US Stocks Momentum Portfolio: ETF allocation and returns

Data Source: from January 1982 to April 2024 (~42 years)
Consolidated Returns as of 30 April 2024
Live Update: May 20 2024 Currency: USD
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.85%
1 Day
May 20 2024
6.71%
Current Month
May 2024

The US Stocks Momentum 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 Momentum Portfolio obtained a 12.70% compound annual return, with a 15.40% standard deviation.

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Asset Allocation and ETFs

The US Stocks Momentum Portfolio has the following asset allocation:

100% Stocks
0% Fixed Income
0% Commodities

The US Stocks Momentum Portfolio can be implemented with the following ETFs:

Weight
(%)
Investment Themes (Orig.Currency) ETF
Ticker
ETF
Currency
ETF Name
100.00 Equity, U.S., Large Cap, Growth (USD)
MTUM
USD iShares Edge MSCI USA Momentum Fctr

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 Apr 30, 2024

The US Stocks Momentum 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 MOMENTUM PORTFOLIO
Consolidated returns as of 30 April 2024
Live Update: May 20 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Apr 30, 2024
  1 Day Time ET(*) May 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~42Y)
US Stocks Momentum Portfolio 0.85 6.71 -5.47 29.28 25.66 10.44 12.88 12.70 13.60
US Inflation Adjusted return -5.76 26.94 21.58 6.01 9.75 9.90 10.42
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Apr 2024. Current inflation (annualized) is 1Y: 3.36% , 5Y: 4.18% , 10Y: 2.85% , 30Y: 2.55%

In 2023, the US Stocks Momentum Portfolio granted a 1.46% dividend yield. If you are interested in getting periodic income, please refer to the US Stocks Momentum Portfolio: Dividend Yield page.

Capital Growth as of Apr 30, 2024

An investment of 1$, since May 1994, now would be worth 36.15$, with a total return of 3515.44% (12.70% annualized).

The Inflation Adjusted Capital now would be 16.99$, with a net total return of 1599.17% (9.90% annualized).
An investment of 1$, since January 1982, now would be worth 220.90$, with a total return of 21989.67% (13.60% annualized).

The Inflation Adjusted Capital now would be 66.37$, with a net total return of 6536.63% (10.42% annualized).

Portfolio Metrics as of Apr 30, 2024

Metrics of US Stocks Momentum Portfolio, updated as of 30 April 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 MOMENTUM PORTFOLIO
Advanced Metrics
Data Source: 1 January 1982 - 30 April 2024 (~42 years)
Swipe left to see all data
Metrics as of Apr 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~42Y)
Investment Return (%) -5.47 7.01 29.28 25.66 2.27 10.44 12.88 10.92 12.70 13.60
Infl. Adjusted Return (%) details -5.76 5.81 26.94 21.58 -3.05 6.01 9.75 8.11 9.90 10.42
US Inflation (%) 0.31 1.14 1.85 3.36 5.50 4.18 2.85 2.60 2.55 2.88
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -6.36 -30.16 -30.16 -30.16 -53.85 -53.85 -53.85
Start to Recovery (# months) details 3 29 29 29 63 63 63
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 18 18 18 47 47 47
End (yyyy mm) 2023 11 2024 03 2024 03 2024 03 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 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 18 18 18 47 47 47
End (yyyy mm) 2023 11 2024 03 2024 03 2024 03 2013 01 2013 01 2013 01
Longest negative period (# months) details 6 33 38 38 68 126 126
Period Start (yyyy mm) 2023 05 2021 05 2020 09 2020 09 2006 02 2000 01 2000 01
Period End (yyyy mm) 2023 10 2024 01 2023 10 2023 10 2011 09 2010 06 2010 06
Annualized Return (%) -5.53 -0.01 -2.18 -2.18 -0.27 -0.16 -0.16
Deepest Drawdown Depth (%) -6.96 -34.85 -34.85 -34.85 -54.61 -54.61 -54.61
Start to Recovery (# months) details 4 30* 30* 30* 67 67 67
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 19 19 19 51 51 51
End (yyyy mm) 2023 11 - - - 2013 05 2013 05 2013 05
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-45.74 -45.74
Start to Recovery (# months) details 74 74
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2007 11 2000 09 2000 09
Start to Bottom (# months) 3 11 11 11 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 19 19 19 51 49 49
End (yyyy mm) 2023 11 - - - 2013 05 2006 10 2006 10
Longest negative period (# months) details 6 36* 50 50 79 147 147
Period Start (yyyy mm) 2023 05 2021 05 2019 09 2019 09 2005 03 1999 07 1999 07
Period End (yyyy mm) 2023 10 2024 04 2023 10 2023 10 2011 09 2011 09 2011 09
Annualized Return (%) -8.27 -3.05 -0.03 -0.03 -0.10 -0.22 -0.22
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 18.06 19.00 19.13 15.78 15.38 15.40 15.39
Sharpe Ratio 1.13 -0.02 0.45 0.74 0.62 0.68 0.62
Sortino Ratio 1.57 -0.03 0.63 1.01 0.82 0.90 0.83
Ulcer Index 3.00 18.12 14.42 10.57 15.37 16.18 14.31
Ratio: Return / Standard Deviation 1.42 0.12 0.55 0.82 0.71 0.82 0.88
Ratio: Return / Deepest Drawdown 4.03 0.08 0.35 0.43 0.20 0.24 0.25
% Positive Months details 66% 50% 56% 60% 62% 63% 63%
Positive Months 8 18 34 73 151 228 324
Negative Months 4 18 26 47 89 132 184
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 12.88 18.71 18.71 24.93
Worst 10 Years Return (%) - Annualized 7.31 -0.39 -0.39
Best 10 Years Return (%) - Annualized 9.75 16.58 16.58 21.58
Worst 10 Years Return (%) - Annualized 5.46 -2.91 -2.91
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 59.48 42.50 39.50 18.71 13.37 12.70
Worst Rolling Return (%) - Annualized -47.72 -15.43 -3.82 -0.39 6.83
% Positive Periods 80% 80% 93% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 69.43 22.28 14.30 7.97 5.16 13.08
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.08 12.31
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 55.95 39.68 36.26 16.58 10.80 9.90
Worst Rolling Return (%) - Annualized -47.72 -17.23 -6.30 -2.91 4.65
% Positive Periods 78% 75% 77% 90% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 69.43 22.28 14.30 7.97 5.16 13.08
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.08 12.31
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1982 - Apr 2024)
Best Rolling Return (%) - Annualized 59.99 42.50 39.50 24.93 17.82 14.18
Worst Rolling Return (%) - Annualized -47.72 -15.43 -3.82 -0.39 6.83 11.65
% Positive Periods 81% 86% 95% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 69.43 22.28 14.30 7.97 5.16 8.67
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.08 8.09
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 56.13 39.68 36.26 21.58 14.15 11.38
Worst Rolling Return (%) - Annualized -47.72 -17.23 -6.30 -2.91 4.65 8.90
% Positive Periods 78% 82% 85% 93% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 69.43 22.28 14.30 7.97 5.16 8.67
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.08 8.09
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 MOMENTUM PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1982 - 30 April 2024 (~42 years)
Inflation Adjusted:
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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 MOMENTUM PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1982 - 30 April 2024 (~42 years)
Inflation Adjusted:

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

Seasonality

In which months is it better to invest in US Stocks 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.
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Monthly Returns

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

US STOCKS MOMENTUM PORTFOLIO
Monthly Returns Distribution
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1982 - 30 April 2024 (~42 years)
228 Positive Months (63%) - 132 Negative Months (37%)
324 Positive Months (64%) - 184 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

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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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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

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