Consolidated Returns as of 31 March 2024
Holding the 10-year Treasury Portfolio, how long should you stay invested to have high probability to obtain a positive return?
Considering all the available data source (~153 years), the longest period with a negative return lasted 126 months (from May 2013 to October 2023).
This means that every rolling period of 127 months or above has always granted a positive return.
To obtain comprehensive information, please consult the 10-year Treasury Portfolio: ETF allocation and returns page.
Previous vs subsequent Returns
Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?
In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.
Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area
The annualized return of the last 10 years has been 1.16% (updated at Mar 31, 2024).
Rolling Returns
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
Annualized Rolling Returns - 1 Year (12 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +3.90% |
+44.35%
Apr 1985 - Mar 1986 |
-16.44%
Nov 2021 - Oct 2022 |
18.76%
343 out of 1828 |
US Inflation Adjusted | +2.31% |
+41.30%
Apr 1985 - Mar 1986 |
-22.45%
Nov 2021 - Oct 2022 |
36.98%
676 out of 1828 |
Annualized Rolling Returns - 2 Years (24 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +3.70% |
+34.91%
Jul 1984 - Jun 1986 |
-10.33%
Nov 2020 - Oct 2022 |
10.02%
182 out of 1816 |
US Inflation Adjusted | +2.54% |
+31.35%
Jul 1984 - Jun 1986 |
-16.18%
Nov 2020 - Oct 2022 |
31.94%
580 out of 1816 |
Annualized Rolling Returns - 3 Years (36 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +3.86% |
+23.66%
Sep 1983 - Aug 1986 |
-7.79%
Nov 2020 - Oct 2023 |
6.26%
113 out of 1804 |
US Inflation Adjusted | +2.45% |
+19.98%
Sep 1983 - Aug 1986 |
-13.92%
Feb 1917 - Jan 1920 |
29.16%
526 out of 1804 |
Annualized Rolling Returns - 4 Years (48 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.03% |
+23.99%
Jul 1982 - Jun 1986 |
-4.41%
Apr 2020 - Mar 2024 |
2.62%
47 out of 1792 |
US Inflation Adjusted | +2.24% |
+20.31%
Jul 1982 - Jun 1986 |
-14.55%
Jun 1916 - May 1920 |
29.63%
531 out of 1792 |
Annualized Rolling Returns - 5 Years (60 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.15% |
+23.75%
Sep 1981 - Aug 1986 |
-0.75%
Nov 2017 - Oct 2022 |
1.01%
18 out of 1780 |
US Inflation Adjusted | +2.51% |
+19.55%
Sep 1981 - Aug 1986 |
-12.17%
Jul 1915 - Jun 1920 |
30.90%
550 out of 1780 |
Annualized Rolling Returns - 6 Years (72 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.10% |
+19.12%
Mar 1981 - Feb 1987 |
-1.04%
Nov 2017 - Oct 2023 |
0.51%
9 out of 1768 |
US Inflation Adjusted | +2.59% |
+14.46%
Mar 1981 - Feb 1987 |
-10.07%
Jul 1914 - Jun 1920 |
31.67%
560 out of 1768 |
Annualized Rolling Returns - 7 Years (84 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.06% |
+17.44%
Mar 1980 - Feb 1987 |
-1.15%
Nov 2016 - Oct 2023 |
0.46%
8 out of 1756 |
US Inflation Adjusted | +2.43% |
+13.13%
Oct 1981 - Sep 1988 |
-8.73%
Jun 1913 - May 1920 |
29.04%
510 out of 1756 |
Annualized Rolling Returns - 8 Years (96 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.09% |
+16.72%
Oct 1981 - Sep 1989 |
-0.44%
Nov 2015 - Oct 2023 |
0.23%
4 out of 1744 |
US Inflation Adjusted | +2.20% |
+12.52%
Oct 1981 - Sep 1989 |
-7.50%
Jul 1912 - Jun 1920 |
30.33%
529 out of 1744 |
Annualized Rolling Returns - 9 Years (108 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.13% |
+15.36%
Oct 1981 - Sep 1990 |
+0.03%
Nov 2014 - Oct 2023 |
0.00%
0 out of 1732 |
US Inflation Adjusted | +2.22% |
+10.93%
Oct 1981 - Sep 1990 |
-7.33%
Jul 1911 - Jun 1920 |
30.72%
532 out of 1732 |
Annualized Rolling Returns - 10 Years (120 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.18% |
+15.70%
Oct 1981 - Sep 1991 |
+0.37%
Oct 1949 - Sep 1959 |
0.00%
0 out of 1720 |
US Inflation Adjusted | +2.53% |
+11.31%
Oct 1981 - Sep 1991 |
-5.68%
Oct 1971 - Sep 1981 |
32.62%
561 out of 1720 |
Annualized Rolling Returns - 11 Years (132 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.24% |
+15.73%
Oct 1981 - Sep 1992 |
+0.11%
Nov 2012 - Oct 2023 |
0.00%
0 out of 1708 |
US Inflation Adjusted | +2.69% |
+11.43%
Oct 1981 - Sep 1992 |
-5.29%
Jun 1909 - May 1920 |
31.50%
538 out of 1708 |
Annualized Rolling Returns - 12 Years (144 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.23% |
+15.60%
Oct 1981 - Sep 1993 |
+0.52%
Nov 1945 - Oct 1957 |
0.00%
0 out of 1696 |
US Inflation Adjusted | +2.70% |
+11.41%
Oct 1981 - Sep 1993 |
-5.33%
Jul 1908 - Jun 1920 |
32.02%
543 out of 1696 |
Annualized Rolling Returns - 13 Years (156 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.15% |
+13.89%
Mar 1980 - Feb 1993 |
+0.74%
Feb 1947 - Jan 1960 |
0.00%
0 out of 1684 |
US Inflation Adjusted | +2.61% |
+9.56%
Jul 1920 - Jun 1933 |
-4.68%
Jun 1907 - May 1920 |
31.12%
524 out of 1684 |
Annualized Rolling Returns - 14 Years (168 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.09% |
+13.85%
Oct 1981 - Sep 1995 |
+0.68%
Oct 1945 - Sep 1959 |
0.00%
0 out of 1672 |
US Inflation Adjusted | +2.48% |
+9.87%
Oct 1981 - Sep 1995 |
-4.84%
Aug 1906 - Jul 1920 |
30.68%
513 out of 1672 |
Annualized Rolling Returns - 15 Years (180 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.03% |
+13.03%
Oct 1981 - Sep 1996 |
+0.98%
Feb 1945 - Jan 1960 |
0.00%
0 out of 1660 |
US Inflation Adjusted | +2.33% |
+9.13%
Oct 1981 - Sep 1996 |
-4.52%
Jul 1905 - Jun 1920 |
28.19%
468 out of 1660 |
Annualized Rolling Returns - 16 Years (192 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.02% |
+12.93%
Oct 1981 - Sep 1997 |
+1.00%
Aug 1941 - Jul 1957 |
0.00%
0 out of 1648 |
US Inflation Adjusted | +2.35% |
+9.12%
Oct 1981 - Sep 1997 |
-4.19%
Jul 1904 - Jun 1920 |
27.06%
446 out of 1648 |
Annualized Rolling Returns - 17 Years (204 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +4.01% |
+13.34%
Oct 1981 - Sep 1998 |
+1.17%
Feb 1943 - Jan 1960 |
0.00%
0 out of 1636 |
US Inflation Adjusted | +2.26% |
+9.65%
Oct 1981 - Sep 1998 |
-3.82%
Jul 1903 - Jun 1920 |
26.10%
427 out of 1636 |
Annualized Rolling Returns - 18 Years (216 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +3.99% |
+12.17%
Oct 1981 - Sep 1999 |
+1.10%
Oct 1941 - Sep 1959 |
0.00%
0 out of 1624 |
US Inflation Adjusted | +2.18% |
+8.56%
Oct 1981 - Sep 1999 |
-3.63%
Jun 1902 - May 1920 |
26.05%
423 out of 1624 |
Annualized Rolling Returns - 19 Years (228 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +3.96% |
+11.90%
Oct 1981 - Sep 2000 |
+1.30%
Feb 1941 - Jan 1960 |
0.00%
0 out of 1612 |
US Inflation Adjusted | +2.13% |
+8.29%
Oct 1981 - Sep 2000 |
-3.69%
Jul 1901 - Jun 1920 |
26.80%
432 out of 1612 |
Annualized Rolling Returns - 20 Years (240 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +3.94% |
+12.08%
Oct 1981 - Sep 2001 |
+1.54%
Jan 1940 - Dec 1959 |
0.00%
0 out of 1600 |
US Inflation Adjusted | +2.18% |
+8.50%
Oct 1981 - Sep 2001 |
-3.10%
Jul 1900 - Jun 1920 |
27.56%
441 out of 1600 |
To obtain comprehensive information, please consult the 10-year Treasury Portfolio: ETF allocation and returns page.