 12 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 02 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 9 | 14 | 14 | 14 | 35 | 35 | 35 | |||
| End (yyyy mm) | - | - | - | - | 2012 01 | 2012 01 | 2012 01 | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
-38.29 | -38.29 | |||
| Start to Recovery (# months) details | 75 | 75 | ||||||||
| Start (yyyy mm) | 2022 12 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 2000 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 25 | 25 | |||
| Bottom (yyyy mm) | 2023 02 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2002 09 | 2002 09 | |||
| Bottom to End (# months) | 9 | 14 | 14 | 14 | 35 | 50 | 50 | |||
| End (yyyy mm) | - | - | - | - | 2012 01 | 2006 11 | 2006 11 | |||
| Longest negative period (# months) details | 12* | 35 | 47 | 47 | 78 | 147 | 147 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2019 12 | 2019 12 | 2004 03 | 1998 04 | 1998 04 | |||
| Period End (yyyy mm) | 2023 11 | 2023 10 | 2023 10 | 2023 10 | 2010 08 | 2010 06 | 2010 06 | |||
| Annualized Return (%) | -0.01 | -1.54 | -0.19 | -0.19 | -0.08 | -0.01 | -0.01 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 11.13 | 14.13 | 15.13 | 12.15 | 12.92 | 13.72 | 14.25 | |||
| Sharpe Ratio | -0.14 | 0.31 | 0.43 | 0.75 | 0.64 | 0.53 | 0.49 | |||
| Sortino Ratio | -0.21 | 0.44 | 0.57 | 1.00 | 0.84 | 0.71 | 0.65 | |||
| Ulcer Index | 2.87 | 7.07 | 6.64 | 4.92 | 9.14 | 10.63 | 10.08 | |||
| Ratio: Return / Standard Deviation | 0.30 | 0.45 | 0.54 | 0.83 | 0.74 | 0.70 | 0.77 | |||
| Ratio: Return / Deepest Drawdown | 0.58 | 0.37 | 0.43 | 0.53 | 0.22 | 0.22 | 0.25 | |||
| % Positive Months details | 50% | 55% | 60% | 64% | 64% | 63% | 63% | |||
| Positive Months | 6 | 20 | 36 | 77 | 155 | 229 | 298 | |||
| Negative Months | 6 | 16 | 24 | 43 | 85 | 131 | 169 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 10.13 | 16.75 | 16.75 | 17.78 | ||||||
| Worst 10 Years Return (%) - Annualized | 8.03 | -0.89 | -0.89 | |||||||
| Best 10 Years Return (%) - Annualized | 7.11 | 14.73 | 14.73 | 14.73 | ||||||
| Worst 10 Years Return (%) - Annualized | 5.54 | -3.38 | -3.38 | |||||||
|
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 46.09 | 27.65 | 22.38 | 16.75 | 10.29 | 9.58 | ||||
| Worst Rolling Return (%) - Annualized | -35.94 | -11.41 | -3.50 | -0.89 | 6.58 | |||||
| % Positive Periods | 82% | 84% | 97% | 98% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 42.90 | 24.75 | 19.57 | 14.73 | 7.67 | 6.88 | ||||
| Worst Rolling Return (%) - Annualized | -36.09 | -13.33 | -5.99 | -3.38 | 4.41 | |||||
| % Positive Periods | 78% | 80% | 81% | 90% | 100% | 100% | ||||
| Over all the available data source (Jan 1985 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 46.09 | 27.65 | 22.38 | 17.78 | 12.88 | 11.50 | ||||
| Worst Rolling Return (%) - Annualized | -35.94 | -11.41 | -3.50 | -0.89 | 6.58 | 9.32 | ||||
| % Positive Periods | 83% | 88% | 98% | 99% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 42.90 | 24.75 | 19.57 | 14.73 | 9.59 | 8.56 | ||||
| Worst Rolling Return (%) - Annualized | -36.09 | -13.33 | -5.99 | -3.38 | 4.41 | 6.63 | ||||
| % Positive Periods | 79% | 84% | 86% | 93% | 100% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 34.96 | 23.04 | 14.93 | 8.51 | 8.18 | 11.48 | ||||
| Perpetual WR (%) | 0.56 | 3.77 | 6.64 | 6.35 | 6.44 | 7.41 | ||||
- 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 original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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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.
US STOCKS MINIMUM VOLATILITY PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -43.27% | Nov 2007 | Feb 2009 | 16 | Feb 2011 | 24 | 40 | 20.28 |
| -35.36% | Sep 2000 | Sep 2002 | 25 | Jul 2005 | 34 | 59 | 18.12 |
| -19.06% | Feb 2020 | Mar 2020 | 2 | Nov 2020 | 8 | 10 | 8.46 |
| -17.35% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 8.67 |
| -16.52% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 8.42 |
| -11.70% | May 2011 | Sep 2011 | 5 | Dec 2011 | 3 | 8 | 4.61 |
| -9.14% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 4.76 |
| -7.56% | Oct 2018 | Dec 2018 | 3 | Feb 2019 | 2 | 5 | 3.65 |
| -7.03% | Feb 1994 | Mar 1994 | 2 | Oct 1994 | 7 | 9 | 4.25 |
| -5.47% | Aug 1997 | Aug 1997 | 1 | Dec 1997 | 4 | 5 | 2.74 |
| -5.27% | Aug 2016 | Oct 2016 | 3 | Feb 2017 | 4 | 7 | 2.90 |
| -5.24% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 | 3.27 |
| -5.12% | Aug 2015 | Sep 2015 | 2 | Oct 2015 | 1 | 3 | 3.42 |
| -4.99% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 | 2.88 |
| -4.72% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 | 2.74 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -44.14% | Nov 2007 | Feb 2009 | 16 | Jan 2012 | 35 | 51 | 19.93 |
| -38.29% | Sep 2000 | Sep 2002 | 25 | Nov 2006 | 50 | 75 | 19.94 |
| -22.36% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 14.36 |
| -19.11% | Feb 2020 | Mar 2020 | 2 | Nov 2020 | 8 | 10 | 8.52 |
| -16.72% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 8.62 |
| -10.06% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 5.40 |
| -7.87% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 | 4.92 |
| -7.12% | Oct 2018 | Dec 2018 | 3 | Feb 2019 | 2 | 5 | 3.50 |
| -5.71% | Aug 2016 | Oct 2016 | 3 | Feb 2017 | 4 | 7 | 3.19 |
| -5.65% | Aug 1997 | Aug 1997 | 1 | Dec 1997 | 4 | 5 | 3.00 |
| -5.42% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 | 3.46 |
| -5.31% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 | 3.71 |
| -5.24% | Sep 2021 | Sep 2021 | 1 | Dec 2021 | 3 | 4 | 2.81 |
| -5.20% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 | 3.35 |
| -5.11% | Mar 2015 | Sep 2015 | 7 | Oct 2015 | 1 | 8 | 2.86 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -43.27% | Nov 2007 | Feb 2009 | 16 | Feb 2011 | 24 | 40 | 20.28 |
| -35.36% | Sep 2000 | Sep 2002 | 25 | Jul 2005 | 34 | 59 | 18.12 |
| -30.08% | Sep 1987 | Nov 1987 | 3 | May 1989 | 18 | 21 | 16.33 |
| -19.06% | Feb 2020 | Mar 2020 | 2 | Nov 2020 | 8 | 10 | 8.46 |
| -17.35% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 8.67 |
| -16.52% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 8.42 |
| -14.10% | Jun 1990 | Oct 1990 | 5 | Feb 1991 | 4 | 9 | 7.72 |
| -11.70% | May 2011 | Sep 2011 | 5 | Dec 2011 | 3 | 8 | 4.61 |
| -9.14% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 4.76 |
| -8.39% | Sep 1986 | Sep 1986 | 1 | Jan 1987 | 4 | 5 | 3.95 |
| -7.56% | Oct 2018 | Dec 2018 | 3 | Feb 2019 | 2 | 5 | 3.65 |
| -7.03% | Feb 1994 | Mar 1994 | 2 | Oct 1994 | 7 | 9 | 4.25 |
| -6.61% | Jan 1990 | Jan 1990 | 1 | May 1990 | 4 | 5 | 4.18 |
| -5.81% | Jul 1986 | Jul 1986 | 1 | Aug 1986 | 1 | 2 | 3.35 |
| -5.47% | Aug 1997 | Aug 1997 | 1 | Dec 1997 | 4 | 5 | 2.74 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -44.14% | Nov 2007 | Feb 2009 | 16 | Jan 2012 | 35 | 51 | 19.93 |
| -38.29% | Sep 2000 | Sep 2002 | 25 | Nov 2006 | 50 | 75 | 19.94 |
| -30.69% | Sep 1987 | Nov 1987 | 3 | Jul 1989 | 20 | 23 | 17.73 |
| -22.36% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 14.36 |
| -19.11% | Feb 2020 | Mar 2020 | 2 | Nov 2020 | 8 | 10 | 8.52 |
| -16.86% | Jun 1990 | Oct 1990 | 5 | Feb 1991 | 4 | 9 | 9.65 |
| -16.72% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 8.62 |
| -10.06% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 5.40 |
| -8.81% | Sep 1986 | Sep 1986 | 1 | Jan 1987 | 4 | 5 | 4.31 |
| -7.87% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 | 4.92 |
| -7.56% | Jan 1990 | Jan 1990 | 1 | May 1990 | 4 | 5 | 5.40 |
| -7.12% | Oct 2018 | Dec 2018 | 3 | Feb 2019 | 2 | 5 | 3.50 |
| -5.81% | Jul 1986 | Jul 1986 | 1 | Aug 1986 | 1 | 2 | 3.35 |
| -5.71% | Aug 2016 | Oct 2016 | 3 | Feb 2017 | 4 | 7 | 3.19 |
| -5.65% | Aug 1997 | Aug 1997 | 1 | Dec 1997 | 4 | 5 | 3.00 |
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.
US STOCKS MINIMUM VOLATILITY PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
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 | -35.94 |
03/2008 02/2009 |
0.64$ | -2.41 | 0.97$ | 12.23 | 1.12$ | 21.53 | 1.21$ | 46.09 |
08/1996 07/1997 |
1.46$ | 3.33 | 17.19% |
| 2Y | -20.82 |
03/2007 02/2009 |
0.62$ | -0.58 | 0.98$ | 11.92 | 1.25$ | 18.77 | 1.41$ | 34.50 |
03/2009 02/2011 |
1.80$ | 1.93 | 15.43% |
| 3Y | -11.41 |
03/2006 02/2009 |
0.69$ | -0.75 | 0.97$ | 11.95 | 1.40$ | 17.31 | 1.61$ | 27.65 |
04/1995 03/1998 |
2.08$ | 6.33 | 15.69% |
| 5Y | -3.50 |
03/2004 02/2009 |
0.83$ | 2.05 | 1.10$ | 10.20 | 1.62$ | 15.45 | 2.05$ | 22.38 |
07/1994 06/1999 |
2.74$ | 8.15 | 2.66% |
| 7Y | -1.54 |
03/2002 02/2009 |
0.89$ | 4.45 | 1.35$ | 7.58 | 1.66$ | 13.95 | 2.49$ | 18.12 |
03/2009 02/2016 |
3.20$ | 10.07 | 0.72% |
| 10Y | -0.89 |
03/1999 02/2009 |
0.91$ | 4.70 | 1.58$ | 8.96 | 2.35$ | 12.52 | 3.25$ | 16.75 |
03/2009 02/2019 |
4.70$ | 10.13 | 1.24% |
| 15Y | 5.48 |
02/1999 01/2014 |
2.22$ | 6.20 | 2.46$ | 7.92 | 3.13$ | 10.05 | 4.20$ | 12.16 |
12/2008 11/2023 |
5.59$ | 12.16 | 0.00% |
| 20Y | 6.58 |
04/2000 03/2020 |
3.57$ | 7.57 | 4.30$ | 8.74 | 5.34$ | 9.72 | 6.39$ | 10.29 |
04/2003 03/2023 |
7.09$ | 9.55 | 0.00% |
| 30Y | 9.58 |
12/1993 11/2023 |
15.54$ | 9.58 | 15.54$ | 9.58 | 15.54$ | 9.58 | 15.54$ | 9.58 |
12/1993 11/2023 |
15.54$ | 9.58 | 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 | -36.09 |
03/2008 02/2009 |
0.63$ | -6.13 | 0.93$ | 9.29 | 1.09$ | 18.90 | 1.18$ | 42.90 |
08/1996 07/1997 |
1.42$ | -0.01 | 21.49% |
| 2Y | -22.46 |
03/2007 02/2009 |
0.60$ | -3.50 | 0.93$ | 9.56 | 1.20$ | 16.67 | 1.36$ | 31.70 |
03/2009 02/2011 |
1.73$ | -3.12 | 21.36% |
| 3Y | -13.33 |
03/2006 02/2009 |
0.65$ | -3.23 | 0.90$ | 9.27 | 1.30$ | 15.20 | 1.52$ | 24.75 |
04/1995 03/1998 |
1.94$ | 0.56 | 19.69% |
| 5Y | -5.99 |
03/2004 02/2009 |
0.73$ | -0.43 | 0.97$ | 7.22 | 1.41$ | 13.45 | 1.87$ | 19.57 |
07/1994 06/1999 |
2.44$ | 3.92 | 18.27% |
| 7Y | -4.00 |
03/2002 02/2009 |
0.75$ | 1.74 | 1.12$ | 5.38 | 1.44$ | 11.90 | 2.19$ | 16.26 |
03/2009 02/2016 |
2.87$ | 6.31 | 2.53% |
| 10Y | -3.38 |
03/1999 02/2009 |
0.70$ | 2.09 | 1.22$ | 6.72 | 1.91$ | 10.58 | 2.73$ | 14.73 |
03/2009 02/2019 |
3.95$ | 7.11 | 9.96% |
| 15Y | 2.98 |
03/1994 02/2009 |
1.55$ | 3.76 | 1.73$ | 5.61 | 2.26$ | 7.87 | 3.11$ | 9.43 |
12/2008 11/2023 |
3.86$ | 9.43 | 0.00% |
| 20Y | 4.41 |
04/2000 03/2020 |
2.37$ | 5.31 | 2.81$ | 6.44 | 3.48$ | 7.14 | 3.97$ | 7.67 |
12/1994 11/2014 |
4.38$ | 6.79 | 0.00% |
| 30Y | 6.88 |
12/1993 11/2023 |
7.36$ | 6.88 | 7.36$ | 6.88 | 7.36$ | 6.88 | 7.36$ | 6.88 |
12/1993 11/2023 |
7.36$ | 6.88 | 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 | -35.94 |
03/2008 02/2009 |
0.64$ | -2.13 | 0.97$ | 12.75 | 1.12$ | 24.21 | 1.24$ | 46.09 |
08/1996 07/1997 |
1.46$ | 3.33 | 16.45% |
| 2Y | -20.82 |
03/2007 02/2009 |
0.62$ | 2.31 | 1.04$ | 11.96 | 1.25$ | 19.53 | 1.42$ | 36.04 |
10/1985 09/1987 |
1.85$ | 1.93 | 11.71% |
| 3Y | -11.41 |
03/2006 02/2009 |
0.69$ | 2.79 | 1.08$ | 12.32 | 1.41$ | 17.22 | 1.61$ | 27.65 |
04/1995 03/1998 |
2.08$ | 6.33 | 11.81% |
| 5Y | -3.50 |
03/2004 02/2009 |
0.83$ | 2.66 | 1.14$ | 12.08 | 1.76$ | 16.64 | 2.15$ | 22.38 |
07/1994 06/1999 |
2.74$ | 8.15 | 1.96% |
| 7Y | -1.54 |
03/2002 02/2009 |
0.89$ | 5.05 | 1.41$ | 11.12 | 2.09$ | 15.72 | 2.77$ | 18.79 |
10/1990 09/1997 |
3.33$ | 10.07 | 0.52% |
| 10Y | -0.89 |
03/1999 02/2009 |
0.91$ | 6.30 | 1.84$ | 9.95 | 2.58$ | 14.69 | 3.93$ | 17.78 |
04/1988 03/1998 |
5.13$ | 10.13 | 0.86% |
| 15Y | 5.48 |
02/1999 01/2014 |
2.22$ | 6.54 | 2.58$ | 9.77 | 4.04$ | 11.32 | 4.99$ | 16.83 |
01/1985 12/1999 |
10.31$ | 12.16 | 0.00% |
| 20Y | 6.58 |
04/2000 03/2020 |
3.57$ | 8.00 | 4.66$ | 9.00 | 5.60$ | 10.79 | 7.76$ | 12.88 |
01/1985 12/2004 |
11.28$ | 9.55 | 0.00% |
| 30Y | 9.32 |
11/1993 10/2023 |
14.48$ | 9.77 | 16.40$ | 10.29 | 18.86$ | 10.81 | 21.74$ | 11.50 |
01/1985 12/2014 |
26.22$ | 9.58 | 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 | -36.09 |
03/2008 02/2009 |
0.63$ | -5.98 | 0.94$ | 9.46 | 1.09$ | 21.03 | 1.21$ | 42.90 |
08/1996 07/1997 |
1.42$ | -0.01 | 20.18% |
| 2Y | -22.46 |
03/2007 02/2009 |
0.60$ | -1.24 | 0.97$ | 9.15 | 1.19$ | 16.41 | 1.35$ | 32.02 |
10/1985 09/1987 |
1.74$ | -3.12 | 16.89% |
| 3Y | -13.33 |
03/2006 02/2009 |
0.65$ | -0.27 | 0.99$ | 9.56 | 1.31$ | 14.17 | 1.48$ | 24.75 |
04/1995 03/1998 |
1.94$ | 0.56 | 15.28% |
| 5Y | -5.99 |
03/2004 02/2009 |
0.73$ | 0.17 | 1.00$ | 8.97 | 1.53$ | 13.60 | 1.89$ | 19.57 |
07/1994 06/1999 |
2.44$ | 3.92 | 13.48% |
| 7Y | -4.00 |
03/2002 02/2009 |
0.75$ | 2.42 | 1.18$ | 8.48 | 1.76$ | 12.86 | 2.33$ | 16.26 |
03/2009 02/2016 |
2.87$ | 6.31 | 1.82% |
| 10Y | -3.38 |
03/1999 02/2009 |
0.70$ | 3.53 | 1.41$ | 7.54 | 2.06$ | 11.91 | 3.08$ | 14.73 |
03/2009 02/2019 |
3.95$ | 7.11 | 6.90% |
| 15Y | 2.98 |
03/1994 02/2009 |
1.55$ | 4.12 | 1.83$ | 7.26 | 2.86$ | 8.26 | 3.28$ | 13.24 |
01/1985 12/1999 |
6.45$ | 9.43 | 0.00% |
| 20Y | 4.41 |
04/2000 03/2020 |
2.37$ | 5.38 | 2.85$ | 6.46 | 3.49$ | 7.57 | 4.30$ | 9.59 |
01/1985 12/2004 |
6.24$ | 6.79 | 0.00% |
| 30Y | 6.63 |
11/1993 10/2023 |
6.85$ | 7.03 | 7.67$ | 7.64 | 9.10$ | 8.08 | 10.27$ | 8.56 |
01/1985 12/2014 |
11.76$ | 6.88 | 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 US Stocks Minimum Volatility Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in US Stocks Minimum Volatility 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.
For further information about the seasonality, check the Asset Class Seasonality page.
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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 |
0.16
60% |
-2.37
20% |
1.21
80% |
2.34
80% |
0.08
60% |
1.18
60% |
3.26
100% |
0.48
60% |
-3.11
20% |
1.77
40% |
3.91
80% |
0.10
60% |
| Best |
5.6 2019 |
3.8 2019 |
5.6 2021 |
9.4 2020 |
4.3 2020 |
5.0 2019 |
5.1 2022 |
2.7 2020 |
1.0 2019 |
7.7 2022 |
8.1 2020 |
6.8 2021 |
| Worst |
-6.0 2022 |
-8.7 2020 |
-11.3 2020 |
-5.3 2022 |
-3.2 2023 |
-4.1 2022 |
1.4 2023 |
-3.2 2022 |
-7.1 2022 |
-3.2 2020 |
-2.1 2021 |
-6.7 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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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 |
0.06
50% |
-0.25
50% |
1.19
70% |
1.37
70% |
0.71
80% |
1.08
60% |
2.57
90% |
0.37
60% |
-1.58
30% |
1.42
50% |
2.98
80% |
0.50
80% |
| Best |
5.6 2019 |
4.5 2017 |
5.9 2016 |
9.4 2020 |
4.3 2020 |
5.0 2019 |
5.1 2022 |
4.0 2014 |
1.2 2018 |
7.7 2022 |
8.1 2020 |
6.8 2021 |
| Worst |
-6.0 2022 |
-8.7 2020 |
-11.3 2020 |
-5.3 2022 |
-3.2 2023 |
-4.1 2022 |
-1.4 2014 |
-4.5 2015 |
-7.1 2022 |
-4.0 2018 |
-2.1 2021 |
-6.7 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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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 |
1.08
64% |
0.41
59% |
1.50
72% |
1.68
69% |
1.38
69% |
0.37
56% |
1.38
62% |
-0.20
56% |
-0.74
44% |
1.13
64% |
1.88
72% |
1.68
79% |
| Best |
13.2 1987 |
7.5 1986 |
10.6 2000 |
9.4 2009 |
9.8 1990 |
5.0 2019 |
9.2 1989 |
7.4 1986 |
8.9 2010 |
10.9 2011 |
8.1 2020 |
11.4 1991 |
| Worst |
-8.9 2009 |
-11.6 2009 |
-11.3 2020 |
-5.3 2022 |
-8.0 2010 |
-7.1 2008 |
-7.0 2002 |
-15.0 1998 |
-9.4 2002 |
-21.9 1987 |
-8.3 1987 |
-6.7 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the US Stocks Minimum Volatility Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
US STOCKS MINIMUM VOLATILITY PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
229 Positive Months (64%) - 131 Negative Months (36%)
298 Positive Months (64%) - 169 Negative Months (36%)
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(Scroll down to see all data)
Investment Returns, up to December 2011, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, the series derived from equivalent datasets are:
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, the series derived from equivalent datasets are:
- USMV - iShares Edge MSCI Min Vol USA, up to December 2011
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 | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| US Stocks Minimum Volatility | +9.58 | 13.72 | -43.27 | 100 | 0 | 0 | ||
The following portfolios share asset allocation strategy and/or similar asset weights.
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5 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Cape US Sector Value | +13.49 | 19.60 | -21.00 | 100 | 0 | 0 | ||
| US Stocks ESG | +12.59 | 19.66 | -27.79 | 100 | 0 | 0 | ||
| US Stocks | +11.71 | 19.38 | -24.81 | 100 | 0 | 0 | ||
| US Stocks Value | +10.48 | 19.42 | -26.06 | 100 | 0 | 0 | ||
| US Stocks Equal Weight | +9.86 | 20.93 | -26.65 | 100 | 0 | 0 | ||
| US Stocks Minimum Volatility | +8.15 | 15.13 | -19.06 | 100 | 0 | 0 | ||
| US Stocks Momentum | +8.09 | 18.85 | -30.16 | 100 | 0 | 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 | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Technology | +13.75 | 24.01 | -81.08 | 100 | 0 | 0 | ||
| US Stocks Momentum | +12.01 | 15.28 | -53.85 | 100 | 0 | 0 | ||
| Stocks/Bonds 80/20 Momentum | +10.76 | 12.35 | -43.61 | 80 | 20 | 0 | ||
| US Stocks | +9.90 | 15.52 | -50.84 | 100 | 0 | 0 | ||
| US Stocks Value | +9.71 | 15.36 | -55.41 | 100 | 0 | 0 | ||
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