US Stocks Momentum Portfolio: Rolling Returns

Data Source: from January 1982 to March 2024 (~42 years)
Consolidated Returns as of 31 March 2024

Holding the US Stocks Momentum Portfolio, how long should you stay invested to have high probability to obtain a positive return?

Considering all the available data source (~42 years), the longest period with a negative return lasted 126 months (from January 2000 to June 2010).

This means that every rolling period of 127 months or above has always granted a positive return.

To obtain comprehensive information, please consult the US Stocks Momentum Portfolio: ETF allocation and returns page.

Previous vs subsequent Returns

Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?

In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.

Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area

US STOCKS MOMENTUM PORTFOLIO
Previous vs Next Returns - 10 Years annualized
Updated to March 2024

The annualized return of the last 10 years has been 13.40% (updated at Mar 31, 2024).

Rolling Returns

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 MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 April 1994 - 31 March 2024 (30 Years)
Data Source: 1 January 1982 - 31 March 2024 (~42 years)
Inflation Adjusted:

Annualized Rolling Returns - 1 Year (12 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +16.36% +59.99%
Jul 1982 - Jun 1983 		-47.72%
Mar 2008 - Feb 2009 		18.55%
92 out of 496
US Inflation Adjusted +13.23% +56.13%
Jul 1982 - Jun 1983 		-47.72%
Mar 2008 - Feb 2009 		21.37%
106 out of 496
1 Year Annualized Rolling Returns
Timeframes ending in every month
1 Year Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 2 Years (24 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +15.62% +46.81%
Apr 1997 - Mar 1999 		-25.84%
Mar 2007 - Feb 2009 		14.46%
70 out of 484
US Inflation Adjusted +12.36% +44.56%
Apr 1997 - Mar 1999 		-27.34%
Mar 2007 - Feb 2009 		16.94%
82 out of 484
2 Years Annualized Rolling Returns
Timeframes ending in every month
2 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 3 Years (36 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +15.63% +42.50%
Aug 1996 - Jul 1999 		-15.43%
Mar 2006 - Feb 2009 		13.14%
62 out of 472
US Inflation Adjusted +12.64% +39.68%
Aug 1996 - Jul 1999 		-17.23%
Mar 2006 - Feb 2009 		17.16%
81 out of 472
3 Years Annualized Rolling Returns
Timeframes ending in every month
3 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 4 Years (48 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +15.49% +39.76%
Feb 1995 - Jan 1999 		-7.88%
Mar 2005 - Feb 2009 		13.48%
62 out of 460
US Inflation Adjusted +12.55% +36.64%
Feb 1995 - Jan 1999 		-10.16%
Mar 2005 - Feb 2009 		16.09%
74 out of 460
4 Years Annualized Rolling Returns
Timeframes ending in every month
4 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 5 Years (60 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.71% +39.50%
Jan 1995 - Dec 1999 		-3.82%
Mar 2004 - Feb 2009 		4.46%
20 out of 448
US Inflation Adjusted +11.93% +36.26%
Jan 1995 - Dec 1999 		-6.30%
Mar 2004 - Feb 2009 		14.96%
67 out of 448
5 Years Annualized Rolling Returns
Timeframes ending in every month
5 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 6 Years (72 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.71% +33.24%
Apr 1994 - Mar 2000 		+0.84%
Oct 2005 - Sep 2011 		0.00%
0 out of 436
US Inflation Adjusted +11.22% +29.93%
Apr 1994 - Mar 2000 		-1.34%
Oct 2005 - Sep 2011 		2.52%
11 out of 436
6 Years Annualized Rolling Returns
Timeframes ending in every month
6 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 7 Years (84 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.38% +28.91%
Jan 1993 - Dec 1999 		-0.57%
Mar 2002 - Feb 2009 		0.47%
2 out of 424
US Inflation Adjusted +10.85% +25.80%
Jan 1993 - Dec 1999 		-3.07%
Mar 2002 - Feb 2009 		1.42%
6 out of 424
7 Years Annualized Rolling Returns
Timeframes ending in every month
7 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 8 Years (96 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.59% +26.50%
Apr 1992 - Mar 2000 		-2.18%
Mar 2001 - Feb 2009 		1.70%
7 out of 412
US Inflation Adjusted +11.41% +23.27%
Apr 1992 - Mar 2000 		-4.47%
Mar 2001 - Feb 2009 		2.91%
12 out of 412
8 Years Annualized Rolling Returns
Timeframes ending in every month
8 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 9 Years (108 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.57% +26.85%
Nov 1990 - Oct 1999 		-3.25%
Apr 2000 - Mar 2009 		2.75%
11 out of 400
US Inflation Adjusted +11.07% +23.63%
Nov 1990 - Oct 1999 		-5.56%
Apr 2000 - Mar 2009 		4.75%
19 out of 400
9 Years Annualized Rolling Returns
Timeframes ending in every month
9 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 10 Years (120 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.91% +24.93%
Sep 1990 - Aug 2000 		-0.39%
Mar 1999 - Feb 2009 		1.03%
4 out of 388
US Inflation Adjusted +11.33% +21.58%
Sep 1990 - Aug 2000 		-2.91%
Mar 1999 - Feb 2009 		6.19%
24 out of 388
10 Years Annualized Rolling Returns
Timeframes ending in every month
10 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 11 Years (132 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.53% +25.57%
Jan 1989 - Dec 1999 		+1.15%
Jul 1999 - Jun 2010 		0.00%
0 out of 376
US Inflation Adjusted +11.30% +21.80%
Jan 1989 - Dec 1999 		-1.29%
Jul 1999 - Jun 2010 		3.19%
12 out of 376
11 Years Annualized Rolling Returns
Timeframes ending in every month
11 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 12 Years (144 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.24% +24.13%
Sep 1988 - Aug 2000 		+2.17%
Jan 2000 - Dec 2011 		0.00%
0 out of 364
US Inflation Adjusted +11.22% +20.34%
Sep 1988 - Aug 2000 		-0.33%
Jan 2000 - Dec 2011 		0.55%
2 out of 364
12 Years Annualized Rolling Returns
Timeframes ending in every month
12 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 13 Years (156 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +14.00% +22.10%
Jan 1987 - Dec 1999 		+3.10%
Jan 2000 - Dec 2012 		0.00%
0 out of 352
US Inflation Adjusted +11.06% +18.21%
Jan 1987 - Dec 1999 		+0.64%
Jan 2000 - Dec 2012 		0.00%
0 out of 352
13 Years Annualized Rolling Returns
Timeframes ending in every month
13 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 14 Years (168 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +12.77% +22.38%
Nov 1985 - Oct 1999 		+4.94%
Apr 2000 - Mar 2014 		0.00%
0 out of 340
US Inflation Adjusted +9.98% +18.61%
Nov 1985 - Oct 1999 		+2.47%
Jul 1999 - Jun 2013 		0.00%
0 out of 340
14 Years Annualized Rolling Returns
Timeframes ending in every month
14 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 15 Years (180 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +11.85% +22.80%
Jan 1985 - Dec 1999 		+5.61%
Sep 2000 - Aug 2015 		0.00%
0 out of 328
US Inflation Adjusted +9.50% +19.02%
Jan 1985 - Dec 1999 		+3.35%
Jan 2000 - Dec 2014 		0.00%
0 out of 328
15 Years Annualized Rolling Returns
Timeframes ending in every month
15 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 16 Years (192 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +11.76% +21.84%
Aug 1984 - Jul 2000 		+5.72%
Apr 2000 - Mar 2016 		0.00%
0 out of 316
US Inflation Adjusted +9.38% +18.05%
Aug 1984 - Jul 2000 		+3.55%
Apr 2000 - Mar 2016 		0.00%
0 out of 316
16 Years Annualized Rolling Returns
Timeframes ending in every month
16 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 17 Years (204 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +11.79% +22.00%
Jul 1982 - Jun 1999 		+5.84%
Jan 2000 - Dec 2016 		0.00%
0 out of 304
US Inflation Adjusted +9.30% +18.21%
Jul 1982 - Jun 1999 		+3.60%
Jan 2000 - Dec 2016 		0.00%
0 out of 304
17 Years Annualized Rolling Returns
Timeframes ending in every month
17 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 18 Years (216 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +11.79% +21.94%
Apr 1982 - Mar 2000 		+7.32%
Jul 1999 - Jun 2017 		0.00%
0 out of 292
US Inflation Adjusted +9.13% +18.00%
Apr 1982 - Mar 2000 		+5.05%
Jul 1999 - Jun 2017 		0.00%
0 out of 292
18 Years Annualized Rolling Returns
Timeframes ending in every month
18 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 19 Years (228 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +11.78% +19.85%
Feb 1982 - Jan 2001 		+6.89%
Jan 2000 - Dec 2018 		0.00%
0 out of 280
US Inflation Adjusted +9.18% +16.00%
Feb 1982 - Jan 2001 		+4.65%
Jan 2000 - Dec 2018 		0.00%
0 out of 280
19 Years Annualized Rolling Returns
Timeframes ending in every month
19 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

Annualized Rolling Returns - 20 Years (240 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +11.75% +17.82%
Apr 1982 - Mar 2002 		+6.83%
Apr 2000 - Mar 2020 		0.00%
0 out of 268
US Inflation Adjusted +9.09% +14.15%
Apr 1982 - Mar 2002 		+4.65%
Apr 2000 - Mar 2020 		0.00%
0 out of 268
20 Years Annualized Rolling Returns
Timeframes ending in every month
20 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

To obtain comprehensive information, please consult the US Stocks Momentum Portfolio: ETF allocation and returns page.