Consolidated Returns as of 31 May 2023
Live Update: Jun 06 2023
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 11.80% compound annual return, with a 15.15% standard deviation.
Asset Allocation and ETFs
The US Stocks Momentum Portfolio has the following asset allocation:
The US Stocks Momentum Portfolio can be implemented with the following ETFs:
Weight (%) | Ticker | ETF Name | Investment Themes |
---|---|---|---|
100.00 |
MTUM
|
iShares Edge MSCI USA Momentum Fctr | Equity, U.S., Large Cap, Growth |
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 May 31, 2023
The US Stocks Momentum Portfolio guaranteed the following returns.
- No fees or capital gain taxes
- the reinvestment of dividends
Chg (%) | Return (%) | Return (%) as of May 31, 2023 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
1 Day | Time ET(*) | Jun 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~41Y) |
||
US Stocks Momentum Portfolio | -0.22 | 1.71 | -4.83 | -10.25 | -5.15 | 5.61 | 11.37 | 11.80 | 13.16 | ||
US Inflation Adjusted return | -4.83 | -11.93 | -8.61 | 1.73 | 8.47 | 9.06 | 10.00 | ||||
Components | |||||||||||
MTUM
|
iShares Edge MSCI USA Momentum Fctr | -0.22 | Jun 06 2023 | 1.71 | -4.83 | -10.25 | -5.15 | 5.61 | 11.37 | 11.80 | 13.16 |
In 2022, the US Stocks Momentum Portfolio granted a 1.45% dividend yield. If you are interested in getting periodic income, please refer to the US Stocks Momentum Portfolio: Dividend Yield page.
Portfolio Metrics as of May 31, 2023
Metrics of US Stocks Momentum Portfolio, updated as of 31 May 2023.
- No fees or capital gain taxes
- the reinvestment of dividends
Metrics as of May 31, 2023 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~41Y) |
|
Portfolio Return (%) | -4.83 | -2.12 | -10.25 | -5.15 | 3.72 | 5.61 | 11.37 | 10.28 | 11.80 | 13.16 |
US Inflation (%) | 0.00 | 0.84 | 1.90 | 3.79 | 5.77 | 3.81 | 2.68 | 2.55 | 2.51 | 2.87 |
Infl. Adjusted Return (%) | -4.83 | -2.93 | -11.93 | -8.61 | -1.93 | 1.73 | 8.47 | 7.54 | 9.06 | 10.00 |
Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||||
RISK INDICATORS | ||||||||||
Standard Deviation (%) | 18.34 | 19.11 | 18.81 | 15.22 | 14.96 | 15.15 | 15.33 | |||
Sharpe Ratio | -0.45 | 0.14 | 0.23 | 0.70 | 0.61 | 0.63 | 0.60 | |||
Sortino Ratio | -0.76 | 0.21 | 0.31 | 0.95 | 0.80 | 0.84 | 0.80 | |||
MAXIMUM DRAWDOWN | ||||||||||
Drawdown Depth (%) | -10.25 | -30.16 | -30.16 | -30.16 | -53.85 | -53.85 | -53.85 | |||
Start (yyyy mm) | 2022 12 | 2021 11 | 2021 11 | 2021 11 | 2007 11 | 2007 11 | 2007 11 | |||
Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
Start to Bottom (# months) | 6 | 11 | 11 | 11 | 16 | 16 | 16 | |||
Start to Recovery (# months) in progress |
> 6
|
> 19
|
> 19
|
> 19
|
63
|
63
|
63
|
|||
ROLLING PERIOD RETURNS - Annualized | ||||||||||
Best Return (%) | 59.99 | 42.50 | 39.50 | 24.93 | 17.82 | 14.18 | ||||
Worst Return (%) | -47.72 | -15.43 | -3.82 | -0.39 | 6.83 | 11.80 | ||||
% Positive Periods | 81% | 87% | 95% | 99% | 100% | 100% | ||||
MONTHS | ||||||||||
Positive | 0 | 2 | 2 | 5 | 17 | 34 | 71 | 151 | 226 | 316 |
Negative | 1 | 1 | 4 | 7 | 19 | 26 | 49 | 89 | 134 | 181 |
% Positive | 0% | 67% | 33% | 42% | 47% | 57% | 59% | 63% | 63% | 64% |
WITHDRAWAL RATES (WR) | ||||||||||
Safe WR (%) | 40.62 | 24.21 | 18.16 | 9.93 | 12.33 | 13.56 | ||||
Perpetual WR (%) | 0.00 | 1.70 | 7.81 | 7.01 | 8.31 | 9.09 |
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- 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).
- Maximum Drawdown: 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.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative 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).
Capital Growth as of May 31, 2023
The Inflation Adjusted Capital now would be 13479.57$, with a net total return of 1247.96% (9.06% annualized).
The Inflation Adjusted Capital now would be 51841.18$, with a net total return of 5084.12% (10.00% annualized).
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.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-53.85% | Nov 2007 | Feb 2009 | 16 | Jan 2013 | 47 | 63 |
-43.19% | Sep 2000 | Sep 2002 | 25 | Jul 2005 | 34 | 59 |
-30.16% | Nov 2021 | Sep 2022 | 11 | in progress | 8 | 19 |
-17.90% | Feb 2020 | Mar 2020 | 2 | Jun 2020 | 3 | 5 |
-15.44% | Oct 2018 | Dec 2018 | 3 | Jun 2019 | 6 | 9 |
-11.51% | Aug 1998 | Aug 1998 | 1 | Oct 1998 | 2 | 3 |
-7.82% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 |
-7.78% | Aug 2015 | Sep 2015 | 2 | May 2016 | 8 | 10 |
-7.23% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 |
-6.40% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 |
-5.01% | Apr 2000 | May 2000 | 2 | Aug 2000 | 3 | 5 |
-4.89% | Aug 1997 | Aug 1997 | 1 | Nov 1997 | 3 | 4 |
-4.85% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 |
-4.38% | Mar 2014 | Apr 2014 | 2 | Jun 2014 | 2 | 4 |
-4.13% | Mar 1997 | Mar 1997 | 1 | Apr 1997 | 1 | 2 |
-3.81% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 |
-3.64% | May 2006 | Jun 2006 | 2 | Sep 2006 | 3 | 5 |
-3.50% | Aug 2016 | Nov 2016 | 4 | Jan 2017 | 2 | 6 |
-3.47% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-2.81% | Aug 2013 | Aug 2013 | 1 | Sep 2013 | 1 | 2 |
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-53.85% | Nov 2007 | Feb 2009 | 16 | Jan 2013 | 47 | 63 |
-43.19% | Sep 2000 | Sep 2002 | 25 | Jul 2005 | 34 | 59 |
-30.55% | Sep 1987 | Nov 1987 | 3 | Jul 1989 | 20 | 23 |
-30.16% | Nov 2021 | Sep 2022 | 11 | in progress | 8 | 19 |
-17.90% | Feb 2020 | Mar 2020 | 2 | Jun 2020 | 3 | 5 |
-15.44% | Oct 2018 | Dec 2018 | 3 | Jun 2019 | 6 | 9 |
-12.56% | Jun 1990 | Sep 1990 | 4 | Jan 1991 | 4 | 8 |
-12.00% | Jul 1983 | Jul 1984 | 13 | Jan 1985 | 6 | 19 |
-11.51% | Aug 1998 | Aug 1998 | 1 | Oct 1998 | 2 | 3 |
-7.82% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 |
-7.79% | Sep 1986 | Sep 1986 | 1 | Nov 1986 | 2 | 3 |
-7.78% | Aug 2015 | Sep 2015 | 2 | May 2016 | 8 | 10 |
-7.23% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 |
-6.40% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 |
-6.32% | Jan 1990 | Jan 1990 | 1 | May 1990 | 4 | 5 |
-5.32% | Jul 1986 | Jul 1986 | 1 | Aug 1986 | 1 | 2 |
-5.01% | Apr 2000 | May 2000 | 2 | Aug 2000 | 3 | 5 |
-4.93% | Jan 1982 | Feb 1982 | 2 | Aug 1982 | 6 | 8 |
-4.89% | Aug 1997 | Aug 1997 | 1 | Nov 1997 | 3 | 4 |
-4.85% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 |
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.
Rolling Period |
Annualized Return (%) | Negative Periods |
|||
---|---|---|---|---|---|
Average | Latest | Best | Worst | ||
1 Year |
15.21 | -5.15 |
59.99 Jul 1982 - Jun 1983 |
-47.72 Mar 2008 - Feb 2009 |
18.72% |
2 Years |
14.49 | -9.51 |
46.81 Apr 1997 - Mar 1999 |
-25.84 Mar 2007 - Feb 2009 |
13.29% |
3 Years |
14.37 | 3.72 |
42.50 Aug 1996 - Jul 1999 |
-15.43 Mar 2006 - Feb 2009 |
12.77% |
5 Years |
13.98 | 5.61 |
39.50 Jan 1995 - Dec 1999 |
-3.82 Mar 2004 - Feb 2009 |
4.57% |
7 Years |
13.68 | 10.37 |
28.91 Jan 1993 - Dec 1999 |
-0.57 Mar 2002 - Feb 2009 |
0.48% |
10 Years |
13.47 | 11.37 |
24.93 Sep 1990 - Aug 2000 |
-0.39 Mar 1999 - Feb 2009 |
1.06% |
15 Years |
12.95 | 8.89 |
22.80 Jan 1985 - Dec 1999 |
5.61 Sep 2000 - Aug 2015 |
0.00% |
20 Years |
12.46 | 10.28 |
17.82 Apr 1982 - Mar 2002 |
6.83 Apr 2000 - Mar 2020 |
0.00% |
30 Years |
13.17 | 11.80 |
14.18 Sep 1988 - Aug 2018 |
11.80 Jun 1993 - May 2023 |
0.00% |
If you need a deeper detail about rolling returns, please refer to the US Stocks Momentum Portfolio: Rolling 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
The annualized return of the last 10 years has been 11.37% (updated at May 31, 2023).
Seasonality
In which months is it better to invest in US Stocks Momentum Portfolio?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.44
60% |
-2.22
20% |
-1.08
60% |
2.15
80% |
-0.56
20% |
1.17
60% |
3.33
100% |
3.55
80% |
-2.69
20% |
1.55
60% |
2.97
80% |
-1.36
40% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.44
|
98.21
|
97.15
|
99.23
|
98.68
|
99.83
|
103.16
|
106.82
|
103.95
|
105.56
|
108.69
|
107.22
|
Best |
6.5 2019 |
3.4 2019 |
4.8 2022 |
11.7 2020 |
5.9 2020 |
6.1 2019 |
7.0 2020 |
9.5 2020 |
0.9 2018 |
12.5 2022 |
10.6 2020 |
3.4 2020 |
Worst |
-9.0 2022 |
-7.2 2020 |
-11.5 2020 |
-12.7 2022 |
-4.8 2023 |
-6.4 2022 |
0.9 2021 |
-2.0 2022 |
-5.9 2022 |
-9.9 2018 |
-3.9 2021 |
-7.5 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.68
50% |
0.21
40% |
-0.60
50% |
1.11
60% |
1.53
60% |
0.97
60% |
3.09
90% |
1.35
60% |
-0.94
40% |
2.52
70% |
2.44
80% |
-0.38
50% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.68
|
100.89
|
100.29
|
101.41
|
102.96
|
103.96
|
107.16
|
108.61
|
107.59
|
110.30
|
112.99
|
112.56
|
Best |
8.2 2018 |
6.7 2014 |
5.3 2016 |
11.7 2020 |
5.9 2020 |
6.1 2019 |
7.0 2020 |
9.5 2020 |
3.3 2013 |
12.5 2022 |
10.6 2020 |
3.4 2020 |
Worst |
-9.0 2022 |
-7.2 2020 |
-11.5 2020 |
-12.7 2022 |
-4.8 2023 |
-6.4 2022 |
-1.0 2014 |
-6.0 2015 |
-5.9 2022 |
-9.9 2018 |
-3.9 2021 |
-7.5 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
1.44
62% |
0.53
57% |
1.21
69% |
1.88
67% |
1.42
64% |
0.57
59% |
1.31
59% |
0.99
68% |
-0.47
49% |
1.44
66% |
1.77
71% |
1.51
73% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
101.44
|
101.98
|
103.21
|
105.15
|
106.64
|
107.25
|
108.65
|
109.72
|
109.21
|
110.78
|
112.74
|
114.45
|
Best |
13.1 1987 |
8.4 1998 |
9.7 2000 |
11.7 2020 |
10.0 1990 |
6.6 1999 |
9.4 1989 |
12.5 1982 |
9.0 2010 |
12.5 2022 |
10.6 2020 |
11.3 1991 |
Worst |
-9.0 2022 |
-11.7 2009 |
-11.5 2020 |
-12.7 2022 |
-7.6 2010 |
-8.9 2008 |
-6.6 2002 |
-11.5 1998 |
-10.1 2008 |
-22.2 1987 |
-8.5 1987 |
-7.5 2018 |
Monthly/Yearly Returns
US Stocks Momentum Portfolio data source starts from January 1982: let's focus on monthly and yearly returns.
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2023 |
-6.59 | -8.61 | -0.5 | -4.0 | 0.4 | 2.4 | -4.8 | |||||||
2022 |
-18.26 | -23.21 | -9.0 | -2.7 | 4.8 | -12.7 | -0.6 | -6.4 | 5.2 | -2.0 | -5.9 | 12.5 | 3.5 | -3.9 |
2021 |
+13.37 | +5.91 | 1.6 | -0.6 | -1.2 | 7.1 | -1.1 | 1.9 | 0.9 | 4.1 | -3.5 | 8.6 | -3.9 | -0.5 |
2020 |
+29.85 | +28.10 | 3.7 | -7.2 | -11.5 | 11.7 | 5.9 | 4.3 | 7.0 | 9.5 | -3.8 | -4.2 | 10.6 | 3.4 |
2019 |
+27.26 | +24.41 | 6.5 | 3.4 | 2.1 | 2.3 | -2.2 | 6.1 | 1.8 | 0.3 | -1.1 | 0.6 | 3.3 | 1.7 |
2018 |
-1.66 | -3.50 | 8.2 | -1.5 | -3.4 | 0.5 | 3.4 | -0.1 | 1.8 | 5.9 | 0.9 | -9.9 | 1.4 | -7.5 |
2017 |
+37.50 | +34.66 | 3.2 | 3.8 | 2.1 | 2.6 | 4.8 | 0.3 | 3.5 | 1.5 | 2.8 | 5.0 | 2.8 | 0.1 |
2016 |
+5.00 | +2.87 | -3.8 | -1.3 | 5.3 | -0.6 | 2.5 | 3.0 | 2.7 | -1.5 | 0.5 | -1.9 | -0.6 | 1.1 |
2015 |
+8.93 | +8.14 | -0.7 | 5.4 | -1.0 | -1.0 | 3.4 | -0.3 | 3.8 | -6.0 | -1.9 | 7.3 | 0.5 | -0.1 |
2014 |
+14.61 | +13.75 | -2.3 | 6.7 | -3.4 | -1.0 | 4.1 | 2.1 | -1.0 | 4.6 | -0.7 | 2.3 | 3.8 | -0.8 |
2013 |
+34.58 | +32.59 | 5.3 | 1.5 | 4.0 | 2.1 | 2.5 | -1.2 | 5.3 | -2.8 | 3.3 | 4.7 | 3.1 | 2.7 |
2012 |
+14.94 | +12.97 | 4.6 | 4.3 | 3.1 | -0.8 | -6.1 | 4.0 | 1.1 | 2.4 | 2.5 | -1.9 | 0.5 | 0.8 |
2011 |
+5.93 | +2.89 | 2.7 | 3.8 | 0.3 | 3.2 | -0.8 | -1.4 | -1.7 | -5.1 | -6.4 | 10.9 | -0.1 | 1.3 |
2010 |
+18.02 | +16.28 | -3.4 | 3.4 | 6.3 | 1.8 | -7.6 | -4.9 | 7.0 | -4.2 | 9.0 | 4.0 | 0.2 | 6.7 |
2009 |
+17.45 | +14.33 | -9.0 | -11.7 | 7.6 | 9.3 | 5.2 | -0.8 | 7.1 | 3.2 | 3.1 | -2.7 | 5.9 | 1.4 |
2008 |
-40.96 | -41.02 | -6.4 | -3.0 | -1.3 | 4.4 | 1.2 | -8.9 | -1.3 | 1.2 | -10.1 | -17.6 | -7.9 | 0.5 |
2007 |
+17.64 | +13.03 | 2.6 | -0.9 | 2.2 | 5.3 | 4.2 | -0.5 | -2.0 | 2.1 | 4.5 | 2.1 | -2.7 | -0.1 |
2006 |
+10.56 | +7.82 | 2.0 | 0.1 | 1.2 | 0.9 | -3.5 | -0.2 | 0.0 | 1.8 | 2.4 | 2.9 | 1.7 | 1.0 |
2005 |
+19.14 | +15.20 | -1.1 | 3.3 | -0.6 | -0.6 | 4.3 | 1.3 | 4.7 | 0.2 | 1.8 | -1.1 | 5.0 | 0.8 |
2004 |
+16.70 | +13.02 | 2.5 | 1.8 | -0.8 | -1.4 | 2.2 | 2.3 | -2.7 | 0.7 | 1.4 | 1.7 | 4.7 | 3.3 |
2003 |
+25.99 | +23.67 | -2.6 | -1.5 | 0.0 | 8.3 | 5.4 | 0.9 | 1.7 | 1.9 | -1.3 | 5.3 | 1.0 | 5.0 |
2002 |
-12.28 | -14.32 | -0.2 | -1.0 | 4.1 | -4.9 | 0.2 | -6.3 | -6.6 | 1.5 | -8.9 | 8.5 | 6.5 | -4.3 |
2001 |
-17.35 | -18.61 | 4.0 | -10.0 | -6.2 | 8.2 | -1.1 | -2.9 | -1.6 | -6.7 | -9.1 | 0.8 | 7.7 | 0.0 |
2000 |
-9.61 | -12.57 | -5.0 | -1.5 | 9.7 | -3.5 | -1.6 | 2.0 | -1.6 | 6.5 | -5.5 | -0.5 | -7.5 | -0.5 |
1999 |
+40.42 | +36.75 | 5.2 | -1.6 | 5.6 | 5.2 | -0.7 | 6.6 | -1.5 | 0.9 | -0.6 | 7.0 | 2.8 | 6.2 |
1998 |
+48.76 | +46.40 | 3.0 | 8.4 | 6.2 | 2.6 | -0.6 | 5.4 | 0.1 | -11.5 | 7.1 | 8.5 | 6.1 | 6.9 |
1997 |
+36.86 | +34.57 | 6.5 | 1.2 | -4.1 | 6.5 | 6.5 | 4.3 | 8.1 | -4.9 | 5.0 | -2.2 | 4.0 | 2.1 |
1996 |
+29.83 | +25.65 | 4.2 | 0.9 | 2.3 | 1.6 | 2.8 | 1.4 | -3.8 | 2.4 | 5.9 | 3.6 | 7.4 | -1.8 |
1995 |
+42.32 | +38.80 | 3.7 | 4.4 | 3.1 | 3.3 | 4.2 | 2.3 | 3.5 | 0.7 | 4.4 | 0.0 | 4.6 | 1.8 |
1994 |
-1.09 | -3.66 | 3.4 | -3.0 | -4.3 | 1.0 | 1.5 | -2.4 | 3.1 | 3.7 | -2.7 | 2.8 | -4.2 | 0.6 |
1993 |
+13.22 | +10.20 | 1.1 | 1.6 | 2.4 | -2.1 | 2.9 | 0.5 | -0.2 | 4.0 | -0.5 | 2.3 | -0.7 | 1.4 |
1992 |
+4.32 | +1.38 | -2.1 | 1.0 | -2.2 | 2.7 | 0.2 | -1.8 | 3.8 | -2.4 | 0.9 | 0.1 | 3.2 | 1.0 |
1991 |
+36.90 | +32.83 | 4.9 | 7.6 | 2.9 | 0.7 | 4.7 | -4.0 | 5.0 | 2.7 | -1.2 | 1.7 | -3.4 | 11.3 |
1990 |
+1.49 | -4.35 | -6.3 | 1.7 | 3.0 | -2.1 | 10.0 | -0.3 | 0.0 | -8.4 | -4.3 | 0.0 | 6.6 | 3.0 |
1989 |
+42.76 | +36.42 | 8.3 | -1.6 | 3.1 | 5.9 | 4.7 | 0.2 | 9.4 | 2.5 | 0.3 | -1.5 | 2.6 | 2.9 |
1988 |
+7.07 | +2.54 | 3.4 | 3.9 | -3.8 | 0.3 | 0.1 | 4.0 | -1.1 | -4.3 | 3.8 | 2.2 | -2.3 | 1.2 |
1987 |
+2.34 | -2.00 | 13.1 | 3.8 | 2.7 | -1.2 | 0.9 | 4.9 | 4.8 | 3.7 | -2.5 | -22.2 | -8.5 | 7.5 |
1986 |
+22.70 | +21.37 | 0.8 | 7.9 | 5.8 | -1.0 | 5.7 | 2.0 | -5.3 | 7.6 | -7.8 | 5.8 | 2.8 | -2.2 |
1985 |
+32.38 | +27.54 | 7.7 | 1.5 | 0.1 | -0.2 | 6.1 | 1.5 | -0.1 | -0.6 | -3.0 | 4.5 | 7.0 | 4.7 |
1984 |
-0.83 | -4.59 | -1.1 | -3.9 | 1.0 | 0.1 | -6.1 | 1.6 | -2.2 | 11.1 | -0.6 | -0.3 | -1.7 | 2.2 |
1983 |
+16.95 | +12.68 | 3.1 | 2.1 | 3.2 | 7.3 | -1.2 | 3.5 | -3.6 | 1.6 | 1.0 | -1.8 | 2.0 | -1.0 |
1982 |
+30.44 | +25.63 | -0.7 | -4.3 | 0.2 | 4.9 | -2.0 | -0.7 | -1.3 | 12.5 | 1.7 | 11.1 | 4.6 | 2.2 |
Portofolio Returns, up to December 2013, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, it has been used:
- MTUM - iShares Edge MSCI USA Momentum Fctr: simulated historical serie, up to December 2013
Portfolio efficiency
Compared to the US Stocks Momentum Portfolio, no other portfolio in our database granted a higher return over 30 Years and a less severe drawdown at the same time.
The following portfolios share asset allocation strategy and/or similar asset weights.
5 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
Cape US Sector Value | +11.44 | 19.20 | -21.00 | 100 | 0 | 0 | ||
US Stocks | +9.99 | 18.95 | -24.81 | 100 | 0 | 0 | ||
US Stocks ESG | +9.37 | 19.16 | -27.79 | 100 | 0 | 0 | ||
US Stocks Value | +9.02 | 18.80 | -26.06 | 100 | 0 | 0 | ||
US Stocks Equal Weight | +8.61 | 20.33 | -26.65 | 100 | 0 | 0 | ||
US Stocks Minimum Volatility | +8.29 | 14.99 | -19.06 | 100 | 0 | 0 | ||
US Stocks Momentum | +5.61 | 18.81 | -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.
30 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
Technology | +13.50 | 23.92 | -81.08 | 100 | 0 | 0 | ||
US Stocks Momentum | +11.80 | 15.15 | -53.85 | 100 | 0 | 0 | ||
Stocks/Bonds 80/20 Momentum | +10.63 | 12.22 | -43.61 | 80 | 20 | 0 | ||
US Stocks | +9.70 | 15.36 | -50.84 | 100 | 0 | 0 | ||
US Stocks Value | +9.50 | 15.19 | -55.41 | 100 | 0 | 0 |