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I have a laptop that has Windows 10 on it. But I would also like to use Ubuntu, sometimes. Instead of making partitions on my hard disk, I would like to run Ubuntu with the USB drive. My question is that the changes I will make when I am on Ubuntu (like creating files etc.), where all these changes are gonna go? On the USB drive, right, not on my hard disk, since I haven't installed Ubuntu.

Also, is Ubuntu very slow when I try it with a USB drive?

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There are two kinds of Ubuntu Live systems- with Persistence and without persistence. If you make a persistent USB drive, the data you create during the session are saved in a casper-rw file. This changes are stored and reflected even after you reboot. A Live system without persistence is reset to the defaults each time it is shutdown.

To used a casper-rw file that is larger than 4GB, you'll need to partition the pendrive.

The HDD remains unaltered as long as you do not explicitly modify a file from the hard drive itself.

The speed and performance of such live systems depends largely on the performance of the USB drive. I would say it isn't painfully slow and can be managed.

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The livecd system will charge needed components into the RAM from your usb stick. Every time you will launch a new program it will be loaded from the usb stick image.

You user profil is a temporary one and is absolutely not saved. Even if you saved a user folder and mount it as your home, you will have programs preferences but you will have to reinsall theses every time you boot with the usb stick.

The live CD system is no made for your use case. You may create a small partition on your disk and install ubuntu on this so you could have your stuff saved.

You can also install Ubuntu directly on your usb Stick. But it will be slow depending on the USB tech you have on your laptop and the usb key itself (usb2, usb3, etc).

I would recommend a smaller distribution for this actually, see lubuntu, and co

Check this What is the smallest (installed size) ubuntu based distribution?

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