10-year Treasury Portfolio: ETF allocation and returns

Data Source: from January 1871 to June 2024 (~154 years)
Consolidated Returns as of 30 June 2024
Live Update: Jul 26 2024
Currency: USD

PORTFOLIO • LIVE PERFORMANCE (USD currency)

0.48%

1 Day

Jul 26 2024

1.76%

Current Month

July 2024

The 10-year Treasury Portfolio can be implemented with 1 ETF. This portfolio has a low risk, suggesting it experiences minor value changes. It is ideal for conservative investors who prioritize capital preservation and prefer stable, predictable returns.

The asset allocation is the following: 0% on the Stock Market, 100% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 100% allocation to bonds, leading to its classification as low risk.

As of June 2024, in the previous 30 Years, the 10-year Treasury Portfolio obtained a 4.92% compound annual return, with a 6.80% standard deviation. It suffered a maximum drawdown of -23.19% that required 47 months to be recovered.

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Asset Allocation and ETFs

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

          0% Stocks
        
          100% Fixed Income
        
          0% Commodities

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

Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
100.00	IEF	USD	iShares 7-10 Year Treasury Bond	Bond, U.S., Intermediate-Term (USD)

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

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Portfolio and ETF Returns as of Jun 30, 2024

The 10-year Treasury Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming:

no fees or capital gain taxes.
the reinvestment of dividends.
the actual US Inflation rates.

10-YEAR TREASURY PORTFOLIO

Data Source: 1 January 1871 - 30 June 2024 (~154 years)

Live Update: Jul 26 2024

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	Chg (%)		Return (%)	Return (%) as of Jun 30, 2024
	1 Day	*Time ET^()**	Jul 2024	1M	6M	1Y	5Y	10Y	30Y	MAX (~154Y)
10-year Treasury Portfolio	0.48		1.76	1.22	-1.48	0.15	-1.38	0.91	4.92	4.52
US Inflation Adjusted return				1.27	-2.83	-2.75	-5.33	-1.85	2.33	2.34
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jun 2024. Inflation (annualized) is 1Y: 2.98% , 5Y: 4.17% , 10Y: 2.81% , 30Y: 2.53%

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In 2023, the 10-year Treasury Portfolio granted a 2.97% dividend yield. If you are interested in getting periodic income, please refer to the 10-year Treasury Portfolio: Dividend Yield page.

Capital Growth as of Jun 30, 2024

An investment of 1$, from July 1994 to June 2024, would be worth 4.23$, with a total return of 322.92% (4.92% annualized).

The Inflation Adjusted Capital would be 2.00$, with a net total return of 99.81% (2.33% annualized).

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An investment of 1$, from January 1871 to June 2024, would be worth 880.32$, with a total return of 87932.16% (4.52% annualized).

The Inflation Adjusted Capital would be 35.09$, with a net total return of 3409.07% (2.34% annualized).

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Portfolio Metrics as of Jun 30, 2024

Metrics of 10-year Treasury Portfolio, updated as of 30 June 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:

no fees or capital gain taxes.

the reinvestment of dividends.
the actual US Inflation rates.

10-YEAR TREASURY PORTFOLIO

Advanced Metrics

Data Source: 1 January 1871 - 30 June 2024 (~154 years)

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	Metrics as of Jun 30, 2024
	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~154Y)
Investment Return (%)	1.22	-0.19	-1.48	0.15	-4.66	-1.38	0.91	3.26	4.92	4.52
Infl. Adjusted Return (%)	1.27	-0.45	-2.83	-2.75	-9.17	-5.33	-1.85	0.68	2.33	2.34
US Inflation (%)	-0.06	0.26	1.40	2.98	4.97	4.17	2.81	2.56	2.53	2.12
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:			Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)			-17.89	-6.31	-20.50	-23.19	-23.19	-23.19	-23.19	-23.19
Start to Recovery (# months)			47*	6	35*	47*	47*	47*	47*	47*
Start (yyyy mm)				2023 07	2021 08	2020 08	2020 08	2020 08	2020 08	2020 08
Start to Bottom (# months)				4	27	39	39	39	39	39
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2023 10	2023 10	2023 10
Bottom to End (# months)				2	8	8	8	8	8	8
End (yyyy mm)				2023 12	-	-	-	-	-	-
Longest Drawdown Depth (%)				same	same	same	same	same	same	same
Start to Recovery (# months)				same	same	same	same	same	same	same
Start (yyyy mm)				2023 07	2021 08	2020 08	2020 08	2020 08	2020 08	2020 08
Start to Bottom (# months)				4	27	39	39	39	39	39
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2023 10	2023 10	2023 10
Bottom to End (# months)				2	8	8	8	8	8	8
End (yyyy mm)				2023 12	-	-	-	-	-	-
Longest negative period (# months)				11	36*	60*	111	126	126	126
Period Start (yyyy mm)				2023 07	2021 07	2019 07	2015 02	2013 05	2013 05	2013 05
Period End (yyyy mm)				2024 05	2024 06	2024 06	2024 04	2023 10	2023 10	2023 10
Annualized Return (%)				-1.15	-4.66	-1.38	-0.18	-0.04	-0.04	-0.04
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%)			-32.29	-7.39	-29.69	-35.52	-35.52	-35.52	-35.52	-58.41
Start to Recovery (# months)			49*	6	35*	49*	49*	49*	49*	543
Start (yyyy mm)				2023 07	2021 08	2020 06	2020 06	2020 06	2020 06	1941 05
Start to Bottom (# months)				4	27	41	41	41	41	485
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2023 10	2023 10	1981 09
Bottom to End (# months)				2	8	8	8	8	8	58
End (yyyy mm)				2023 12	-	-	-	-	-	1986 07
Longest Drawdown Depth (%)				-5.75	same	same	same	same	same	same
Start to Recovery (# months)				6*	same	same	same	same	same	same
Start (yyyy mm)				2024 01	2021 08	2020 06	2020 06	2020 06	2020 06	1941 05
Start to Bottom (# months)				4	27	41	41	41	41	485
Bottom (yyyy mm)				2024 04	2023 10	2023 10	2023 10	2023 10	2023 10	1981 09
Bottom to End (# months)				2	8	8	8	8	8	58
End (yyyy mm)				-	-	-	-	-	-	1986 07
Longest negative period (# months)				12*	36*	60*	120*	195	195	1025
Period Start (yyyy mm)				2023 07	2021 07	2019 07	2014 07	2008 02	2008 02	1896 05
Period End (yyyy mm)				2024 06	2024 06	2024 06	2024 06	2024 04	2024 04	1981 09
Annualized Return (%)				-2.75	-9.17	-5.33	-1.85	-0.04	-0.04	-0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)				8.30	8.52	7.67	6.55	6.55	6.80	5.46
Sharpe Ratio				-0.62	-0.89	-0.44	-0.07	0.28	0.39	0.10
Sortino Ratio				-0.95	-1.33	-0.65	-0.10	0.41	0.56	0.14
Ulcer Index				2.80	13.16	12.44	9.24	6.86	5.91	3.41
Ratio: Return / Standard Deviation				0.02	-0.55	-0.18	0.14	0.50	0.72	0.83
Ratio: Return / Deepest Drawdown				0.02	-0.23	-0.06	0.04	0.14	0.21	0.19
Positive Months (%)				50.00	38.88	48.33	50.83	53.33	56.94	65.79
Positive Months				6	14	29	61	128	205	1212
Negative Months				6	22	31	59	112	155	630
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized							0.91	6.52	9.01	15.70
Worst 10 Years Return (%) - Annualized							0.91	0.38	0.38	0.37
Best 10 Years Return (%) - Annualized							-1.85	4.68	6.38	11.31
Worst 10 Years Return (%) - Annualized							-1.85	-2.27	-2.27	-5.68
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Jun 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized				25.55	13.00	9.80	9.01	7.27	4.92
Worst Rolling Return (%) - Annualized				-16.44	-7.79	-1.38	0.38	2.99	4.92
Positive Periods (%)				74.2	90.4	96.6	100.0	100.0	100.0
Best Rolling Return (%) - Annualized				22.45	10.54	7.48	6.38	4.91	2.33
Worst Rolling Return (%) - Annualized				-22.45	-12.78	-5.33	-2.27	0.41	2.33
Positive Periods (%)				65.3	81.5	87.0	88.3	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative	2.81	4.33	5.39	6.15	14.63	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)	3.62	5.74	7.39	10.76	18.58	2.53	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative	4.15	6.65	8.67	15.19	21.16	5.83	0.00	0.00
99% CVaR - Conditional Value at Risk (%)	5.00	8.13	10.75	16.01	24.95	7.09	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)				87.50	26.75	18.15	9.88	6.06	6.10
Perpetual Withdrawal Rate (%)				---	---	---	---	0.49	3.05
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Jan 1871 - Jun 2024)
Best Rolling Return (%) - Annualized				44.35	23.66	23.75	15.70	12.08	10.36
Worst Rolling Return (%) - Annualized				-16.44	-7.79	-1.38	0.37	1.54	1.94
Positive Periods (%)				81.1	93.5	98.8	100.0	100.0	100.0
Best Rolling Return (%) - Annualized				41.30	19.98	19.55	11.31	8.50	7.14
Worst Rolling Return (%) - Annualized				-22.45	-13.92	-12.17	-5.68	-3.10	-1.47
Positive Periods (%)				62.9	70.7	68.9	67.2	72.4	80.3
95% VaR - Value at Risk (%) - Cumulative	2.21	3.34	4.06	3.49	0.64	0.00	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)	2.86	4.48	5.66	6.35	5.90	0.00	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative	3.28	5.20	6.69	8.72	12.58	0.53	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)	3.97	6.39	8.36	11.46	18.09	2.73	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)				87.50	26.06	14.07	7.49	3.58	2.37
Perpetual Withdrawal Rate (%)				---	---	---	---	---	---
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com

Terms and Definitions

Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.

Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
Longest negative period: it's the maximum period for which an overall negative return has been observed.
Standard Deviation: it's a measure of the dispersion of returns around the mean.

Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.

Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.

Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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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.

10-YEAR TREASURY PORTFOLIO

Drawdown periods

Drawdown periods - Inflation Adjusted

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 January 1871 - 30 June 2024 (~154 years)

Inflation Adjusted:

Chart Table Range

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Rolling Returns

( more details)

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.

10-YEAR TREASURY PORTFOLIO

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 January 1871 - 30 June 2024 (~154 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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If you need a deeper detail about rolling returns, please refer to the 10-year Treasury Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in 10-year Treasury Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the data source from January 1871 to June 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the 10-year Treasury Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

10-YEAR TREASURY PORTFOLIO

Monthly Returns Distribution

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 January 1871 - 30 June 2024 (~154 years)

205 Positive Months (57%) - 155 Negative Months (43%)

1212 Positive Months (66%) - 630 Negative Months (34%)

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Investment Returns, up to December 2002, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:

iShares 7-10 Year Treasury Bond (IEF), up to December 2002

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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Mastering ETF Investing

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with Lazy Portfolios and Passive Investing

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