US Stocks ESG vs US Stocks Portfolio Comparison

Period: September 2005 - November 2024 (~19 years)
Consolidated Returns as of 30 November 2024
Currency: USD
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US Stocks ESG Portfolio
1.00$
Initial Capital
December 2014
2.91$
Final Capital
November 2024
11.26%
Yearly Return
16.11
Std Deviation
-27.79%
Max Drawdown
25months
Recovery Period
US Stocks Portfolio
1.00$
Initial Capital
December 2014
3.35$
Final Capital
November 2024
12.85%
Yearly Return
15.66
Std Deviation
-24.81%
Max Drawdown
24months
Recovery Period
US Stocks ESG Portfolio
1.00$
Initial Capital
September 2005
6.32$
Final Capital
November 2024
10.05%
Yearly Return
16.99
Std Deviation
-52.70%
Max Drawdown
45months
Recovery Period
US Stocks Portfolio
1.00$
Initial Capital
September 2005
7.08$
Final Capital
November 2024
10.71%
Yearly Return
15.65
Std Deviation
-50.84%
Max Drawdown
53months
Recovery Period

The US Stocks ESG Portfolio obtained a 11.26% compound annual return, with a 16.11% standard deviation, in the last 10 Years.

The US Stocks Portfolio obtained a 12.85% compound annual return, with a 15.66% standard deviation, in the last 10 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 September 2005 - 30 November 2024 (~19 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y MAX
(~19Y)
US Stocks ESG 27.44 6.67 16.16 34.63 15.59 11.26 10.05
US Stocks 27.69 6.70 15.90 34.45 15.16 12.85 10.71
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

US Stocks ESG Portfolio: an investment of 1$, since December 2014, now would be worth 2.91$, with a total return of 190.70% (11.26% annualized).

US Stocks Portfolio: an investment of 1$, since December 2014, now would be worth 3.35$, with a total return of 234.83% (12.85% annualized).


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US Stocks ESG Portfolio: an investment of 1$, since September 2005, now would be worth 6.32$, with a total return of 531.77% (10.05% annualized).

US Stocks Portfolio: an investment of 1$, since September 2005, now would be worth 7.08$, with a total return of 608.41% (10.71% annualized).


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Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 September 2005 - 30 November 2024 (~19 years)
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US Stocks ESG US Stocks
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 34.63 34.45
Infl. Adjusted Return (%) 31.46 31.29
DRAWDOWN
Deepest Drawdown Depth (%) -4.89 -4.34
Start to Recovery (months) 3 2
Longest Drawdown Depth (%) -4.89 -4.34
Start to Recovery (months) 3 2
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 10.68 9.97
Sharpe Ratio 2.75 2.93
Sortino Ratio 3.49 3.74
Ulcer Index 1.38 1.22
Ratio: Return / Standard Deviation 3.24 3.46
Ratio: Return / Deepest Drawdown 7.08 7.93
Metrics calculated over the period 1 December 2023 - 30 November 2024
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US Stocks ESG US Stocks
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 15.59 15.16
Infl. Adjusted Return (%) 11.02 10.61
DRAWDOWN
Deepest Drawdown Depth (%) -27.79 -24.81
Start to Recovery (months) 25 24
Longest Drawdown Depth (%) -27.79 -24.81
Start to Recovery (months) 25 24
Longest Negative Period (months) 30 30
RISK INDICATORS
Standard Deviation (%) 18.89 18.51
Sharpe Ratio 0.70 0.70
Sortino Ratio 0.93 0.92
Ulcer Index 10.70 9.10
Ratio: Return / Standard Deviation 0.83 0.82
Ratio: Return / Deepest Drawdown 0.56 0.61
Metrics calculated over the period 1 December 2019 - 30 November 2024
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US Stocks ESG US Stocks
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.26 12.85
Infl. Adjusted Return (%) 8.12 9.66
DRAWDOWN
Deepest Drawdown Depth (%) -27.79 -24.81
Start to Recovery (months) 25 24
Longest Drawdown Depth (%) -27.79 -24.81
Start to Recovery (months) 25 24
Longest Negative Period (months) 43 30
RISK INDICATORS
Standard Deviation (%) 16.11 15.66
Sharpe Ratio 0.60 0.72
Sortino Ratio 0.81 0.96
Ulcer Index 8.47 6.95
Ratio: Return / Standard Deviation 0.70 0.82
Ratio: Return / Deepest Drawdown 0.41 0.52
Metrics calculated over the period 1 December 2014 - 30 November 2024
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US Stocks ESG US Stocks
Author
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.05 10.71
Infl. Adjusted Return (%) 7.36 8.01
DRAWDOWN
Deepest Drawdown Depth (%) -52.70 -50.84
Start to Recovery (months) 45 53
Longest Drawdown Depth (%) -52.70 -50.84
Start to Recovery (months) 45 53
Longest Negative Period (months) 65 66
RISK INDICATORS
Standard Deviation (%) 16.99 15.65
Sharpe Ratio 0.51 0.59
Sortino Ratio 0.67 0.77
Ulcer Index 13.17 12.24
Ratio: Return / Standard Deviation 0.59 0.68
Ratio: Return / Deepest Drawdown 0.19 0.21
Metrics calculated over the period 1 September 2005 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 September 2005 - 30 November 2024 (~19 years)

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US Stocks ESG US Stocks
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-27.79 25 Jan 2022
Jan 2024
-24.81 24 Jan 2022
Dec 2023
-20.84 7 Jan 2020
Jul 2020
-19.14 6 Feb 2020
Jul 2020
-17.80 18 Feb 2018
Jul 2019
-14.20 7 Oct 2018
Apr 2019
-13.26 17 Jul 2015
Nov 2016
-8.84 12 Jun 2015
May 2016
-6.45 2 May 2019
Jun 2019
-5.81 3 Sep 2020
Nov 2020
-5.64 6 Feb 2018
Jul 2018
-5.42 3 Sep 2020
Nov 2020
-5.21 2 Sep 2021
Oct 2021
-4.89 3 Apr 2024
Jun 2024
-4.46 2 Sep 2021
Oct 2021

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US Stocks ESG US Stocks
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-52.70 45 Jun 2007
Feb 2011
-50.84 53 Nov 2007
Mar 2012
-27.79 25 Jan 2022
Jan 2024
-24.81 24 Jan 2022
Dec 2023
-23.59 21 May 2011
Jan 2013
-20.84 7 Jan 2020
Jul 2020
-19.14 6 Feb 2020
Jul 2020
-17.80 18 Feb 2018
Jul 2019
-14.20 7 Oct 2018
Apr 2019
-13.26 17 Jul 2015
Nov 2016
-8.84 12 Jun 2015
May 2016
-6.82 5 Apr 2012
Aug 2012
-6.45 2 May 2019
Jun 2019
-5.81 3 Sep 2020
Nov 2020
-5.64 6 Feb 2018
Jul 2018

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 September 2005 - 30 November 2024 (~19 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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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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US Stocks ESG US Stocks
Year Return Drawdown Return Drawdown
2024
 27.44% -4.89% 27.69% -4.34%
2023
 30.80% -9.37% 26.05% -9.11%
2022
 -24.04% -27.79% -19.51% -24.81%
2021
 26.20% -5.21% 25.67% -4.46%
2020
 25.67% -19.14% 21.03% -20.84%
2019
 33.37% -6.25% 30.67% -6.45%
2018
 -15.69% -17.80% -5.21% -14.20%
2017
 13.03% -1.52% 21.21% 0.00%
2016
 11.65% -6.66% 12.83% -5.73%
2015
 2.12% -10.78% 0.36% -8.84%
2014
 9.13% -4.63% 12.54% -3.17%
2013
 38.98% -3.17% 33.45% -3.03%
2012
 17.37% -9.30% 16.45% -6.82%
2011
 -5.78% -23.59% 0.97% -17.58%
2010
 19.88% -12.90% 17.42% -13.26%
2009
 39.10% -15.76% 28.89% -17.72%
2008
 -39.83% -43.27% -36.98% -38.08%
2007
 5.81% -6.69% 5.37% -5.23%
2006
 18.46% -2.59% 15.69% -3.22%