Short Term Treasury Portfolio: Rolling Returns

Data Source: from January 1871 to June 2024 (~154 years)
Consolidated Returns as of 30 June 2024

Holding the Short Term Treasury Portfolio, how long should you stay invested to have high probability to obtain a positive return?

Considering all the available data source (~154 years), the longest period with a negative return lasted 49 months (from April 2020 to April 2024).

This means that every rolling period of 50 months or above has always granted a positive return.

To obtain comprehensive information, please consult the Short Term 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

SHORT TERM TREASURY PORTFOLIO
Previous vs Next Returns - 10 Years annualized
Updated to June 2024

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The annualized return of the last 10 years has been 0.97% (updated at Jun 30, 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.

SHORT TERM 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:

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Annualized Rolling Returns - 1 Year (12 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.05% +25.82%
Oct 1981 - Sep 1982
-5.42%
Aug 1895 - Jul 1896
7.37%
135 out of 1831
US Inflation Adjusted +1.74% +30.38%
Jun 1877 - May 1878
-19.03%
Jul 1919 - Jun 1920
37.41%
685 out of 1831
1 Year Annualized Rolling Returns
Timeframes ending in every month

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1 Year Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 2 Years (24 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.09% +19.29%
May 1981 - Apr 1983
-2.67%
Nov 2020 - Oct 2022
2.03%
37 out of 1819
US Inflation Adjusted +2.02% +22.89%
Jul 1920 - Jun 1922
-14.68%
Jul 1918 - Jun 1920
33.48%
609 out of 1819
2 Years Annualized Rolling Returns
Timeframes ending in every month

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2 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 3 Years (36 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.33% +17.24%
Mar 1980 - Feb 1983
-1.26%
Jul 2020 - Jun 2023
1.44%
26 out of 1807
US Inflation Adjusted +2.14% +17.20%
Aug 1873 - Jul 1876
-12.29%
Feb 1917 - Jan 1920
30.38%
549 out of 1807
3 Years Annualized Rolling Returns
Timeframes ending in every month

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3 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 4 Years (48 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.39% +15.94%
Sep 1981 - Aug 1985
-0.23%
May 2020 - Apr 2024
0.17%
3 out of 1795
US Inflation Adjusted +1.97% +15.83%
Aug 1874 - Jul 1878
-13.24%
Jun 1916 - May 1920
30.19%
542 out of 1795
4 Years Annualized Rolling Returns
Timeframes ending in every month

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4 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 5 Years (60 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.33% +15.57%
Sep 1981 - Aug 1986
+0.32%
May 2013 - Apr 2018
0.00%
0 out of 1783
US Inflation Adjusted +1.93% +16.30%
Jun 1873 - May 1878
-11.10%
Jul 1915 - Jun 1920
28.88%
515 out of 1783
5 Years Annualized Rolling Returns
Timeframes ending in every month

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5 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 6 Years (72 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.36% +14.66%
Apr 1980 - Mar 1986
+0.33%
May 2012 - Apr 2018
0.00%
0 out of 1771
US Inflation Adjusted +1.89% +15.76%
Jan 1873 - Dec 1878
-8.80%
Jul 1914 - Jun 1920
27.22%
482 out of 1771
6 Years Annualized Rolling Returns
Timeframes ending in every month

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6 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 7 Years (84 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.36% +13.80%
Mar 1980 - Feb 1987
+0.39%
Oct 2011 - Sep 2018
0.00%
0 out of 1759
US Inflation Adjusted +1.89% +14.38%
May 1872 - Apr 1879
-7.07%
Jun 1913 - May 1920
26.09%
459 out of 1759
7 Years Annualized Rolling Returns
Timeframes ending in every month

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7 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 8 Years (96 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.38% +12.82%
Mar 1980 - Feb 1988
+0.45%
Nov 2014 - Oct 2022
0.00%
0 out of 1747
US Inflation Adjusted +1.84% +12.40%
Apr 1871 - Mar 1879
-5.91%
Jul 1912 - Jun 1920
25.93%
453 out of 1747
8 Years Annualized Rolling Returns
Timeframes ending in every month

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8 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 9 Years (108 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.43% +11.82%
Dec 1980 - Nov 1989
+0.46%
Nov 2013 - Oct 2022
0.00%
0 out of 1735
US Inflation Adjusted +1.92% +10.38%
Jun 1872 - May 1881
-5.89%
Jul 1911 - Jun 1920
27.49%
477 out of 1735
9 Years Annualized Rolling Returns
Timeframes ending in every month

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9 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 10 Years (120 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.41% +11.72%
Mar 1980 - Feb 1990
+0.45%
Nov 2012 - Oct 2022
0.00%
0 out of 1723
US Inflation Adjusted +1.99% +9.41%
Apr 1871 - Mar 1881
-4.88%
Jun 1941 - May 1951
26.18%
451 out of 1723
10 Years Annualized Rolling Returns
Timeframes ending in every month

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10 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 11 Years (132 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.42% +11.66%
Mar 1980 - Feb 1991
+0.44%
Nov 2011 - Oct 2022
0.00%
0 out of 1711
US Inflation Adjusted +1.87% +9.68%
Mar 1873 - Feb 1884
-4.51%
Dec 1940 - Nov 1951
25.31%
433 out of 1711
11 Years Annualized Rolling Returns
Timeframes ending in every month

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11 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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Annualized Rolling Returns - 12 Years (144 months)

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Median Best Worst Negative Periods
Annualized Rolling Return +4.41% +11.50%
Mar 1980 - Feb 1992
+0.48%
Nov 2010 - Oct 2022
0.00%
0 out of 1699
US Inflation Adjusted +1.89% +10.25%
Apr 1873 - Mar 1885
-4.35%
Jun 1939 - May 1951
22.72%
386 out of 1699
12 Years Annualized Rolling Returns
Timeframes ending in every month

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12 Years Annualized Rolling Returns
Annualized Rolling Return Distribution

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