US Stocks Minimum Volatility Portfolio: ETF allocation and returns

Data Source: from January 1985 to February 2024 (~39 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.49%
1 Day
Mar 01 2024
0.49%
Current Month
March 2024

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 9.77% compound annual return, with a 13.71% standard deviation.

Table of contents
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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 Feb 29, 2024

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.
  • the actual US Inflation rates.
US STOCKS MINIMUM VOLATILITY 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
(~39Y)
US Stocks Minimum Volatility Portfolio 0.49 0.49 2.09 9.89 17.47 9.15 10.62 9.77 11.14
US Inflation Adjusted return 2.09 8.64 14.37 4.85 7.64 7.07 8.13
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) 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 US Stocks Minimum Volatility Portfolio granted a 1.98% 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 Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 16.37$, with a total return of 1536.95% (9.77% annualized).

The Inflation Adjusted Capital now would be 7.75$, with a net total return of 675.44% (7.07% annualized).
An investment of 1$, since January 1985, now would be worth 62.63$, with a total return of 6163.30% (11.14% annualized).

The Inflation Adjusted Capital now would be 21.34$, with a net total return of 2033.71% (8.13% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of US Stocks Minimum Volatility Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
US STOCKS MINIMUM VOLATILITY PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 2.09 7.20 9.89 17.47 9.14 9.15 10.62 9.46 9.77 11.14
Infl. Adjusted Return (%) details 2.09 6.63 8.64 14.37 3.43 4.85 7.64 6.73 7.07 8.13
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.79
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 (%) -4.29 -17.35 -19.06 -19.06 -43.27 -43.27 -43.27
Start to Recovery (# months) details 4 25 10 10 40 40 40
Start (yyyy mm) 2023 08 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 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 1 16 8 8 24 24 24
End (yyyy mm) 2023 11 2024 01 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 25 25 59 59
Start (yyyy mm) 2023 08 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 10 2022 09 2022 09 2022 09 2009 02 2002 09 2002 09
Bottom to End (# months) 1 16 16 16 24 34 34
End (yyyy mm) 2023 11 2024 01 2024 01 2024 01 2011 02 2005 07 2005 07
Longest negative period (# months) details 7 27 27 27 62 131 131
Period Start (yyyy mm) 2023 04 2021 08 2021 08 2021 08 2004 03 1998 04 1998 04
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 04 2009 02 2009 02
Annualized Return (%) -0.77 -1.04 -1.04 -1.04 -0.28 -0.16 -0.16
Deepest Drawdown Depth (%) -5.19 -21.68 -21.68 -21.68 -44.21 -44.21 -44.21
Start to Recovery (# months) details 4 26* 26* 26* 42 42 42
Start (yyyy mm) 2023 08 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 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 26 26 26
End (yyyy mm) 2023 11 - - - 2011 04 2011 04 2011 04
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-38.25 -38.25
Start to Recovery (# months) details 75 75
Start (yyyy mm) 2023 08 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 10 2022 09 2022 09 2022 09 2009 02 2002 09 2002 09
Bottom to End (# months) 1 17 17 17 26 50 50
End (yyyy mm) 2023 11 - - - 2011 04 2006 11 2006 11
Longest negative period (# months) details 7 33 47 47 78 146 146
Period Start (yyyy mm) 2023 04 2021 05 2019 12 2019 12 2004 03 1998 05 1998 05
Period End (yyyy mm) 2023 10 2024 01 2023 10 2023 10 2010 08 2010 06 2010 06
Annualized Return (%) -3.95 -0.05 -0.11 -0.11 -0.01 -0.05 -0.05
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.49 14.04 14.58 12.06 12.89 13.71 14.21
Sharpe Ratio 1.29 0.48 0.50 0.78 0.63 0.55 0.50
Sortino Ratio 1.77 0.66 0.67 1.04 0.83 0.72 0.66
Ulcer Index 1.78 7.04 6.58 4.91 9.14 10.61 10.05
Ratio: Return / Standard Deviation 1.84 0.65 0.63 0.88 0.73 0.71 0.78
Ratio: Return / Deepest Drawdown 4.08 0.53 0.48 0.56 0.22 0.23 0.26
% Positive Months details 66% 61% 61% 65% 64% 63% 64%
Positive Months 8 22 37 78 155 230 301
Negative Months 4 14 23 42 85 130 169
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 10.62 16.75 16.75 17.78
Worst 10 Years Return (%) - Annualized 8.16 -0.89 -0.89
Best 10 Years Return (%) - Annualized 7.64 14.73 14.73 14.73
Worst 10 Years Return (%) - Annualized 5.83 -3.39 -3.39
ROLLING PERIODS
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 9.77
Worst Rolling Return (%) - Annualized -35.94 -11.41 -3.50 -0.89 6.58
% Positive Periods 83% 84% 97% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.01 25.76 15.80 8.36 5.45 8.36
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.25 7.29
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 42.99 24.75 19.59 14.73 7.66 7.07
Worst Rolling Return (%) - Annualized -35.94 -13.29 -5.98 -3.39 4.40
% Positive Periods 79% 80% 81% 90% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.01 25.76 15.80 8.36 5.45 8.36
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.25 7.29
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Feb 2024)
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%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.01 25.76 15.80 8.36 5.45 7.04
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.25 6.10
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 42.99 24.75 19.59 14.73 9.56 8.55
Worst Rolling Return (%) - Annualized -35.94 -13.29 -5.98 -3.39 4.40 6.63
% Positive Periods 79% 85% 86% 93% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.01 25.76 15.80 8.36 5.45 7.04
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.25 6.10
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.

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 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Inflation Adjusted:
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 Jan 2024 16 25 8.33
-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
-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
-4.69% Mar 1997 Mar 1997 1 Apr 1997 1 2 2.71
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 129 2.8 Months 35.73%
 
DD = 0% 35.73%
 
0% < DD <= -5% 111 3.3 Months 30.75%
 
DD <= -5% 66.48%
 
-5% < DD <= -10% 35 10.3 Months 9.70%
 
DD <= -10% 76.18%
 
-10% < DD <= -15% 33 10.9 Months 9.14%
 
DD <= -15% 85.32%
 
-15% < DD <= -20% 20 18.1 Months 5.54%
 
DD <= -20% 90.86%
 
-20% < DD <= -25% 13 27.8 Months 3.60%
 
DD <= -25% 94.46%
 
-25% < DD <= -30% 10 36.1 Months 2.77%
 
DD <= -30% 97.23%
 
-30% < DD <= -35% 6 60.2 Months 1.66%
 
DD <= -35% 98.89%
 
-35% < DD <= -40% 3 120.3 Months 0.83%
 
DD <= -40% 99.72%
 
-40% < DD <= -45% 1 361.0 Months 0.28%
 
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
-44.21% Nov 2007 Feb 2009 16 Apr 2011 26 42 21.72
-38.25% Sep 2000 Sep 2002 25 Nov 2006 50 75 19.97
-21.68% Jan 2022 Sep 2022 9 in progress 17 26 13.18
-18.83% Feb 2020 Mar 2020 2 Nov 2020 8 10 8.21
-16.83% Jul 1998 Aug 1998 2 Dec 1998 4 6 8.03
-12.67% May 2011 Sep 2011 5 Feb 2012 5 10 4.71
-10.11% Jul 1999 Sep 1999 3 Dec 1999 3 6 5.47
-7.77% Oct 2018 Dec 2018 3 Feb 2019 2 5 3.79
-5.92% Aug 2016 Oct 2016 3 Feb 2017 4 7 3.48
-5.71% Aug 1997 Aug 1997 1 Dec 1997 4 5 3.03
-5.42% Jul 1996 Jul 1996 1 Sep 1996 2 3 3.44
-5.37% Sep 2021 Sep 2021 1 Dec 2021 3 4 3.01
-5.11% Jun 2007 Jul 2007 2 Oct 2007 3 5 2.76
-5.03% Jan 2000 Feb 2000 2 Mar 2000 1 3 3.28
-4.91% Aug 2015 Sep 2015 2 Oct 2015 1 3 3.34
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 111 3.3 Months 30.75%
 
DD = 0% 30.75%
 
0% < DD <= -5% 96 3.8 Months 26.59%
 
DD <= -5% 57.34%
 
-5% < DD <= -10% 36 10.0 Months 9.97%
 
DD <= -10% 67.31%
 
-10% < DD <= -15% 41 8.8 Months 11.36%
 
DD <= -15% 78.67%
 
-15% < DD <= -20% 29 12.4 Months 8.03%
 
DD <= -20% 86.70%
 
-20% < DD <= -25% 18 20.1 Months 4.99%
 
DD <= -25% 91.69%
 
-25% < DD <= -30% 12 30.1 Months 3.32%
 
DD <= -30% 95.01%
 
-30% < DD <= -35% 12 30.1 Months 3.32%
 
DD <= -35% 98.34%
 
-35% < DD <= -40% 5 72.2 Months 1.39%
 
DD <= -40% 99.72%
 
-40% < DD <= -45% 1 361.0 Months 0.28%
 
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
-43.27% 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 Jan 2024 16 25 8.33
-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 (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 173 2.7 Months 36.73%
 
DD = 0% 36.73%
 
0% < DD <= -5% 146 3.2 Months 31.00%
 
DD <= -5% 67.73%
 
-5% < DD <= -10% 49 9.6 Months 10.40%
 
DD <= -10% 78.13%
 
-10% < DD <= -15% 38 12.4 Months 8.07%
 
DD <= -15% 86.20%
 
-15% < DD <= -20% 27 17.4 Months 5.73%
 
DD <= -20% 91.93%
 
-20% < DD <= -25% 17 27.7 Months 3.61%
 
DD <= -25% 95.54%
 
-25% < DD <= -30% 10 47.1 Months 2.12%
 
DD <= -30% 97.66%
 
-30% < DD <= -35% 7 67.3 Months 1.49%
 
DD <= -35% 99.15%
 
-35% < DD <= -40% 3 157.0 Months 0.64%
 
DD <= -40% 99.79%
 
-40% < DD <= -45% 1 471.0 Months 0.21%
 
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
-44.21% Nov 2007 Feb 2009 16 Apr 2011 26 42 21.72
-38.25% Sep 2000 Sep 2002 25 Nov 2006 50 75 19.97
-30.75% Sep 1987 Nov 1987 3 Jul 1989 20 23 17.79
-21.68% Jan 2022 Sep 2022 9 in progress 17 26 13.18
-18.83% Feb 2020 Mar 2020 2 Nov 2020 8 10 8.21
-16.87% Jun 1990 Oct 1990 5 Feb 1991 4 9 9.69
-16.83% Jul 1998 Aug 1998 2 Dec 1998 4 6 8.03
-12.67% May 2011 Sep 2011 5 Feb 2012 5 10 4.71
-10.11% Jul 1999 Sep 1999 3 Dec 1999 3 6 5.47
-8.72% Sep 1986 Sep 1986 1 Jan 1987 4 5 4.35
-7.77% Oct 2018 Dec 2018 3 Feb 2019 2 5 3.79
-7.74% Feb 1994 Jun 1994 5 Feb 1995 8 13 4.86
-7.49% Jan 1990 Jan 1990 1 May 1990 4 5 5.29
-5.92% Aug 2016 Oct 2016 3 Feb 2017 4 7 3.48
-5.90% Jul 1986 Jul 1986 1 Aug 1986 1 2 3.40
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 148 3.2 Months 31.42%
 
DD = 0% 31.42%
 
0% < DD <= -5% 131 3.6 Months 27.81%
 
DD <= -5% 59.24%
 
-5% < DD <= -10% 52 9.1 Months 11.04%
 
DD <= -10% 70.28%
 
-10% < DD <= -15% 46 10.2 Months 9.77%
 
DD <= -15% 80.04%
 
-15% < DD <= -20% 38 12.4 Months 8.07%
 
DD <= -20% 88.11%
 
-20% < DD <= -25% 24 19.6 Months 5.10%
 
DD <= -25% 93.21%
 
-25% < DD <= -30% 13 36.2 Months 2.76%
 
DD <= -30% 95.97%
 
-30% < DD <= -35% 13 36.2 Months 2.76%
 
DD <= -35% 98.73%
 
-35% < DD <= -40% 5 94.2 Months 1.06%
 
DD <= -40% 99.79%
 
-40% < DD <= -45% 1 471.0 Months 0.21%
 
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.

US STOCKS MINIMUM VOLATILITY PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 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 -35.94 03/2008
02/2009
0.64$ -2.41 0.97$ 12.44 1.12$ 21.53 1.21$ 46.09 08/1996
07/1997
1.46$ 17.47 16.91%
2Y -20.82 03/2007
02/2009
0.62$ -0.58 0.98$ 11.76 1.24$ 18.77 1.41$ 34.50 03/2009
02/2011
1.80$ 6.95 15.73%
3Y -11.41 03/2006
02/2009
0.69$ -0.75 0.97$ 11.80 1.39$ 17.27 1.61$ 27.65 04/1995
03/1998
2.08$ 9.14 15.69%
5Y -3.50 03/2004
02/2009
0.83$ 2.05 1.10$ 9.82 1.59$ 15.23 2.03$ 22.38 07/1994
06/1999
2.74$ 9.15 2.66%
7Y -1.54 03/2002
02/2009
0.89$ 4.45 1.35$ 7.58 1.66$ 13.77 2.46$ 18.12 03/2009
02/2016
3.20$ 9.89 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$ 10.62 1.24%
15Y 5.48 02/1999
01/2014
2.22$ 6.20 2.46$ 8.05 3.19$ 10.12 4.24$ 14.16 03/2009
02/2024
7.28$ 14.16 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$ 9.46 0.00%
30Y 9.77 03/1994
02/2024
16.36$ 9.77 16.36$ 9.77 16.36$ 9.77 16.36$ 9.77 03/1994
02/2024
16.36$ 9.77 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$ -6.14 0.93$ 9.34 1.09$ 18.93 1.18$ 42.99 08/1996
07/1997
1.42$ 14.37 20.34%
2Y -22.41 03/2007
02/2009
0.60$ -3.67 0.92$ 9.31 1.19$ 16.66 1.36$ 31.68 03/2009
02/2011
1.73$ 2.52 21.96%
3Y -13.29 03/2006
02/2009
0.65$ -3.22 0.90$ 9.15 1.30$ 15.22 1.52$ 24.75 04/1995
03/1998
1.94$ 3.43 19.38%
5Y -5.98 03/2004
02/2009
0.73$ -0.43 0.97$ 6.92 1.39$ 13.29 1.86$ 19.59 07/1994
06/1999
2.44$ 4.85 18.60%
7Y -4.01 03/2002
02/2009
0.75$ 1.73 1.12$ 5.39 1.44$ 11.75 2.17$ 16.28 03/2009
02/2016
2.87$ 6.21 2.53%
10Y -3.39 03/1999
02/2009
0.70$ 2.10 1.23$ 6.73 1.91$ 10.58 2.73$ 14.73 03/2009
02/2019
3.95$ 7.64 9.96%
15Y 2.96 03/1994
02/2009
1.54$ 3.78 1.74$ 5.69 2.29$ 7.90 3.12$ 11.34 03/2009
02/2024
5.00$ 11.34 0.00%
20Y 4.40 04/2000
03/2020
2.36$ 5.32 2.81$ 6.45 3.48$ 7.14 3.97$ 7.66 12/1994
11/2014
4.37$ 6.73 0.00%
30Y 7.07 03/1994
02/2024
7.75$ 7.07 7.75$ 7.07 7.75$ 7.07 7.75$ 7.07 03/1994
02/2024
7.75$ 7.07 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 -35.94 03/2008
02/2009
0.64$ -2.13 0.97$ 12.75 1.12$ 24.09 1.24$ 46.09 08/1996
07/1997
1.46$ 17.47 16.34%
2Y -20.82 03/2007
02/2009
0.62$ 2.17 1.04$ 11.94 1.25$ 19.53 1.42$ 36.04 10/1985
09/1987
1.85$ 6.95 11.86%
3Y -11.41 03/2006
02/2009
0.69$ 2.79 1.08$ 12.31 1.41$ 17.22 1.61$ 27.65 04/1995
03/1998
2.08$ 9.14 11.72%
5Y -3.50 03/2004
02/2009
0.83$ 2.69 1.14$ 12.04 1.76$ 16.55 2.15$ 22.38 07/1994
06/1999
2.74$ 9.15 1.95%
7Y -1.54 03/2002
02/2009
0.89$ 5.05 1.41$ 10.83 2.05$ 15.72 2.77$ 18.79 10/1990
09/1997
3.33$ 9.89 0.52%
10Y -0.89 03/1999
02/2009
0.91$ 6.36 1.85$ 10.13 2.62$ 14.67 3.93$ 17.78 04/1988
03/1998
5.13$ 10.62 0.85%
15Y 5.48 02/1999
01/2014
2.22$ 6.57 2.59$ 9.78 4.05$ 11.35 5.01$ 16.83 01/1985
12/1999
10.31$ 14.16 0.00%
20Y 6.58 04/2000
03/2020
3.57$ 8.02 4.67$ 9.03 5.63$ 10.77 7.73$ 12.88 01/1985
12/2004
11.28$ 9.46 0.00%
30Y 9.32 11/1993
10/2023
14.48$ 9.70 16.05$ 10.28 18.84$ 10.77 21.50$ 11.50 01/1985
12/2014
26.22$ 9.77 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 -35.94 03/2008
02/2009
0.64$ -5.97 0.94$ 9.36 1.09$ 20.97 1.20$ 42.99 08/1996
07/1997
1.42$ 14.37 20.04%
2Y -22.41 03/2007
02/2009
0.60$ -1.27 0.97$ 9.13 1.19$ 16.36 1.35$ 32.07 10/1985
09/1987
1.74$ 2.52 17.23%
3Y -13.29 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$ 3.43 14.94%
5Y -5.98 03/2004
02/2009
0.73$ 0.18 1.00$ 8.97 1.53$ 13.49 1.88$ 19.59 07/1994
06/1999
2.44$ 4.85 13.63%
7Y -4.01 03/2002
02/2009
0.75$ 2.43 1.18$ 8.35 1.75$ 12.87 2.33$ 16.28 03/2009
02/2016
2.87$ 6.21 1.81%
10Y -3.39 03/1999
02/2009
0.70$ 3.61 1.42$ 7.56 2.07$ 11.79 3.04$ 14.73 03/2009
02/2019
3.95$ 7.64 6.84%
15Y 2.96 03/1994
02/2009
1.54$ 4.15 1.84$ 7.32 2.88$ 8.36 3.33$ 13.23 01/1985
12/1999
6.44$ 11.34 0.00%
20Y 4.40 04/2000
03/2020
2.36$ 5.41 2.86$ 6.48 3.51$ 7.50 4.25$ 9.56 01/1985
12/2004
6.21$ 6.73 0.00%
30Y 6.63 11/1993
10/2023
6.85$ 7.02 7.66$ 7.64 9.10$ 8.06 10.23$ 8.55 01/1985
12/2014
11.71$ 7.07 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.
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
-0.53
60%
-2.72
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%
1.99
80%
Best 2.3
2020
2.1
2024
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
-3.8
2022
Monthly Seasonality over the period Feb 1985 - 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
0.58
60%
-0.48
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%
0.65
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 - 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
1.11
65%
0.45
60%
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%
1.71
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 - Feb 2024

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 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
230 Positive Months (64%) - 130 Negative Months (36%)
301 Positive Months (64%) - 169 Negative Months (36%)
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(Scroll down to see all data)
Investment Returns, up to December 2011, 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:
  • USMV - iShares Edge MSCI Min Vol USA (USMV), up to December 2011

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
Stocks/Bonds 60/40 Momentum +9.77 9.60 -32.52 60 40 0
US Stocks Minimum Volatility +9.77 13.71 -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 Author Return Dev.Std Drawdown Stocks Bonds Comm
US Stocks ESG +14.85 18.99 -27.79 100 0 0
US Stocks Quality +14.82 18.90 -27.78 100 0 0
Cape US Sector Value Robert Shiller +14.78 18.89 -21.00 100 0 0
US Stocks +13.82 18.69 -24.81 100 0 0
US Stocks Value +12.23 18.65 -26.06 100 0 0
US Stocks Momentum +12.02 18.90 -30.16 100 0 0
US Stocks Equal Weight +11.35 20.20 -26.65 100 0 0
US Stocks Minimum Volatility +9.15 14.58 -19.06 100 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 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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