10-year Treasury vs DFA Dimensional Retirement Income Fund Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
October 1994
4.48$
Final Capital
September 2024
5.12%
Yearly Return
6.79
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
October 1994
5.32$
Final Capital
September 2024
5.73%
Yearly Return
4.71
Std Deviation
-12.91%
Max Drawdown
16 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1985
12.41$
Final Capital
September 2024
6.54%
Yearly Return
7.22
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
DFA Dimensional Retirement Income Fund Portfolio
1.00$
Initial Capital
January 1985
14.85$
Final Capital
September 2024
7.02%
Yearly Return
5.12
Std Deviation
-12.91%
Max Drawdown
16 months
Recovery Period

The 10-year Treasury Portfolio obtained a 5.12% compound annual return, with a 6.79% standard deviation, in the last 30 Years.

The DFA Dimensional Retirement Income Fund Portfolio obtained a 5.73% compound annual return, with a 4.71% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 6.54
Dimensional Retirement Income Fund
DFA 		6.81 0.74 4.56 12.06 4.47 3.85 5.73 7.02
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

10-year Treasury Portfolio: an investment of 1$, since October 1994, now would be worth 4.48$, with a total return of 347.83% (5.12% annualized).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since October 1994, now would be worth 5.32$, with a total return of 431.88% (5.73% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1985, now would be worth 12.41$, with a total return of 1140.72% (6.54% annualized).

DFA Dimensional Retirement Income Fund Portfolio: an investment of 1$, since January 1985, now would be worth 14.85$, with a total return of 1384.94% (7.02% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)
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10-year Treasury Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 0% 20.4%
Fixed Income 100% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 12.06
Infl. Adjusted Return (%) 8.43 9.62
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -1.33
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -0.83
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 2
RISK INDICATORS
Standard Deviation (%) 7.80 4.24
Sharpe Ratio 0.70 1.58
Sortino Ratio 0.95 2.23
Ulcer Index 1.75 0.44
Ratio: Return / Standard Deviation 1.39 2.85
Ratio: Return / Deepest Drawdown 2.43 9.07
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 0% 20.4%
Fixed Income 100% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -0.82 4.47
Infl. Adjusted Return (%) -4.76 0.32
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.16
Start to Recovery (months) 50* 29
Longest Drawdown Depth (%) -23.19 -12.16
Start to Recovery (months) 50* 29
Longest Negative Period (months) 60* 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 6.10
Sharpe Ratio -0.39 0.38
Sortino Ratio -0.57 0.49
Ulcer Index 12.84 4.28
Ratio: Return / Standard Deviation -0.11 0.73
Ratio: Return / Deepest Drawdown -0.04 0.37
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 0% 20.4%
Fixed Income 100% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.41 3.85
Infl. Adjusted Return (%) -1.39 0.98
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.16
Start to Recovery (months) 50* 29
Longest Drawdown Depth (%) -23.19 -12.16
Start to Recovery (months) 50* 29
Longest Negative Period (months) 111 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 4.85
Sharpe Ratio -0.01 0.49
Sortino Ratio -0.02 0.64
Ulcer Index 9.51 3.15
Ratio: Return / Standard Deviation 0.21 0.79
Ratio: Return / Deepest Drawdown 0.06 0.32
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 0% 20.4%
Fixed Income 100% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.12 5.73
Infl. Adjusted Return (%) 2.55 3.14
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.91
Start to Recovery (months) 50* 16
Longest Drawdown Depth (%) -23.19 -12.16
Start to Recovery (months) 50* 29
Longest Negative Period (months) 126 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 4.71
Sharpe Ratio 0.42 0.73
Sortino Ratio 0.60 0.95
Ulcer Index 6.05 2.47
Ratio: Return / Standard Deviation 0.75 1.22
Ratio: Return / Deepest Drawdown 0.22 0.44
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Dimensional Retirement Income Fund
Author DFA
ASSET ALLOCATION
Stocks 0% 20.4%
Fixed Income 100% 79.6%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 6.54 7.02
Infl. Adjusted Return (%) 3.66 4.13
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.91
Start to Recovery (months) 50* 16
Longest Drawdown Depth (%) -23.19 -12.16
Start to Recovery (months) 50* 29
Longest Negative Period (months) 126 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 5.12
Sharpe Ratio 0.47 0.76
Sortino Ratio 0.68 1.03
Ulcer Index 5.55 2.35
Ratio: Return / Standard Deviation 0.91 1.37
Ratio: Return / Deepest Drawdown 0.28 0.54
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)

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10-year Treasury Dimensional Retirement Income Fund
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-12.91 16 Jun 2008
Sep 2009
-12.16 29 Jan 2022
May 2024
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011
-4.64 5 Feb 2020
Jun 2020
-4.34 10 May 2013
Feb 2014
-4.25 12 Feb 2015
Jan 2016

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10-year Treasury Dimensional Retirement Income Fund
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-12.91 16 Jun 2008
Sep 2009
-12.16 29 Jan 2022
May 2024
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.09 15 Feb 1994
Apr 1995
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.85 5 Sep 1987
Jan 1988

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1985 - 30 September 2024 (~40 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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10-year Treasury Dimensional Retirement Income Fund
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 6.81% -1.33%
2023
 3.65% -8.82% 7.92% -3.32%
2022
 -15.19% -16.91% -9.39% -12.16%
2021
 -3.33% -5.73% 7.04% -1.33%
2020
 10.01% -2.02% 8.69% -4.64%
2019
 8.03% -2.59% 10.30% -0.66%
2018
 0.99% -3.19% -1.96% -3.15%
2017
 2.55% -1.90% 6.78% -0.31%
2016
 1.00% -6.50% 4.66% -1.35%
2015
 1.51% -4.25% -0.87% -3.41%
2014
 9.07% -1.05% 2.89% -1.95%
2013
 -6.09% -7.60% 1.29% -4.34%
2012
 3.66% -2.67% 7.36% -1.03%
2011
 15.64% -1.29% 6.06% -2.88%
2010
 9.37% -4.30% 6.92% -1.91%
2009
 -6.59% -6.65% 12.97% -4.37%
2008
 17.91% -4.15% -7.45% -12.44%
2007
 10.37% -1.85% 9.18% -0.27%
2006
 2.52% -2.87% 5.72% -0.65%
2005
 2.64% -3.19% 4.07% -1.13%
2004
 4.12% -4.85% 7.31% -3.06%
2003
 5.29% -5.68% 11.38% -1.65%
2002
 15.45% -4.13% 5.44% -0.88%
2001
 5.40% -5.21% 2.76% -1.59%
2000
 17.28% -1.12% 7.94% -1.66%
1999
 -7.83% -8.11% 4.99% -1.82%
1998
 14.64% -1.61% 10.20% -2.01%
1997
 11.97% -2.02% 11.97% -2.13%
1996
 0.00% -6.90% 5.90% -1.57%
1995
 25.55% -1.23% 18.82% 0.00%
1994
 -7.19% -9.56% -2.17% -6.09%
1993
 12.97% -2.55% 13.67% -1.44%
1992
 7.23% -4.02% 5.89% -2.39%
1991
 18.91% -0.54% 18.32% -1.25%
1990
 7.70% -4.48% 4.76% -3.95%
1989
 17.84% -2.30% 16.98% -0.62%
1988
 6.90% -4.60% 9.77% -1.84%
1987
 -2.64% -10.87% 3.26% -4.85%
1986
 21.35% -3.93% 17.53% -2.86%
1985
 29.85% -3.33% 23.48% -1.24%