Developed World ex-US Stocks Momentum vs US Stocks ESG Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US Stocks Momentum Portfolio obtained a 5.00% compound annual return, with a 13.60% standard deviation, in the last 10 Years.

The US Stocks ESG Portfolio obtained a 10.09% compound annual return, with a 16.04% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US Stocks Momentum Portfolio US Stocks ESG Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
10 Years Stats Return +5.00% +10.09%
Std Dev 13.60% 16.04%
Max Drawdown -28.57% -27.79%
All time Stats
(Since Aug 2009)
Return +6.55% +12.72%
Std Dev 15.24% 16.15%
Max Drawdown -28.57% -27.79%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US Stocks Momentum Portfolio +5.40 +15.30 +20.62 +8.78 +5.00 +6.55
US Stocks ESG Portfolio +5.39 +15.15 +32.35 +14.85 +10.09 +12.72
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.63$, with a total return of 62.90% (5.00% annualized).

US Stocks ESG Portfolio: an investment of 1$, since March 2014, now would be worth 2.61$, with a total return of 161.43% (10.09% annualized).

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.52$, with a total return of 152.39% (6.55% annualized).

US Stocks ESG Portfolio: an investment of 1$, since August 2009, now would be worth 5.73$, with a total return of 473.37% (12.72% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US Stocks Momentum Portfolio
US Stocks ESG Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-27.79% Jan 2022 Sep 2022 (9) Jan 2024 (25) 15.67
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-19.14% Feb 2020 Mar 2020 (2) Jul 2020 (6) 8.48
-17.80% Feb 2018 Dec 2018 (11) Jul 2019 (18) 7.36
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-13.26% Jul 2015 Jan 2016 (7) Nov 2016 (17) 6.04
-5.81% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.48
-5.21% Sep 2021 Sep 2021 (1) Oct 2021 (2) 3.01
-4.63% Sep 2014 Sep 2014 (1) Nov 2014 (3) 2.61
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.54% Jul 2014 Jul 2014 (1) Aug 2014 (2) 2.04
-2.13% Dec 2014 Jan 2015 (2) Feb 2015 (3) 1.07
-1.99% Mar 2014 Apr 2014 (2) May 2014 (3) 1.17
-1.80% Jun 2021 Jun 2021 (1) Aug 2021 (3) 0.96
-1.76% Aug 2019 Aug 2019 (1) Oct 2019 (3) 0.89
-1.52% Mar 2017 May 2017 (3) Jun 2017 (4) 0.87
-1.22% Aug 2017 Aug 2017 (1) Sep 2017 (2) 0.70

Drawdown comparison chart since August 2009.

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Developed World ex-US Stocks Momentum Portfolio
US Stocks ESG Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-27.79% Jan 2022 Sep 2022 (9) Jan 2024 (25) 15.67
-26.91% May 2011 Sep 2011 (5) Apr 2013 (24) 14.61
-23.59% May 2011 Sep 2011 (5) Jan 2013 (21) 9.88
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-19.14% Feb 2020 Mar 2020 (2) Jul 2020 (6) 8.48
-17.80% Feb 2018 Dec 2018 (11) Jul 2019 (18) 7.36
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.08% Apr 2010 Jun 2010 (3) Sep 2010 (6) 8.07
-13.26% Jul 2015 Jan 2016 (7) Nov 2016 (17) 6.04
-12.90% May 2010 Jun 2010 (2) Oct 2010 (6) 7.68
-7.18% Jan 2010 Jan 2010 (1) Mar 2010 (3) 4.79
-6.52% May 2013 Jun 2013 (2) Sep 2013 (5) 4.30
-5.81% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.48
-5.21% Sep 2021 Sep 2021 (1) Oct 2021 (2) 3.01
-5.15% Jan 2014 Jan 2014 (1) Jun 2014 (6) 2.47
-4.63% Sep 2014 Sep 2014 (1) Nov 2014 (3) 2.61
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13

Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Year Return Drawdown Return Drawdown
2024
+8.63%
0.00%
+6.82%
0.00%
2023
+13.91%
-8.35%
+30.80%
-9.36%
2022
-16.80%
-28.32%
-24.04%
-27.79%
2021
+6.60%
-4.63%
+26.20%
-5.21%
2020
+22.16%
-15.97%
+25.67%
-19.14%
2019
+24.51%
-2.38%
+33.37%
-6.25%
2018
-14.30%
-19.22%
-15.69%
-17.80%
2017
+25.46%
-0.73%
+13.03%
-1.52%
2016
+0.47%
-7.09%
+11.65%
-6.66%
2015
-1.60%
-12.26%
+2.12%
-10.78%
2014
-9.19%
-9.77%
+9.13%
-4.63%
2013
+22.20%
-6.52%
+38.98%
-3.17%
2012
+17.94%
-8.24%
+17.37%
-9.30%
2011
-14.36%
-26.91%
-5.78%
-23.59%
2010
+14.14%
-14.08%
+19.88%
-12.90%