10-year Treasury Portfolio: ETF allocation and returns

The 10-year Treasury Portfolio is exposed for 0% on the Stock Market.

In the last 10 years, it obtained a 4.29% compound annual return, with a 5.66% standard deviation (*).

(*) Last Update: June 2019

The 10-year Treasury Portfolio has the following asset allocation:

        0% Stocks
      
        100% Fixed Income
      
        0% Commodities

The 10-year Treasury Portfolio can be replicated with the following ETFs:

Weight		ETF: Ticker - Name	Investment Themes
100.00 %		IEF - iShares 7-10 Year Treasury Bond	Bond, U.S., Intermediate-Term

Capital growth, returns, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at each January 1st).

Last Update: June 2019.

Capital Growth and Historical Returns

An investment of 1000$, since January 1972, now would be worth 29155.69$, with a total return of 2815.57% (7.36% annualized).

Capital Growth:

Portofolio Returns, up to December 2002, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

IEF - iShares 7-10 Year Treasury Bond: simulated historical serie, up to December 2002

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Range	Returns Jun 2019	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	+1.22%		0.00%	1 - 0
YTD	+6.65%		-0.52% Apr 2019 - Apr 2019	4 - 2
1Y	+9.96%	4.85%	-1.50% Sep 2018 - Oct 2018	7 - 5
3Y	+1.16% annualized	4.79%	-7.17% Aug 2016 - Apr 2018	20 - 16
5Y	+3.24% annualized	5.11%	-7.17% Aug 2016 - Apr 2018	32 - 28
10Y	+4.29% annualized	5.66%	-7.60% May 2013 - Dec 2013	65 - 55
MAX Dec 1971	+7.36% annualized	7.78%	-15.76% Jul 1979 - Feb 1980	343 - 227

* Annualized St.Dev. of monthly returns

Drawdowns

Drawdonws Chart:

Worst drawdowns since June 2009.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-7.60%	May 2013	Dec 2013	8	Nov 2014	11	19
-7.17%	Aug 2016	Apr 2018	21	May 2019	13	34
-4.67%	Oct 2010	Mar 2011	6	Jul 2011	4	10
-4.40%	Dec 2009	Dec 2009	1	May 2010	5	6
-4.25%	Feb 2015	Jun 2015	5	Jan 2016	7	12
-2.67%	Feb 2012	Mar 2012	2	May 2012	2	4
-2.22%	Dec 2012	Jan 2013	2	Apr 2013	3	5
-1.29%	Oct 2011	Oct 2011	1	Dec 2011	2	3
-0.87%	Aug 2012	Oct 2012	3	Nov 2012	1	4
-0.42%	Jun 2012	Jun 2012	1	Jul 2012	1	2
-0.32%	Mar 2016	May 2016	3	Jun 2016	1	4
-0.14%	Oct 2009	Oct 2009	1	Nov 2009	1	2

Worst drawdowns since December 1971.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-15.76%	Jul 1979	Feb 1980	8	Jun 1980	4	12
-14.58%	Jul 1980	Sep 1981	15	Nov 1981	2	17
-10.88%	Mar 1987	Sep 1987	7	Jan 1988	4	11
-10.13%	Nov 1993	Nov 1994	13	May 1995	6	19
-9.34%	Oct 1998	Jan 2000	16	Aug 2000	7	23
-7.99%	Feb 1984	May 1984	4	Aug 1984	3	7
-7.60%	May 2013	Dec 2013	8	Nov 2014	11	19
-7.17%	Aug 2016	Apr 2018	21	May 2019	13	34
-6.90%	Feb 1996	May 1996	4	Nov 1996	6	10
-6.66%	Jan 2009	Jun 2009	6	Jun 2010	12	18
-6.60%	Nov 2001	Mar 2002	5	Jul 2002	4	9
-6.29%	May 1983	Aug 1983	4	Jan 1984	5	9
-5.68%	Jun 2003	Jul 2003	2	Dec 2003	5	7
-4.86%	Apr 2004	May 2004	2	Oct 2004	5	7
-4.67%	Oct 2010	Mar 2011	6	Jul 2011	4	10
-4.61%	Mar 1988	May 1988	3	Sep 1988	4	7
-4.48%	Jan 1990	Apr 1990	4	Jun 1990	2	6
-4.41%	Mar 1975	Apr 1975	2	Oct 1975	6	8
-4.34%	Dec 1973	Aug 1974	9	Nov 1974	3	12
-4.25%	Feb 2015	Jun 2015	5	Jan 2016	7	12

Rolling Returns

10-year Treasury Portfolio: annualized rolling and average returns

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	*Return ()**
Rolling Period	Average	Best	Worst
1 Year	+7.72%	+44.35% Apr 1985 - Mar 1986	-11.12% Mar 1979 - Feb 1980
2 Years	+7.66%	+34.91% Jul 1984 - Jun 1986	-5.88% Oct 1979 - Sep 1981
3 Years	+7.74%	+23.66% Sep 1983 - Aug 1986	-2.91% Oct 1978 - Sep 1981
5 Years	+7.92%	+23.75% Sep 1981 - Aug 1986	-0.08% Oct 1976 - Sep 1981
7 Years	+8.07%	+17.44% Mar 1980 - Feb 1987	+1.36% Oct 2011 - Sep 2018
10 Years	+8.42%	+15.70% Oct 1981 - Sep 1991	+2.91% Jan 2009 - Dec 2018
15 Years	+8.60%	+13.03% Oct 1981 - Sep 1996	+4.14% Oct 2003 - Sep 2018

* Annualized rolling and average returns over full calendar month periods

Yearly Returns - Monthly Returns Heatmap

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		Months
Year	Return	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	+6.65%	0.7	-0.5	2.7	-0.5	3.1	1.2
2018	+0.99%	-2.2	-0.9	1.2	-1.3	1.0	0.2	-0.5	1.0	-1.2	-0.3	1.3	2.8
2017	+2.55%	0.2	0.7	0.1	1.1	0.8	-0.5	0.4	1.5	-1.4	-0.2	-0.3	0.2
2016	+1.00%	3.3	1.5	-0.1	-0.2	-0.1	3.1	0.3	-1.0	0.2	-1.5	-4.2	-0.1
2015	+1.51%	4.3	-2.5	0.9	-0.6	-0.4	-1.6	1.5	0.1	1.6	-0.6	-0.4	-0.5
2014	+9.07%	3.1	0.4	-0.6	0.8	1.8	-0.2	-0.2	1.9	-1.1	1.5	1.3	0.1
2013	-6.09%	-1.3	1.1	0.3	1.5	-3.1	-2.6	-0.4	-1.4	1.9	0.8	-0.9	-2.1
2012	+3.66%	0.9	-1.1	-1.6	2.5	2.9	-0.4	1.4	-0.1	-0.4	-0.4	1.0	-0.9
2011	+15.64%	-0.0	-0.2	-0.2	1.8	2.5	-0.5	3.2	4.7	2.2	-1.3	0.6	2.0
2010	+9.37%	2.4	0.3	-1.1	1.7	2.9	3.1	0.9	3.4	0.0	-0.0	-0.9	-3.4
2009	-6.59%	-3.9	-0.7	3.3	-2.8	-2.1	-0.6	0.8	0.8	1.1	-0.1	2.0	-4.4
2008	+17.91%	3.4	1.2	1.3	-2.4	-1.8	1.1	0.7	1.5	-0.1	-0.9	7.8	5.2
2007	+10.37%	-0.4	2.1	-0.1	0.6	-1.4	-0.5	2.3	2.3	0.1	1.1	4.0	0.1
2006	+2.52%	-0.7	-0.1	-1.4	-0.6	-0.1	0.2	1.7	1.8	1.2	0.5	1.3	-1.3
2005	+2.64%	0.9	-1.4	-0.4	2.5	1.8	0.5	-2.2	2.0	-1.8	-1.2	0.6	1.4
2004	+4.12%	1.0	1.6	1.3	-4.4	-0.5	0.7	1.2	2.8	0.3	1.0	-2.0	1.2
2003	+5.29%	-0.8	2.2	-0.4	0.1	3.8	-0.7	-5.0	0.7	5.0	-1.5	0.0	2.0
2002	+15.45%	0.4	1.9	-3.7	2.9	0.7	2.2	3.2	3.4	4.6	-2.2	-2.0	3.6
2001	+5.40%	-0.1	2.6	0.3	-2.8	-0.2	0.5	3.2	2.2	2.4	2.8	-3.4	-1.9
2000	+17.28%	-1.1	2.5	3.4	-1.0	0.1	2.5	0.4	2.8	-0.1	0.7	2.7	3.3
1999	-7.83%	0.3	-4.5	0.8	-0.4	-1.7	-0.8	-0.3	0.1	1.1	-0.4	-0.7	-1.5
1998	+14.64%	2.2	-0.2	0.1	0.4	1.4	1.4	0.0	4.0	5.3	-1.2	-0.4	1.1
1997	+11.97%	-0.2	0.3	-2.0	2.0	0.9	1.7	4.2	-1.8	2.2	2.6	0.3	1.3
1996	0.00%	0.3	-3.5	-1.0	-1.8	-0.8	1.4	0.1	-0.6	2.3	3.1	2.8	-2.2
1995	+25.55%	2.3	3.3	0.7	1.5	6.2	1.2	-1.2	1.8	1.3	1.6	2.5	1.9
1994	-7.19%	1.5	-2.9	-3.9	-1.5	-0.2	-0.6	2.2	0.1	-2.4	-0.7	-0.0	1.1
1993	+12.97%	2.8	3.2	0.5	0.4	-0.3	3.2	0.3	3.4	0.8	0.2	-2.6	0.5
1992	+7.23%	-3.7	0.9	-1.3	0.1	2.6	2.0	3.6	1.3	2.4	-2.6	-0.5	2.4
1991	+18.91%	1.0	0.7	0.5	0.9	0.4	-0.5	1.0	3.3	3.1	0.6	1.3	5.4
1990	+7.70%	-2.7	0.2	-0.2	-1.8	3.7	1.9	1.2	-2.6	1.0	1.9	3.3	1.9
1989	+17.84%	1.6	-1.2	0.9	2.6	3.5	4.1	2.6	-2.3	0.4	3.4	1.2	0.0
1988	+6.90%	4.6	1.4	-2.0	-1.3	-1.4	3.3	-1.2	-0.1	3.3	2.2	-1.9	0.2
1987	-2.64%	1.0	0.5	-1.6	-4.1	-1.2	1.4	-1.2	-1.5	-3.2	5.7	0.0	1.8
1986	+21.35%	0.2	7.2	5.8	0.7	-3.9	5.6	0.7	3.4	-2.9	1.4	2.0	0.0
1985	+29.85%	3.2	-3.3	2.5	2.4	7.9	1.0	-1.1	2.7	0.7	2.7	3.5	4.6
1984	+14.87%	1.9	-1.2	-1.8	-0.6	-4.7	1.5	6.3	1.7	2.9	5.0	2.2	1.1
1983	+2.30%	-1.8	4.2	-1.3	3.0	-2.4	0.0	-3.7	-0.3	4.2	-0.8	1.6	-0.1
1982	+39.57%	0.3	1.8	0.4	2.8	2.0	-2.7	5.3	6.0	7.3	7.2	0.4	3.5
1981	+5.28%	-0.4	-3.0	2.8	-4.1	4.5	-0.8	-3.0	-2.5	-0.8	7.6	9.4	-3.4
1980	-1.29%	-3.9	-7.9	1.5	12.4	4.0	1.9	-3.2	-3.7	-0.8	-2.4	-0.4	2.7
1979	+1.83%	2.1	-0.7	1.2	-0.8	2.7	2.4	-0.6	-0.7	-0.5	-7.0	3.0	1.2
1978	-0.74%	-0.4	-0.0	-0.1	0.1	-0.5	-0.6	1.1	1.9	-0.4	-1.9	1.4	-1.1
1977	+0.53%	-3.6	0.3	0.8	0.4	1.1	1.9	-0.9	1.6	-0.3	-0.8	1.1	-1.0
1976	+15.29%	0.4	0.9	1.4	0.6	-1.3	1.4	0.7	2.0	1.4	1.5	3.5	2.0
1975	+5.52%	-0.3	1.1	-3.1	-1.3	2.5	1.2	-1.0	0.6	-1.0	4.6	-0.9	3.3
1974	+4.05%	-0.1	0.5	-2.2	-1.1	1.6	-0.2	-1.1	-0.8	1.8	1.7	1.7	2.3
1973	+3.29%	-0.4	-0.2	-0.1	0.8	-1.1	0.5	-2.8	1.9	3.1	1.9	0.7	-0.9
1972	+2.35%	-1.0	0.9	-0.1	0.4	1.2	-0.2	0.7	-1.7	-0.3	1.5	1.5	-0.4