US Stocks Value Portfolio: ETF allocation and returns

Data Source: from January 1975 to January 2024 (~49 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 02:59PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.06%
1 Day
Feb 27 2024, 02:59PM Eastern Time
2.53%
Current Month
February 2024

The US Stocks Value 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 Value Portfolio obtained a 9.75% compound annual return, with a 15.38% standard deviation.

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Asset Allocation and ETFs

The US Stocks Value Portfolio has the following asset allocation:

100% Stocks
0% Fixed Income
0% Commodities

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

Weight (%) Ticker Currency ETF Name Investment Themes
100.00
IUSV
USD iShares Core S&P U.S. Value ETF Equity, U.S., Large Cap, Value

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 Jan 31, 2024

The US Stocks Value 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 VALUE PORTFOLIO
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 02:59PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~49Y)
US Stocks Value Portfolio 0.06 2.53 0.11 5.31 13.61 12.12 10.32 9.75 12.12
US Inflation Adjusted return -0.20 3.59 10.19 7.64 7.33 7.04 8.11
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the US Stocks Value Portfolio granted a 2.11% dividend yield. If you are interested in getting periodic income, please refer to the US Stocks Value Portfolio: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 16.28$, with a total return of 1527.84% (9.75% annualized).

The Inflation Adjusted Capital now would be 7.69$, with a net total return of 669.02% (7.04% annualized).
An investment of 1$, since January 1975, now would be worth 274.41$, with a total return of 27341.01% (12.12% annualized).

The Inflation Adjusted Capital now would be 45.99$, with a net total return of 4498.83% (8.11% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of US Stocks Value Portfolio, updated as of 31 January 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 VALUE PORTFOLIO
Advanced Metrics
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~49Y)
Investment Return (%) 0.11 16.07 5.31 13.61 13.56 12.12 10.32 8.57 9.75 12.12
Infl. Adjusted Return (%) details -0.20 15.27 3.59 10.19 7.47 7.64 7.33 5.84 7.04 8.11
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 3.71
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -9.27 -16.63 -26.06 -26.06 -55.41 -55.41 -55.41
Start to Recovery (# months) details 5 13 12 12 68 68 68
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 9 3 3 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 4 9 9 47 47 47
End (yyyy mm) 2023 12 2023 01 2020 12 2020 12 2013 01 2013 01 2013 01
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-16.63 -12.56
same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 13 15
Start (yyyy mm) 2023 08 2022 01 2022 01 2018 02 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 9 9 11 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2018 12 2009 02 2009 02 2009 02
Bottom to End (# months) 2 4 4 4 47 47 47
End (yyyy mm) 2023 12 2023 01 2023 01 2019 04 2013 01 2013 01 2013 01
Longest negative period (# months) details 9 22 22 37 79 132 132
Period Start (yyyy mm) 2023 02 2022 01 2022 01 2017 03 2005 03 1998 03 1998 03
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2011 09 2009 02 2009 02
Annualized Return (%) -2.82 -0.36 -0.36 -0.87 -0.15 -0.36 -0.36
Deepest Drawdown Depth (%) -10.13 -21.00 -25.92 -25.92 -56.66 -56.66 -56.66
Start to Recovery (# months) details 5 19 12 12 74 74 74
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 9 3 3 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 10 9 9 53 53 53
End (yyyy mm) 2023 12 2023 07 2020 12 2020 12 2013 07 2013 07 2013 07
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-21.00 -21.00
same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 19 19
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 9 9 9 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 10 10 10 53 53 53
End (yyyy mm) 2023 12 2023 07 2023 07 2023 07 2013 07 2013 07 2013 07
Longest negative period (# months) details 9 31 35 40 92 152 152
Period Start (yyyy mm) 2023 02 2021 04 2019 11 2016 12 2004 02 1999 02 1999 02
Period End (yyyy mm) 2023 10 2023 10 2022 09 2020 03 2011 09 2011 09 2011 09
Annualized Return (%) -5.83 -1.48 -0.53 -0.68 -0.78 -0.16 -0.16
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 14.91 16.80 18.64 15.50 15.60 15.38 15.32
Sharpe Ratio 0.57 0.68 0.55 0.59 0.46 0.49 0.53
Sortino Ratio 0.90 0.96 0.75 0.81 0.61 0.64 0.71
Ulcer Index 3.62 4.81 7.18 5.82 14.25 13.16 11.01
Ratio: Return / Standard Deviation 0.91 0.81 0.65 0.67 0.55 0.63 0.79
Ratio: Return / Deepest Drawdown 1.47 0.82 0.46 0.40 0.15 0.18 0.22
% Positive Months details 58% 58% 60% 64% 64% 64% 63%
Positive Months 7 21 36 77 154 232 376
Negative Months 5 15 24 43 86 128 213
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 10.32 15.32 15.32 18.99
Worst 10 Years Return (%) - Annualized 4.88 -1.23 -1.23
Best 10 Years Return (%) - Annualized 7.33 13.32 13.32 15.26
Worst 10 Years Return (%) - Annualized 3.07 -3.72 -3.72
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 56.37 31.55 24.16 15.32 10.49 9.75
Worst Rolling Return (%) - Annualized -46.81 -17.39 -6.77 -1.23 5.17
% Positive Periods 78% 84% 87% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 71.66 22.84 14.05 8.54 5.59 8.72
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.61 7.59
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 53.08 28.56 21.33 13.32 8.01 7.04
Worst Rolling Return (%) - Annualized -46.82 -19.15 -9.17 -3.72 3.03
% Positive Periods 73% 80% 79% 91% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 71.66 22.84 14.05 8.54 5.59 8.72
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.61 7.59
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1975 - Jan 2024)
Best Rolling Return (%) - Annualized 61.11 32.95 30.12 18.99 17.59 14.67
Worst Rolling Return (%) - Annualized -46.81 -17.39 -6.77 -1.23 5.17 8.88
% Positive Periods 81% 90% 92% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 71.66 22.84 14.05 8.54 5.59 7.12
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.61 6.08
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 57.22 29.06 26.16 15.26 13.19 9.78
Worst Rolling Return (%) - Annualized -46.82 -19.15 -9.17 -3.72 3.03 6.38
% Positive Periods 72% 83% 86% 95% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 71.66 22.84 14.05 8.54 5.59 7.12
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.61 6.08
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 VALUE PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-55.41% Jun 2007 Feb 2009 21 Jan 2013 47 68 25.46
-32.49% Sep 2000 Sep 2002 25 Feb 2004 17 42 17.09
-26.06% Jan 2020 Mar 2020 3 Dec 2020 9 12 13.06
-17.60% Jul 1998 Aug 1998 2 Dec 1998 4 6 8.56
-16.63% Jan 2022 Sep 2022 9 Jan 2023 4 13 6.87
-12.56% Feb 2018 Dec 2018 11 Apr 2019 4 15 5.22
-10.70% Jun 2015 Jan 2016 8 Jun 2016 5 13 5.85
-9.27% Aug 2023 Oct 2023 3 Dec 2023 2 5 4.98
-8.88% Jul 1999 Sep 1999 3 Dec 1999 3 6 4.59
-7.76% May 2019 May 2019 1 Jul 2019 2 3 3.88
-6.99% Feb 1994 Mar 1994 2 Aug 1994 5 7 4.61
-5.25% Aug 1997 Aug 1997 1 Nov 1997 3 4 2.78
-4.48% Mar 1997 Mar 1997 1 Apr 1997 1 2 2.59
-4.43% Jul 1996 Jul 1996 1 Sep 1996 2 3 2.56
-4.20% Feb 1999 Feb 1999 1 Apr 1999 2 3 2.17
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 122 3.0 Months 33.80%
 
DD = 0% 33.80%
 
0% < DD <= -5% 98 3.7 Months 27.15%
 
DD <= -5% 60.94%
 
-5% < DD <= -10% 40 9.0 Months 11.08%
 
DD <= -10% 72.02%
 
-10% < DD <= -15% 34 10.6 Months 9.42%
 
DD <= -15% 81.44%
 
-15% < DD <= -20% 22 16.4 Months 6.09%
 
DD <= -20% 87.53%
 
-20% < DD <= -25% 10 36.1 Months 2.77%
 
DD <= -25% 90.30%
 
-25% < DD <= -30% 14 25.8 Months 3.88%
 
DD <= -30% 94.18%
 
-30% < DD <= -35% 9 40.1 Months 2.49%
 
DD <= -35% 96.68%
 
-35% < DD <= -40% 4 90.3 Months 1.11%
 
DD <= -40% 97.78%
 
-40% < DD <= -45% 4 90.3 Months 1.11%
 
DD <= -45% 98.89%
 
-45% < DD <= -50% 2 180.5 Months 0.55%
 
DD <= -50% 99.45%
 
-50% < DD <= -55% 1 361.0 Months 0.28%
 
DD <= -55% 99.72%
 
-55% < DD <= -60% 1 361.0 Months 0.28%
 
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
-56.66% Jun 2007 Feb 2009 21 Jul 2013 53 74 27.85
-35.52% Sep 2000 Sep 2002 25 Dec 2004 27 52 18.49
-25.92% Jan 2020 Mar 2020 3 Dec 2020 9 12 12.94
-21.00% Jan 2022 Sep 2022 9 Jul 2023 10 19 9.30
-17.90% Jul 1998 Aug 1998 2 Dec 1998 4 6 8.82
-13.91% Feb 2018 Dec 2018 11 Jul 2019 7 18 5.84
-10.95% Jun 2015 Jan 2016 8 Jul 2016 6 14 5.89
-10.13% Aug 2023 Oct 2023 3 Dec 2023 2 5 5.53
-9.86% Jul 1999 Sep 1999 3 Dec 1999 3 6 5.29
-7.65% Feb 1994 Jun 1994 5 Feb 1995 8 13 4.76
-5.49% Aug 1997 Aug 1997 1 Dec 1997 4 5 2.79
-4.86% Jan 2000 Feb 2000 2 Mar 2000 1 3 3.19
-4.72% Jun 2021 Nov 2021 6 Dec 2021 1 7 2.49
-4.61% Jul 1996 Jul 1996 1 Sep 1996 2 3 2.71
-4.54% Mar 1997 Mar 1997 1 Apr 1997 1 2 2.62
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 96 3.8 Months 26.59%
 
DD = 0% 26.59%
 
0% < DD <= -5% 99 3.6 Months 27.42%
 
DD <= -5% 54.02%
 
-5% < DD <= -10% 43 8.4 Months 11.91%
 
DD <= -10% 65.93%
 
-10% < DD <= -15% 30 12.0 Months 8.31%
 
DD <= -15% 74.24%
 
-15% < DD <= -20% 26 13.9 Months 7.20%
 
DD <= -20% 81.44%
 
-20% < DD <= -25% 23 15.7 Months 6.37%
 
DD <= -25% 87.81%
 
-25% < DD <= -30% 15 24.1 Months 4.16%
 
DD <= -30% 91.97%
 
-30% < DD <= -35% 10 36.1 Months 2.77%
 
DD <= -35% 94.74%
 
-35% < DD <= -40% 9 40.1 Months 2.49%
 
DD <= -40% 97.23%
 
-40% < DD <= -45% 5 72.2 Months 1.39%
 
DD <= -45% 98.61%
 
-45% < DD <= -50% 3 120.3 Months 0.83%
 
DD <= -50% 99.45%
 
-50% < DD <= -55% 1 361.0 Months 0.28%
 
DD <= -55% 99.72%
 
-55% < DD <= -60% 1 361.0 Months 0.28%
 
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
-55.41% Jun 2007 Feb 2009 21 Jan 2013 47 68 25.46
-32.49% Sep 2000 Sep 2002 25 Feb 2004 17 42 17.09
-30.17% Sep 1987 Nov 1987 3 Apr 1989 17 20 15.87
-26.06% Jan 2020 Mar 2020 3 Dec 2020 9 12 13.06
-17.60% Jul 1998 Aug 1998 2 Dec 1998 4 6 8.56
-16.63% Jan 2022 Sep 2022 9 Jan 2023 4 13 6.87
-16.02% Jun 1990 Oct 1990 5 Feb 1991 4 9 9.06
-13.50% Jan 1977 Feb 1978 14 Jul 1978 5 19 7.20
-12.56% Feb 2018 Dec 2018 11 Apr 2019 4 15 5.22
-11.39% Jul 1975 Sep 1975 3 Jan 1976 4 7 6.02
-11.12% Dec 1981 Jul 1982 8 Sep 1982 2 10 6.41
-10.70% Jun 2015 Jan 2016 8 Jun 2016 5 13 5.85
-10.15% Mar 1980 Mar 1980 1 Jun 1980 3 4 5.44
-9.56% Sep 1978 Oct 1978 2 Mar 1979 5 7 5.07
-9.27% Aug 2023 Oct 2023 3 Dec 2023 2 5 4.98
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 213 2.8 Months 36.10%
 
DD = 0% 36.10%
 
0% < DD <= -5% 177 3.3 Months 30.00%
 
DD <= -5% 66.10%
 
-5% < DD <= -10% 73 8.1 Months 12.37%
 
DD <= -10% 78.47%
 
-10% < DD <= -15% 49 12.0 Months 8.31%
 
DD <= -15% 86.78%
 
-15% < DD <= -20% 28 21.1 Months 4.75%
 
DD <= -20% 91.53%
 
-20% < DD <= -25% 14 42.1 Months 2.37%
 
DD <= -25% 93.90%
 
-25% < DD <= -30% 14 42.1 Months 2.37%
 
DD <= -30% 96.27%
 
-30% < DD <= -35% 10 59.0 Months 1.69%
 
DD <= -35% 97.97%
 
-35% < DD <= -40% 4 147.5 Months 0.68%
 
DD <= -40% 98.64%
 
-40% < DD <= -45% 4 147.5 Months 0.68%
 
DD <= -45% 99.32%
 
-45% < DD <= -50% 2 295.0 Months 0.34%
 
DD <= -50% 99.66%
 
-50% < DD <= -55% 1 590.0 Months 0.17%
 
DD <= -55% 99.83%
 
-55% < DD <= -60% 1 590.0 Months 0.17%
 
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
-56.66% Jun 2007 Feb 2009 21 Jul 2013 53 74 27.85
-35.52% Sep 2000 Sep 2002 25 Dec 2004 27 52 18.49
-30.84% Sep 1987 Nov 1987 3 Jul 1989 20 23 16.89
-25.92% Jan 2020 Mar 2020 3 Dec 2020 9 12 12.94
-21.00% Jan 2022 Sep 2022 9 Jul 2023 10 19 9.30
-20.79% Dec 1980 Jul 1982 20 Nov 1982 4 24 10.98
-20.63% Jan 1977 Mar 1980 39 Nov 1980 8 47 12.49
-18.92% Sep 1989 Oct 1990 14 May 1991 7 21 8.35
-17.90% Jul 1998 Aug 1998 2 Dec 1998 4 6 8.82
-13.91% Feb 2018 Dec 2018 11 Jul 2019 7 18 5.84
-13.17% Jul 1975 Sep 1975 3 Jan 1976 4 7 7.62
-10.95% Jun 2015 Jan 2016 8 Jul 2016 6 14 5.89
-10.13% Aug 2023 Oct 2023 3 Dec 2023 2 5 5.53
-9.86% Jul 1999 Sep 1999 3 Dec 1999 3 6 5.29
-8.74% Sep 1986 Sep 1986 1 Jan 1987 4 5 4.37
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 149 4.0 Months 25.25%
 
DD = 0% 25.25%
 
0% < DD <= -5% 168 3.5 Months 28.47%
 
DD <= -5% 53.73%
 
-5% < DD <= -10% 85 6.9 Months 14.41%
 
DD <= -10% 68.14%
 
-10% < DD <= -15% 63 9.4 Months 10.68%
 
DD <= -15% 78.81%
 
-15% < DD <= -20% 48 12.3 Months 8.14%
 
DD <= -20% 86.95%
 
-20% < DD <= -25% 31 19.0 Months 5.25%
 
DD <= -25% 92.20%
 
-25% < DD <= -30% 16 36.9 Months 2.71%
 
DD <= -30% 94.92%
 
-30% < DD <= -35% 11 53.6 Months 1.86%
 
DD <= -35% 96.78%
 
-35% < DD <= -40% 9 65.6 Months 1.53%
 
DD <= -40% 98.31%
 
-40% < DD <= -45% 5 118.0 Months 0.85%
 
DD <= -45% 99.15%
 
-45% < DD <= -50% 3 196.7 Months 0.51%
 
DD <= -50% 99.66%
 
-50% < DD <= -55% 1 590.0 Months 0.17%
 
DD <= -55% 99.83%
 
-55% < DD <= -60% 1 590.0 Months 0.17%
 
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 VALUE PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 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 -46.81 03/2008
02/2009
0.53$ -4.59 0.95$ 12.75 1.12$ 26.11 1.26$ 56.37 03/2009
02/2010
1.56$ 13.61 21.78%
2Y -30.38 03/2007
02/2009
0.48$ 0.56 1.01$ 10.95 1.23$ 22.37 1.49$ 38.27 03/2009
02/2011
1.91$ 8.40 14.54%
3Y -17.39 03/2006
02/2009
0.56$ -0.11 0.99$ 10.65 1.35$ 18.59 1.66$ 31.55 04/1995
03/1998
2.27$ 13.56 15.38%
5Y -6.77 03/2004
02/2009
0.70$ 0.73 1.03$ 9.04 1.54$ 15.10 2.01$ 24.16 07/1994
06/1999
2.95$ 12.12 12.96%
7Y -2.83 03/2002
02/2009
0.81$ 4.17 1.33$ 7.88 1.70$ 12.56 2.28$ 17.53 07/1994
06/2001
3.09$ 10.42 1.44%
10Y -1.23 03/1999
02/2009
0.88$ 4.13 1.49$ 8.09 2.17$ 12.06 3.12$ 15.32 03/2009
02/2019
4.15$ 10.32 1.24%
15Y 4.97 08/1997
07/2012
2.07$ 5.91 2.36$ 7.34 2.89$ 8.65 3.47$ 12.98 02/2009
01/2024
6.23$ 12.98 0.00%
20Y 5.17 04/2000
03/2020
2.74$ 6.72 3.67$ 8.18 4.81$ 9.59 6.24$ 10.49 01/1995
12/2014
7.34$ 8.57 0.00%
30Y 9.75 02/1994
01/2024
16.27$ 9.75 16.27$ 9.75 16.27$ 9.75 16.27$ 9.75 02/1994
01/2024
16.27$ 9.75 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 -46.82 03/2008
02/2009
0.53$ -6.56 0.93$ 10.02 1.10$ 22.97 1.22$ 53.08 03/2009
02/2010
1.53$ 10.19 26.93%
2Y -31.78 03/2007
02/2009
0.46$ -2.10 0.95$ 8.25 1.17$ 20.25 1.44$ 35.38 03/2009
02/2011
1.83$ 3.52 20.18%
3Y -19.15 03/2006
02/2009
0.52$ -2.38 0.93$ 8.10 1.26$ 15.99 1.56$ 28.56 04/1995
03/1998
2.12$ 7.47 19.38%
5Y -9.17 03/2004
02/2009
0.61$ -1.38 0.93$ 6.67 1.38$ 13.07 1.84$ 21.33 07/1994
06/1999
2.62$ 7.64 20.60%
7Y -5.27 03/2002
02/2009
0.68$ 1.77 1.13$ 5.57 1.46$ 10.81 2.05$ 14.49 07/1994
06/2001
2.57$ 6.70 4.33%
10Y -3.72 03/1999
02/2009
0.68$ 1.68 1.18$ 5.80 1.75$ 9.65 2.51$ 13.32 03/2009
02/2019
3.49$ 7.33 8.71%
15Y 2.52 08/1997
07/2012
1.45$ 3.56 1.68$ 4.98 2.07$ 6.13 2.43$ 10.16 02/2009
01/2024
4.26$ 10.16 0.00%
20Y 3.03 04/2000
03/2020
1.81$ 4.45 2.38$ 5.74 3.05$ 6.91 3.80$ 8.01 01/1995
12/2014
4.66$ 5.84 0.00%
30Y 7.04 02/1994
01/2024
7.69$ 7.04 7.69$ 7.04 7.69$ 7.04 7.69$ 7.04 02/1994
01/2024
7.69$ 7.04 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 -46.81 03/2008
02/2009
0.53$ -2.86 0.97$ 13.30 1.13$ 28.15 1.28$ 61.11 07/1982
06/1983
1.61$ 13.61 18.69%
2Y -30.38 03/2007
02/2009
0.48$ 3.32 1.06$ 12.15 1.25$ 22.91 1.51$ 38.27 03/2009
02/2011
1.91$ 8.40 8.83%
3Y -17.39 03/2006
02/2009
0.56$ 4.33 1.13$ 12.66 1.42$ 19.31 1.69$ 32.95 08/1984
07/1987
2.34$ 13.56 9.03%
5Y -6.77 03/2004
02/2009
0.70$ 4.04 1.21$ 12.35 1.78$ 18.69 2.35$ 30.12 08/1982
07/1987
3.73$ 12.12 7.36%
7Y -2.83 03/2002
02/2009
0.81$ 5.77 1.48$ 12.18 2.23$ 17.53 3.09$ 23.41 08/1982
07/1989
4.36$ 10.42 0.79%
10Y -1.23 03/1999
02/2009
0.88$ 5.99 1.78$ 12.46 3.23$ 16.57 4.63$ 18.99 09/1977
08/1987
5.68$ 10.32 0.64%
15Y 4.97 08/1997
07/2012
2.07$ 6.60 2.60$ 11.72 5.26$ 15.81 9.03$ 19.53 08/1982
07/1997
14.52$ 12.98 0.00%
20Y 5.17 04/2000
03/2020
2.74$ 7.92 4.59$ 10.15 6.91$ 15.45 17.69$ 17.59 04/1978
03/1998
25.54$ 8.57 0.00%
30Y 8.88 04/1990
03/2020
12.83$ 9.79 16.46$ 11.12 23.67$ 13.33 42.73$ 14.67 01/1975
12/2004
60.66$ 9.75 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 -46.82 03/2008
02/2009
0.53$ -6.24 0.93$ 8.95 1.08$ 23.53 1.23$ 57.22 07/1982
06/1983
1.57$ 10.19 27.68%
2Y -31.78 03/2007
02/2009
0.46$ -1.07 0.97$ 7.84 1.16$ 19.34 1.42$ 35.38 03/2009
02/2011
1.83$ 3.52 17.67%
3Y -19.15 03/2006
02/2009
0.52$ -0.32 0.99$ 8.27 1.26$ 15.58 1.54$ 29.06 08/1984
07/1987
2.14$ 7.47 16.06%
5Y -9.17 03/2004
02/2009
0.61$ 0.59 1.02$ 8.23 1.48$ 14.39 1.95$ 26.16 08/1982
07/1987
3.19$ 7.64 13.77%
7Y -5.27 03/2002
02/2009
0.68$ 2.81 1.21$ 7.81 1.69$ 13.54 2.43$ 19.18 08/1982
07/1989
3.41$ 6.70 2.57%
10Y -3.72 03/1999
02/2009
0.68$ 4.03 1.48$ 9.02 2.37$ 11.72 3.02$ 15.26 11/1990
10/2000
4.13$ 7.33 4.47%
15Y 2.52 08/1997
07/2012
1.45$ 4.28 1.87$ 7.98 3.16$ 11.09 4.84$ 15.63 08/1982
07/1997
8.82$ 10.16 0.00%
20Y 3.03 04/2000
03/2020
1.81$ 5.40 2.86$ 7.61 4.33$ 11.22 8.38$ 13.19 04/1980
03/2000
11.92$ 5.84 0.00%
30Y 6.38 04/1990
03/2020
6.39$ 7.04 7.70$ 7.85 9.65$ 8.76 12.42$ 9.78 01/1975
12/2004
16.42$ 7.04 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 Value Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in US Stocks Value 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
0.26
40%
-1.03
40%
-0.96
80%
3.08
80%
-0.45
60%
0.92
40%
3.13
100%
-0.66
40%
-2.98
20%
2.95
60%
5.86
80%
3.12
80%
Best 7.3
2023
6.2
2021
6.4
2021
11.0
2020
3.4
2020
8.2
2019
6.1
2022
3.4
2020
3.9
2019
11.4
2022
13.0
2020
6.9
2021
Worst -2.8
2020
-9.4
2020
-16.1
2020
-5.1
2022
-7.8
2019
-8.4
2022
0.7
2021
-2.9
2023
-8.5
2022
-2.1
2023
-3.1
2021
-3.9
2022
Monthly Seasonality over the period Feb 1975 - Jan 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
0.53
50%
0.22
60%
0.08
60%
1.91
80%
0.22
70%
0.86
60%
2.24
90%
-0.46
50%
-1.67
30%
1.85
60%
4.43
90%
0.86
70%
Best 8.8
2019
6.2
2021
7.4
2016
11.0
2020
3.4
2020
8.2
2019
6.1
2022
3.5
2014
3.9
2019
11.4
2022
13.0
2020
6.9
2021
Worst -5.4
2016
-9.4
2020
-16.1
2020
-5.1
2022
-7.8
2019
-8.4
2022
-1.9
2014
-5.8
2015
-8.5
2022
-5.6
2018
-3.1
2021
-9.6
2018
Monthly Seasonality over the period Feb 1975 - Jan 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
1.26
58%
0.49
61%
1.30
69%
1.96
71%
1.07
67%
0.74
59%
1.00
59%
0.33
59%
-0.63
49%
0.88
61%
2.47
73%
1.79
78%
Best 13.2
1987
7.5
1986
10.6
2000
11.6
2009
9.5
1990
8.2
2019
8.9
1989
12.4
1982
8.0
2010
11.5
2011
13.0
2020
11.4
1991
Worst -11.6
2009
-13.4
2009
-16.1
2020
-5.1
2022
-8.3
2010
-9.5
2008
-10.3
2002
-15.7
1998
-10.5
2002
-22.0
1987
-8.4
1987
-9.6
2018
Monthly Seasonality over the period Feb 1975 - Jan 2024

Monthly Returns

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

US STOCKS VALUE PORTFOLIO
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
232 Positive Months (64%) - 128 Negative Months (36%)
376 Positive Months (64%) - 213 Negative Months (36%)
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(Scroll down to see all data)
Investment Returns, up to December 2000, 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:
  • IUSV - iShares Core S&P U.S. Value ETF (IUSV), up to December 2000

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
US Stocks Momentum +12.21 15.32 -53.85 100 0 0
US Stocks Quality +11.44 15.06 -46.25 100 0 0
Stocks/Bonds 80/20 Momentum +10.93 12.38 -43.61 80 20 0
US Stocks +9.95 15.54 -50.84 100 0 0
US Stocks Value +9.75 15.38 -55.41 100 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
Cape US Sector Value Robert Shiller +14.62 18.87 -21.00 100 0 0
US Stocks ESG +14.40 18.92 -27.79 100 0 0
US Stocks Quality +14.36 18.81 -27.78 100 0 0
US Stocks +13.44 18.63 -24.81 100 0 0
US Stocks Value +12.12 18.64 -26.06 100 0 0
US Stocks Equal Weight +11.27 20.19 -26.65 100 0 0
US Stocks Momentum +10.64 18.50 -30.16 100 0 0
US Stocks Minimum Volatility +9.52 14.63 -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 +13.76 24.01 -81.08 100 0 0
US Stocks Momentum +12.21 15.32 -53.85 100 0 0
US Stocks Quality +11.44 15.06 -46.25 100 0 0
Stocks/Bonds 80/20 Momentum +10.93 12.38 -43.61 80 20 0
US Stocks +9.95 15.54 -50.84 100 0 0
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