Stocks/Bonds 80/20 Momentum Portfolio vs US Stocks Momentum Portfolio Portfolio Comparison

Simulation Settings
Period: January 1982 - December 2024 (~43 years)
Consolidated Returns as of 31 December 2024
Rebalancing: at every Jan 1st
Currency: USD
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond December 2024.
Reset settings
Close
Results
30 Years
All (since January 1982)
Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
January 1995
28.45$
Final Capital
December 2024
11.81%
Yearly Return
12.49%
Std Deviation
-43.61%
Max Drawdown
52months
Recovery Period
1.00$
Initial Capital
January 1982
163.79$
Final Capital
December 2024
12.59%
Yearly Return
12.57%
Std Deviation
-43.61%
Max Drawdown
52months
Recovery Period
US Stocks Momentum Portfolio
1.00$
Initial Capital
January 1995
41.63$
Final Capital
December 2024
13.24%
Yearly Return
15.45%
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period
1.00$
Initial Capital
January 1982
259.79$
Final Capital
December 2024
13.80%
Yearly Return
15.36%
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period

As of December 2024, in the previous 30 Years, the Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.81% compound annual return, with a 12.49% standard deviation. It suffered a maximum drawdown of -43.61% that required 52 months to be recovered.

As of December 2024, in the previous 30 Years, the US Stocks Momentum Portfolio obtained a 13.24% compound annual return, with a 15.45% standard deviation. It suffered a maximum drawdown of -53.85% that required 63 months to be recovered.

Table of contents

Mastering Etf Investing
The first official book of
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Set your goal
Use top metrics to evaluate
Join the passive investing strategy
Exclusive new asset allocations in EUR and USD
Buy now
English book
Buy now
Italian book

Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Stocks/Bonds 80/20 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
80.00
MTUM
iShares Edge MSCI USA Momentum Fctr
20.00
BND
Vanguard Total Bond Market
US Stocks Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
100.00
MTUM
iShares Edge MSCI USA Momentum Fctr
Ready to invest smarter?
Create Your Winning Portfolio!
With data going back to 1871, optimize your investment strategy

Portfolio Returns as of Dec 31, 2024

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
RETURN COMPARISON
Period: 1 January 1982 - 31 December 2024 (~43 years)
Swipe left to see all data
Return (%) as of Dec 31, 2024
YTD
(12M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Stocks/Bonds 80/20 Momentum
-- Market Benchmark 		26.59 -3.72 5.98 26.59 9.46 10.87 11.81 12.59
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp US Stocks Momentum
-- Market Benchmark 		32.89 -4.10 6.78 32.89 11.78 13.13 13.24 13.80
Return over 1 year are annualized.
Looking for more portfolios? Choose Your Currency and Explore!

USD

CAD

EUR
Discover a wide range of portfolios in various currencies

Capital Growth as of Dec 31, 2024

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1995, now would be worth 28.45$, with a total return of 2744.85% (11.81% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since January 1995, now would be worth 41.63$, with a total return of 4063.21% (13.24% annualized).


Loading data
Please wait
Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 163.79$, with a total return of 16278.69% (12.59% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 259.79$, with a total return of 25878.82% (13.80% annualized).


Loading data
Please wait
Readings that may interest you

Portfolio Metrics as of Dec 31, 2024

The following metrics, updated as of 31 December 2024, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 January 2024 - 31 December 2024 (1 year)
Period: 1 January 2020 - 31 December 2024 (5 years)
Period: 1 January 2015 - 31 December 2024 (10 years)
Period: 1 January 1995 - 31 December 2024 (30 years)
Period: 1 January 1982 - 31 December 2024 (~43 years)
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 26.59 32.89
Infl. Adjusted Return (%) 23.51 29.65
DRAWDOWN
Deepest Drawdown Depth (%) -4.94 -5.47
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -4.94 -5.47
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 12.91 15.28
Sharpe Ratio 1.66 1.81
Sortino Ratio 2.14 2.39
Ulcer Index 1.76 1.98
Ratio: Return / Standard Deviation 2.06 2.15
Ratio: Return / Deepest Drawdown 5.38 6.02
Metrics calculated over the period 1 January 2024 - 31 December 2024
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.46 11.78
Infl. Adjusted Return (%) 5.13 7.36
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Negative Period (months) 39 38
RISK INDICATORS
Standard Deviation (%) 16.23 19.46
Sharpe Ratio 0.44 0.49
Sortino Ratio 0.60 0.67
Ulcer Index 13.00 14.43
Ratio: Return / Standard Deviation 0.58 0.61
Ratio: Return / Deepest Drawdown 0.35 0.39
Metrics calculated over the period 1 January 2020 - 31 December 2024
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.87 13.13
Infl. Adjusted Return (%) 7.68 9.88
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Drawdown Depth (%) -27.23 -30.16
Start to Recovery (months) 32 29
Longest Negative Period (months) 39 38
RISK INDICATORS
Standard Deviation (%) 13.26 16.00
Sharpe Ratio 0.70 0.72
Sortino Ratio 0.95 0.99
Ulcer Index 9.47 10.58
Ratio: Return / Standard Deviation 0.82 0.82
Ratio: Return / Deepest Drawdown 0.40 0.44
Metrics calculated over the period 1 January 2015 - 31 December 2024
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.81 13.24
Infl. Adjusted Return (%) 9.06 10.45
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -53.85
Start to Recovery (months) 52 63
Longest Drawdown Depth (%) -32.75 -53.85
Start to Recovery (months) 52 63
Longest Negative Period (months) 112 126
RISK INDICATORS
Standard Deviation (%) 12.49 15.45
Sharpe Ratio 0.76 0.71
Sortino Ratio 1.00 0.94
Ulcer Index 11.97 16.18
Ratio: Return / Standard Deviation 0.95 0.86
Ratio: Return / Deepest Drawdown 0.27 0.25
Metrics calculated over the period 1 January 1995 - 31 December 2024
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.59 13.80
Infl. Adjusted Return (%) 9.46 10.64
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -53.85
Start to Recovery (months) 52 63
Longest Drawdown Depth (%) -32.75 -53.85
Start to Recovery (months) 52 63
Longest Negative Period (months) 112 126
RISK INDICATORS
Standard Deviation (%) 12.57 15.36
Sharpe Ratio 0.72 0.66
Sortino Ratio 0.95 0.89
Ulcer Index 10.58 14.20
Ratio: Return / Standard Deviation 1.00 0.90
Ratio: Return / Deepest Drawdown 0.29 0.26
Metrics calculated over the period 1 January 1982 - 31 December 2024
Mastering Etf Investing
The first official book of
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Buy now
English book
Buy now
Italian book

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 COMPARISON
Period: 1 January 1995 - 31 December 2024 (30 years)
Period: 1 January 1982 - 31 December 2024 (~43 years)

Loading data
Please wait
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-43.61 52 Nov 2007
Feb 2012
-43.19 59 Sep 2000
Jul 2005
-32.75 52 Sep 2000
Dec 2004
-30.16 29 Nov 2021
Mar 2024
-27.23 32 Nov 2021
Jun 2024
-17.90 5 Feb 2020
Jun 2020
-15.44 9 Oct 2018
Jun 2019
-14.33 5 Feb 2020
Jun 2020
-12.46 9 Oct 2018
Jun 2019
-11.51 3 Aug 1998
Oct 1998
-9.24 3 Aug 1998
Oct 1998
-7.82 3 Sep 2020
Nov 2020
-7.78 10 Aug 2015
May 2016
-6.55 3 Sep 2020
Nov 2020

Loading data
Please wait
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-43.61 52 Nov 2007
Feb 2012
-43.19 59 Sep 2000
Jul 2005
-32.75 52 Sep 2000
Dec 2004
-30.55 23 Sep 1987
Jul 1989
-30.16 29 Nov 2021
Mar 2024
-27.23 32 Nov 2021
Jun 2024
-25.63 21 Sep 1987
May 1989
-17.90 5 Feb 2020
Jun 2020
-15.44 9 Oct 2018
Jun 2019
-14.33 5 Feb 2020
Jun 2020
-12.56 8 Jun 1990
Jan 1991
-12.46 9 Oct 2018
Jun 2019
-12.00 19 Jul 1983
Jan 1985
-11.51 3 Aug 1998
Oct 1998

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
Annualized Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1982 - 31 December 2024 (~43 years)


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

Loading data
Please wait

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.

Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 26.59 -4.94 32.89 -5.47
2023
 8.40 -5.89 9.15 -6.59
2022
 -17.23 -24.45 -18.26 -26.94
2021
 10.32 -3.67 13.37 -4.41
2020
 25.42 -14.33 29.85 -17.90
2019
 23.57 -1.46 27.26 -2.20
2018
 -1.35 -12.46 -1.66 -15.44
2017
 30.71 0.00 37.50 0.00
2016
 4.51 -3.62 5.00 -5.03
2015
 7.25 -6.22 8.93 -7.78
2014
 12.86 -3.39 14.61 -4.38
2013
 27.24 -2.48 34.58 -2.81
2012
 12.58 -5.19 14.94 -6.80
2011
 6.33 -10.88 5.93 -14.50
2010
 15.66 -9.31 18.02 -12.13
2009
 14.68 -16.18 17.45 -19.56
2008
 -31.40 -32.66 -40.96 -41.23
2007
 15.50 -1.97 17.64 -2.82
2006
 9.30 -2.94 10.56 -3.64
2005
 15.79 -1.04 19.14 -1.25
2004
 14.21 -2.13 16.70 -2.66
2003
 21.59 -3.04 25.99 -4.14
2002
 -8.17 -17.08 -12.28 -22.85
2001
 -12.19 -20.18 -17.35 -26.75
2000
 -5.41 -9.70 -9.61 -13.35
1999
 32.18 -1.61 40.42 -1.57
1998
 40.72 -9.24 48.76 -11.51
1997
 31.37 -4.22 36.86 -4.89
1996
 24.58 -3.09 29.83 -3.81
1995
 37.49 0.00 42.32 -0.02
1994
 -1.40 -6.80 -1.09 -7.23
1993
 12.52 -1.57 13.22 -2.14
1992
 4.88 -2.94 4.32 -3.35
1991
 32.57 -3.31 36.90 -4.00
1990
 2.93 -10.02 1.49 -12.56
1989
 36.94 -1.39 42.76 -1.57
1988
 7.13 -4.35 7.07 -5.33
1987
 2.18 -25.63 2.34 -30.55
1986
 21.18 -6.69 22.70 -7.79
1985
 30.36 -2.61 32.38 -3.74
1984
 2.34 -8.41 -0.83 -10.30
1983
 14.60 -3.36 16.95 -3.61
1982
 30.58 -3.58 30.44 -4.93
Mastering Etf Investing
The first official book of
Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Buy now
English book
Buy now
Italian book