Returns as of 31 October 2024
Currency: USD
Currency: USD
On this page, we present the key metrics of the main US Stock Styles. The calculations are in USD currency over recent years.
The best performing in the last 30 Years is US Large Cap Growth, that granted a +11.60% annualized return.
The worst is US Large Cap Value, with a +9.74% annualized return in the last 30 Years.
Each asset presented here is carefully evaluated. Please research and study in depth if you want to include it in your portfolio.
By exploring these metrics, you can gain insights into performance trends, volatility, and other crucial factors that can help you build a well-diversified and efficient investment strategy. Whether you are a seasoned investor or just starting, this information aims to support your decision-making process in constructing a robust lazy portfolio.
Metrics as of 31 October 2024
Columns are sortable, US Stock Styles are pre-ordered by 30Y return.
US STOCK STYLES - USD CURRENCY
Return - Risk - Drawdown
Last Update as of 31 October 2024
Highlighted values indicate returns lower than the US Inflation recorded in the same period.
US Inflation is updated to Oct 2024.
Inflation (annualized) is
1Y: 2.58%
, 3Y: 4.50%
, 5Y: 4.17%
, 10Y: 2.88%
, 30Y: 2.52%
Returns over 1 year are annualized. Last update: 31 October 2024.
Returns over 1 year are annualized. Last update: 31 October 2024.
Risk is represented as the annualized Standard Deviation of monthly returns.
High values of Standard Deviation mean high fluctuations in prices.
Last update: 31 October 2024.
High values of Standard Deviation mean high fluctuations in prices.
Last update: 31 October 2024.
The maximum Drawdown is calculated considering the end of month prices.
Low Risk Assets usually grant less severe drawdowns.
Last update: 31 October 2024.
Low Risk Assets usually grant less severe drawdowns.
Last update: 31 October 2024.
Highlighted values indicate returns lower than the US Inflation recorded in the same period.
US Inflation is updated to Oct 2024.
2024: 2.17%, 2023: 3.32%, 2022: 6.41%, 2021: 7.18%
Last update: 31 October 2024.
Last update: 31 October 2024.
Swipe left to see all data
|
USD
|
Return (%) - Oct 31, 2024 |
St.Dev. (%) |
Ann. Return / St.Dev. |
Max Drawdown (%) |
Return / Drawdown |
Ulcer Index |
YTD(%) |
Yearly Returns (%) |
||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ticker | Asset | 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 30Y ▾ | 1Y | 5Y | 10Y | 30Y | 1Y | 5Y | 10Y | 30Y | 5Y | 10Y | 30Y | 5Y | 10Y | 30Y | 5Y | 10Y | 30Y | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|
VUG
|
US Large Cap Growth |
-0.26
|
4.38
|
16.38
|
43.95
|
7.47
|
18.33
|
15.17
|
11.60
|
14.39 | 21.30 | 17.69 | 16.79 | 3.06 | 0.86 | 0.86 | 0.69 | -33.15 | -33.15 | -53.58 | 0.55 | 0.46 | 0.22 | 13.49 | 9.99 | 20.94 |
23.64
|
46.83
|
-33.15
|
27.34
|
40.22
|
37.03
|
-3.31
|
27.72
|
|
IJH
|
US Mid Cap Blend |
-0.67
|
0.27
|
9.07
|
32.94
|
5.14
|
11.32
|
9.80
|
11.15
|
15.38 | 21.74 | 18.18 | 17.44 | 2.14 | 0.52 | 0.54 | 0.64 | -29.70 | -29.70 | -49.45 | 0.38 | 0.33 | 0.23 | 8.93 | 7.24 | 10.19 |
12.71
|
16.42
|
-13.10
|
24.71
|
13.58
|
26.10
|
-11.18
|
16.26
|
|
VOE
|
US Mid Cap Value |
-1.01
|
4.53
|
12.56
|
34.63
|
6.85
|
10.45
|
9.07
|
10.98
|
13.15 | 20.74 | 17.19 | 16.74 | 2.63 | 0.50 | 0.53 | 0.66 | -31.25 | -31.25 | -56.45 | 0.33 | 0.29 | 0.19 | 8.63 | 6.80 | 11.83 |
16.25
|
9.86
|
-7.95
|
28.76
|
2.59
|
27.84
|
-12.45
|
17.07
|
|
SPY
|
US Large Cap Blend |
-0.89
|
3.55
|
13.99
|
37.81
|
8.98
|
15.17
|
12.91
|
10.59
|
10.95 | 17.88 | 15.16 | 15.11 | 3.45 | 0.85 | 0.85 | 0.70 | -23.93 | -23.93 | -50.80 | 0.63 | 0.54 | 0.21 | 8.35 | 6.40 | 14.76 |
20.76
|
26.19
|
-18.17
|
28.74
|
18.37
|
31.22
|
-4.56
|
21.70
|
|
IJK
|
US Mid Cap Growth |
-1.38
|
-1.06
|
6.04
|
33.06
|
3.13
|
10.94
|
9.89
|
10.48
|
15.44 | 20.88 | 17.44 | 18.58 | 2.14 | 0.52 | 0.57 | 0.56 | -25.49 | -25.49 | -48.22 | 0.43 | 0.39 | 0.22 | 10.49 | 8.26 | 14.78 |
15.08
|
17.42
|
-19.03
|
18.68
|
22.44
|
25.96
|
-10.52
|
19.64
|
|
IJS
|
US Small Cap Value |
-1.76
|
-2.22
|
11.20
|
28.62
|
2.37
|
8.40
|
7.95
|
10.48
|
21.42 | 25.67 | 21.67 | 19.62 | 1.34 | 0.33 | 0.37 | 0.53 | -37.50 | -40.32 | -54.13 | 0.22 | 0.20 | 0.19 | 11.63 | 10.48 | 12.89 |
4.04
|
14.69
|
-11.33
|
30.53
|
2.63
|
24.12
|
-12.84
|
11.35
|
|
IJR
|
US Small Cap Blend |
-2.60
|
-3.31
|
10.01
|
29.92
|
1.81
|
9.12
|
8.97
|
10.17
|
19.81 | 23.66 | 20.14 | 19.42 | 1.51 | 0.39 | 0.45 | 0.52 | -32.77 | -36.12 | -51.79 | 0.28 | 0.25 | 0.20 | 11.25 | 10.10 | 12.36 |
6.41
|
16.07
|
-16.19
|
26.60
|
11.28
|
22.82
|
-8.49
|
13.15
|
|
IJT
|
US Small Cap Growth |
-3.56
|
-4.57
|
8.67
|
30.64
|
0.81
|
9.17
|
9.46
|
9.81
|
18.60 | 22.58 | 19.38 | 19.88 | 1.65 | 0.41 | 0.49 | 0.49 | -28.48 | -32.91 | -51.05 | 0.32 | 0.29 | 0.19 | 12.62 | 10.96 | 13.54 |
8.39
|
17.12
|
-21.32
|
22.37
|
19.22
|
20.99
|
-4.39
|
14.47
|
|
VTV
|
US Large Cap Value |
-1.38
|
3.01
|
11.30
|
31.43
|
9.18
|
11.51
|
10.42
|
9.74
|
10.12 | 17.18 | 14.67 | 15.18 | 3.11 | 0.67 | 0.71 | 0.64 | -25.07 | -25.07 | -54.78 | 0.46 | 0.42 | 0.18 | 6.75 | 5.36 | 13.63 |
17.23
|
9.33
|
-2.07
|
26.51
|
2.26
|
25.65
|
-5.44
|
17.14
|
| Return over 1 year are annualized | Gray background returns are below inflation for the same period | ||||||||||||||||||||||||||||||||||
For further information about the market seasonality, check the Asset Class Seasonality page.
US Stock Style Matrix
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
-1.38% (VTV) |
-0.89% (SPY) |
-0.26% (VUG) |
| Medium |
-1.01% (VOE) |
-0.67% (IJH) |
-1.38% (IJK) |
| Small |
-1.76% (IJS) |
-2.60% (IJR) |
-3.56% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
3.01% (VTV) |
3.55% (SPY) |
4.38% (VUG) |
| Medium |
4.53% (VOE) |
0.27% (IJH) |
-1.06% (IJK) |
| Small |
-2.22% (IJS) |
-3.31% (IJR) |
-4.57% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
11.30% (VTV) |
13.99% (SPY) |
16.38% (VUG) |
| Medium |
12.56% (VOE) |
9.07% (IJH) |
6.04% (IJK) |
| Small |
11.20% (IJS) |
10.01% (IJR) |
8.67% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
31.43% (VTV) |
37.81% (SPY) |
43.95% (VUG) |
| Medium |
34.63% (VOE) |
32.94% (IJH) |
33.06% (IJK) |
| Small |
28.62% (IJS) |
29.92% (IJR) |
30.64% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
9.18% (VTV) |
8.98% (SPY) |
7.47% (VUG) |
| Medium |
6.85% (VOE) |
5.14% (IJH) |
3.13% (IJK) |
| Small |
2.37% (IJS) |
1.81% (IJR) |
0.81% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
11.51% (VTV) |
15.17% (SPY) |
18.33% (VUG) |
| Medium |
10.45% (VOE) |
11.32% (IJH) |
10.94% (IJK) |
| Small |
8.40% (IJS) |
9.12% (IJR) |
9.17% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
10.42% (VTV) |
12.91% (SPY) |
15.17% (VUG) |
| Medium |
9.07% (VOE) |
9.80% (IJH) |
9.89% (IJK) |
| Small |
7.95% (IJS) |
8.97% (IJR) |
9.46% (IJT) |
| Value | Blend | Growth | |
|---|---|---|---|
| Large |
9.74% (VTV) |
10.59% (SPY) |
11.60% (VUG) |
| Medium |
10.98% (VOE) |
11.15% (IJH) |
10.48% (IJK) |
| Small |
10.48% (IJS) |
10.17% (IJR) |
9.81% (IJT) |
Correlations as of 31 October 2024
Monthly correlations are calculated over different timeframes.
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US STOCK STYLES MONTHLY CORRELATIONS - USD CURRENCY
Last Update as of 31 October 2024
Swipe left to see all data
|
VTV
|
SPY
|
VUG
|
VOE
|
IJH
|
IJK
|
IJS
|
IJR
|
IJT
|
|
|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
- | 0.82 | 0.56 | 0.97 | 0.93 | 0.87 | 0.82 | 0.83 | 0.83 |
|
SPY
|
0.82 | - | 0.93 | 0.76 | 0.78 | 0.80 | 0.58 | 0.60 | 0.61 |
|
VUG
|
0.56 | 0.93 | - | 0.49 | 0.54 | 0.61 | 0.33 | 0.35 | 0.36 |
|
VOE
|
0.97 | 0.76 | 0.49 | - | 0.95 | 0.87 | 0.89 | 0.89 | 0.87 |
|
IJH
|
0.93 | 0.78 | 0.54 | 0.95 | - | 0.95 | 0.92 | 0.92 | 0.92 |
|
IJK
|
0.87 | 0.80 | 0.61 | 0.87 | 0.95 | - | 0.78 | 0.81 | 0.83 |
|
IJS
|
0.82 | 0.58 | 0.33 | 0.89 | 0.92 | 0.78 | - | 1.00 | 0.98 |
|
IJR
|
0.83 | 0.60 | 0.35 | 0.89 | 0.92 | 0.81 | 1.00 | - | 0.99 |
|
IJT
|
0.83 | 0.61 | 0.36 | 0.87 | 0.92 | 0.83 | 0.98 | 0.99 | - |
|
VTV
|
SPY
|
VUG
|
VOE
|
IJH
|
IJK
|
IJS
|
IJR
|
IJT
|
|
|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
- | 0.91 | 0.73 | 0.97 | 0.93 | 0.89 | 0.89 | 0.89 | 0.87 |
|
SPY
|
0.91 | - | 0.94 | 0.90 | 0.91 | 0.92 | 0.80 | 0.84 | 0.87 |
|
VUG
|
0.73 | 0.94 | - | 0.73 | 0.79 | 0.84 | 0.65 | 0.72 | 0.77 |
|
VOE
|
0.97 | 0.90 | 0.73 | - | 0.97 | 0.92 | 0.93 | 0.93 | 0.91 |
|
IJH
|
0.93 | 0.91 | 0.79 | 0.97 | - | 0.98 | 0.95 | 0.97 | 0.96 |
|
IJK
|
0.89 | 0.92 | 0.84 | 0.92 | 0.98 | - | 0.88 | 0.92 | 0.95 |
|
IJS
|
0.89 | 0.80 | 0.65 | 0.93 | 0.95 | 0.88 | - | 0.99 | 0.95 |
|
IJR
|
0.89 | 0.84 | 0.72 | 0.93 | 0.97 | 0.92 | 0.99 | - | 0.98 |
|
IJT
|
0.87 | 0.87 | 0.77 | 0.91 | 0.96 | 0.95 | 0.95 | 0.98 | - |
|
VTV
|
SPY
|
VUG
|
VOE
|
IJH
|
IJK
|
IJS
|
IJR
|
IJT
|
|
|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
- | 0.93 | 0.77 | 0.96 | 0.93 | 0.89 | 0.88 | 0.88 | 0.86 |
|
SPY
|
0.93 | - | 0.95 | 0.91 | 0.91 | 0.92 | 0.81 | 0.84 | 0.85 |
|
VUG
|
0.77 | 0.95 | - | 0.77 | 0.81 | 0.85 | 0.67 | 0.72 | 0.77 |
|
VOE
|
0.96 | 0.91 | 0.77 | - | 0.97 | 0.92 | 0.92 | 0.92 | 0.89 |
|
IJH
|
0.93 | 0.91 | 0.81 | 0.97 | - | 0.98 | 0.95 | 0.96 | 0.96 |
|
IJK
|
0.89 | 0.92 | 0.85 | 0.92 | 0.98 | - | 0.88 | 0.92 | 0.94 |
|
IJS
|
0.88 | 0.81 | 0.67 | 0.92 | 0.95 | 0.88 | - | 0.99 | 0.95 |
|
IJR
|
0.88 | 0.84 | 0.72 | 0.92 | 0.96 | 0.92 | 0.99 | - | 0.99 |
|
IJT
|
0.86 | 0.85 | 0.77 | 0.89 | 0.96 | 0.94 | 0.95 | 0.99 | - |
|
VTV
|
SPY
|
VUG
|
VOE
|
IJH
|
IJK
|
IJS
|
IJR
|
IJT
|
|
|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
- | 0.95 | 0.82 | 0.94 | 0.90 | 0.81 | 0.85 | 0.80 | 0.77 |
|
SPY
|
0.95 | - | 0.96 | 0.89 | 0.90 | 0.87 | 0.81 | 0.81 | 0.80 |
|
VUG
|
0.82 | 0.96 | - | 0.77 | 0.84 | 0.86 | 0.71 | 0.75 | 0.77 |
|
VOE
|
0.94 | 0.89 | 0.77 | - | 0.94 | 0.82 | 0.90 | 0.84 | 0.80 |
|
IJH
|
0.90 | 0.90 | 0.84 | 0.94 | - | 0.95 | 0.93 | 0.94 | 0.92 |
|
IJK
|
0.81 | 0.87 | 0.86 | 0.82 | 0.95 | - | 0.84 | 0.92 | 0.93 |
|
IJS
|
0.85 | 0.81 | 0.71 | 0.90 | 0.93 | 0.84 | - | 0.96 | 0.91 |
|
IJR
|
0.80 | 0.81 | 0.75 | 0.84 | 0.94 | 0.92 | 0.96 | - | 0.98 |
|
IJT
|
0.77 | 0.80 | 0.77 | 0.80 | 0.92 | 0.93 | 0.91 | 0.98 | - |
Correlation values range between -1 and +1
- A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
- A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
- A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Understanding the correlation coefficient between different assets is crucial for several reasons:
- Diversification: Knowing the correlation helps investors diversify their portfolios effectively. By selecting assets that have low or negative correlations with each other, investors can reduce overall portfolio risk.
- Risk Management: It helps in managing risk by understanding how different assets react to market events. High correlation means that asset prices move together, increasing risk, while low correlation means they move independently, reducing risk.
- Optimizing Returns: Correlation analysis aids in optimizing returns by combining assets that complement each other, potentially enhancing the risk-adjusted returns of the portfolio.
- Strategic Asset Allocation: It informs strategic asset allocation decisions, helping investors align their portfolios with their risk tolerance and investment goals.
In summary, the correlation coefficient is a vital tool for constructing a balanced and resilient investment portfolio.
You can also focus on more specific Investment Themes, like the following:
