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

Simulation Settings
Period: January 1982 - January 2025 (~43 years)
Consolidated Returns as of 31 January 2025
Rebalancing: at every Jan 1st
Currency: USD
Inflation: US
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Results
30 Years
All (since January 1982)
Inflation Adjusted:
Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
February 1995
28.86$
Final Capital
January 2025
11.86%
Yearly Return
12.50%
Std Deviation
-43.61%
Max Drawdown
52months
Recovery Period
1.00$
Initial Capital
February 1995
13.67$
Final Capital
January 2025
9.11%
Yearly Return
12.50%
Std Deviation
-44.54%
Max Drawdown
63months
Recovery Period
1.00$
Initial Capital
January 1982
171.71$
Final Capital
January 2025
12.69%
Yearly Return
12.57%
Std Deviation
-43.61%
Max Drawdown
52months
Recovery Period
1.00$
Initial Capital
January 1982
50.86$
Final Capital
January 2025
9.55%
Yearly Return
12.57%
Std Deviation
-44.54%
Max Drawdown
63months
Recovery Period
US Stocks Quality Portfolio
1.00$
Initial Capital
February 1995
30.12$
Final Capital
January 2025
12.02%
Yearly Return
15.11%
Std Deviation
-46.25%
Max Drawdown
40months
Recovery Period
1.00$
Initial Capital
February 1995
14.27$
Final Capital
January 2025
9.27%
Yearly Return
15.11%
Std Deviation
-50.85%
Max Drawdown
149months
Recovery Period
1.00$
Initial Capital
January 1982
202.80$
Final Capital
January 2025
13.12%
Yearly Return
15.08%
Std Deviation
-46.25%
Max Drawdown
40months
Recovery Period
1.00$
Initial Capital
January 1982
60.07$
Final Capital
January 2025
9.97%
Yearly Return
15.08%
Std Deviation
-50.85%
Max Drawdown
149months
Recovery Period

As of January 2025, in the previous 30 Years, the Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.86% compound annual return, with a 12.50% standard deviation. It suffered a maximum drawdown of -43.61% that required 52 months to be recovered.

As of January 2025, in the previous 30 Years, the US Stocks Quality Portfolio obtained a 12.02% compound annual return, with a 15.11% standard deviation. It suffered a maximum drawdown of -46.25% that required 40 months to be recovered.

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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 Quality Portfolio
Weight
(%)		 ETF
Ticker		 Name
100.00
QUAL
iShares Edge MSCI USA Quality Factor ETF
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Portfolio Returns as of Jan 31, 2025

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
RETURN COMPARISON
Period: 1 January 1982 - 31 January 2025 (~43 years)
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Return (%) as of Jan 31, 2025
YTD
(1M) 		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 		4.84 4.84 12.55 27.08 9.77 11.41 11.86 12.69
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp US Stocks Quality
-- Market Benchmark 		2.96 2.96 7.39 23.10 14.40 13.42 12.02 13.12
Return over 1 year are annualized.
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Capital Growth as of Jan 31, 2025

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since February 1995, now would be worth 28.86$, with a total return of 2785.72% (11.86% annualized).

US Stocks Quality Portfolio: an investment of 1$, since February 1995, now would be worth 30.12$, with a total return of 2912.33% (12.02% annualized).


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Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 171.71$, with a total return of 17071.46% (12.69% annualized).

US Stocks Quality Portfolio: an investment of 1$, since January 1982, now would be worth 202.80$, with a total return of 20179.64% (13.12% annualized).


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Portfolio Metrics as of Jan 31, 2025

The following metrics, updated as of 31 January 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 February 2024 - 31 January 2025 (1 year)
Period: 1 February 2020 - 31 January 2025 (5 years)
Period: 1 February 2015 - 31 January 2025 (10 years)
Period: 1 February 1995 - 31 January 2025 (30 years)
Period: 1 January 1982 - 31 January 2025 (~43 years)
Swipe left to see all data
Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 27.08 23.10
Infl. Adjusted Return (%) 23.88 20.00
DRAWDOWN
Deepest Drawdown Depth (%) -4.94 -4.50
Start to Recovery (months) 3 2
Longest Drawdown Depth (%) -4.94 -3.60
Start to Recovery (months) 3 2*
Longest Negative Period (months) 2 3
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 13.00 11.68
Sharpe Ratio 1.69 1.54
Sortino Ratio 2.18 1.98
Ulcer Index 1.76 1.67
Ratio: Return / Standard Deviation 2.08 1.98
Ratio: Return / Deepest Drawdown 5.48 5.14
Metrics calculated over the period 1 February 2024 - 31 January 2025
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.77 14.40
Infl. Adjusted Return (%) 5.37 9.82
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Negative Period (months) 39 27
RISK INDICATORS
Standard Deviation (%) 16.29 18.81
Sharpe Ratio 0.45 0.64
Sortino Ratio 0.62 0.85
Ulcer Index 13.00 9.50
Ratio: Return / Standard Deviation 0.60 0.77
Ratio: Return / Deepest Drawdown 0.36 0.52
Metrics calculated over the period 1 February 2020 - 31 January 2025
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.41 13.42
Infl. Adjusted Return (%) 8.09 10.04
DRAWDOWN
Deepest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Drawdown Depth (%) -27.23 -27.78
Start to Recovery (months) 32 24
Longest Negative Period (months) 39 27
RISK INDICATORS
Standard Deviation (%) 13.31 15.68
Sharpe Ratio 0.73 0.75
Sortino Ratio 0.99 1.00
Ulcer Index 9.47 7.17
Ratio: Return / Standard Deviation 0.86 0.86
Ratio: Return / Deepest Drawdown 0.42 0.48
Metrics calculated over the period 1 February 2015 - 31 January 2025
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.86 12.02
Infl. Adjusted Return (%) 9.11 9.27
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -46.25
Start to Recovery (months) 52 40
Longest Drawdown Depth (%) -32.75 -43.01
Start to Recovery (months) 52 77
Longest Negative Period (months) 112 130
RISK INDICATORS
Standard Deviation (%) 12.50 15.11
Sharpe Ratio 0.77 0.64
Sortino Ratio 1.01 0.85
Ulcer Index 11.97 13.77
Ratio: Return / Standard Deviation 0.95 0.80
Ratio: Return / Deepest Drawdown 0.27 0.26
Metrics calculated over the period 1 February 1995 - 31 January 2025
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Stocks/Bonds 80/20 Momentum US Stocks Quality
Author
ASSET ALLOCATION
Stocks 80% 100%
Fixed Income 20% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.69 13.12
Infl. Adjusted Return (%) 9.55 9.97
DRAWDOWN
Deepest Drawdown Depth (%) -43.61 -46.25
Start to Recovery (months) 52 40
Longest Drawdown Depth (%) -32.75 -43.01
Start to Recovery (months) 52 77
Longest Negative Period (months) 112 130
RISK INDICATORS
Standard Deviation (%) 12.57 15.08
Sharpe Ratio 0.72 0.63
Sortino Ratio 0.96 0.85
Ulcer Index 10.57 12.08
Ratio: Return / Standard Deviation 1.01 0.87
Ratio: Return / Deepest Drawdown 0.29 0.28
Metrics calculated over the period 1 January 1982 - 31 January 2025
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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 February 1995 - 31 January 2025 (30 years)
Period: 1 January 1982 - 31 January 2025 (~43 years)

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Stocks/Bonds 80/20 Momentum US Stocks Quality
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-46.25 40 Nov 2007
Feb 2011
-43.61 52 Nov 2007
Feb 2012
-43.01 77 Sep 2000
Jan 2007
-32.75 52 Sep 2000
Dec 2004
-27.78 24 Jan 2022
Dec 2023
-27.23 32 Nov 2021
Jun 2024
-19.34 7 Jan 2020
Jul 2020
-14.61 7 Oct 2018
Apr 2019
-14.33 5 Feb 2020
Jun 2020
-13.90 9 May 2011
Jan 2012
-12.46 9 Oct 2018
Jun 2019
-12.07 4 Jul 1998
Oct 1998
-9.24 3 Aug 1998
Oct 1998
-7.19 6 Apr 2012
Sep 2012
-6.64 3 Aug 2015
Oct 2015

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Stocks/Bonds 80/20 Momentum US Stocks Quality
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-46.25 40 Nov 2007
Feb 2011
-43.61 52 Nov 2007
Feb 2012
-43.01 77 Sep 2000
Jan 2007
-32.75 52 Sep 2000
Dec 2004
-29.94 21 Sep 1987
May 1989
-27.78 24 Jan 2022
Dec 2023
-27.23 32 Nov 2021
Jun 2024
-25.63 21 Sep 1987
May 1989
-19.34 7 Jan 2020
Jul 2020
-14.61 7 Oct 2018
Apr 2019
-14.33 5 Feb 2020
Jun 2020
-13.90 9 May 2011
Jan 2012
-12.46 9 Oct 2018
Jun 2019
-12.07 4 Jul 1998
Oct 1998
-11.84 6 Aug 1990
Jan 1991

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 January 2025 (~43 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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Stocks/Bonds 80/20 Momentum US Stocks Quality
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2025
 4.84 0.00 2.96 0.00
2024
 26.59 -4.94 22.29 -4.50
2023
 8.40 -5.89 30.88 -6.88
2022
 -17.23 -24.45 -20.49 -27.78
2021
 10.32 -3.67 26.93 -6.45
2020
 25.42 -14.33 17.03 -19.34
2019
 23.57 -1.46 33.89 -6.58
2018
 -1.35 -12.46 -5.68 -14.61
2017
 30.71 0.00 22.27 -0.04
2016
 4.51 -3.62 9.21 -4.62
2015
 7.25 -6.22 5.46 -6.64
2014
 12.86 -3.39 11.62 -4.19
2013
 27.24 -2.48 34.11 -2.85
2012
 12.58 -5.19 12.59 -7.19
2011
 6.33 -10.88 7.32 -13.90
2010
 15.66 -9.31 14.04 -12.90
2009
 14.68 -16.18 24.74 -18.35
2008
 -31.40 -32.66 -31.36 -32.42
2007
 15.50 -1.97 9.91 -4.10
2006
 9.30 -2.94 12.62 -3.30
2005
 15.79 -1.04 5.28 -3.71
2004
 14.21 -2.13 8.51 -3.83
2003
 21.59 -3.04 23.58 -4.72
2002
 -8.17 -17.08 -21.34 -27.87
2001
 -12.19 -20.18 -10.47 -22.22
2000
 -5.41 -9.70 -6.78 -12.22
1999
 32.18 -1.61 26.24 -4.34
1998
 40.72 -9.24 45.30 -12.07
1997
 31.37 -4.22 32.95 -5.23
1996
 24.58 -3.09 30.34 -3.76
1995
 37.49 0.00 39.91 -0.17
1994
 -1.40 -6.80 5.81 -6.09
1993
 12.52 -1.57 -1.84 -3.85
1992
 4.88 -2.94 2.36 -3.83
1991
 32.57 -3.31 42.31 -3.57
1990
 2.93 -10.02 3.83 -11.84
1989
 36.94 -1.39 36.63 -2.05
1988
 7.13 -4.35 15.66 -3.85
1987
 2.18 -25.63 4.18 -29.94
1986
 21.18 -6.69 24.86 -7.56
1985
 30.36 -2.61 33.09 -3.58
1984
 2.34 -8.41 8.49 -5.91
1983
 14.60 -3.36 16.46 -3.65
1982
 30.58 -3.58 19.76 -10.30
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Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
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English book
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Italian book