10-year Treasury vs Harry Browne Permanent Portfolio Comparison

Period: January 1871 - November 2024 (~154 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
December 1994
4.40$
Final Capital
November 2024
5.06%
Yearly Return
6.83
Std Deviation
-23.19%
Max Drawdown
52months
Recovery Period
Harry Browne Permanent Portfolio
1.00$
Initial Capital
December 1994
7.61$
Final Capital
November 2024
7.00%
Yearly Return
6.63
Std Deviation
-15.92%
Max Drawdown
27months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1871
908.36$
Final Capital
November 2024
4.52%
Yearly Return
5.46
Std Deviation
-23.19%
Max Drawdown
52months
Recovery Period
Harry Browne Permanent Portfolio
1.00$
Initial Capital
January 1871
6265.47$
Final Capital
November 2024
5.84%
Yearly Return
5.81
Std Deviation
-30.61%
Max Drawdown
46months
Recovery Period

The 10-year Treasury Portfolio obtained a 5.06% compound annual return, with a 6.83% standard deviation, in the last 30 Years.

The Harry Browne Permanent Portfolio obtained a 7.00% compound annual return, with a 6.63% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1871 - 30 November 2024 (~154 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
10-year Treasury 1.66 1.02 4.44 5.50 -1.20 0.88 5.06 4.52
Permanent Portfolio
Harry Browne 		14.79 1.36 9.93 19.17 6.45 5.92 7.00 5.84
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

10-year Treasury Portfolio: an investment of 1$, since December 1994, now would be worth 4.40$, with a total return of 340.15% (5.06% annualized).

Harry Browne Permanent Portfolio: an investment of 1$, since December 1994, now would be worth 7.61$, with a total return of 660.62% (7.00% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1871, now would be worth 908.36$, with a total return of 90736.17% (4.52% annualized).

Harry Browne Permanent Portfolio: an investment of 1$, since January 1871, now would be worth 6265.47$, with a total return of 626446.81% (5.84% annualized).


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Metrics as of Nov 30, 2024

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

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1871 - 30 November 2024 (~154 years)
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10-year Treasury Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.50 19.17
Infl. Adjusted Return (%) 3.01 16.36
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -1.77
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -0.53
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 1
RISK INDICATORS
Standard Deviation (%) 7.46 5.48
Sharpe Ratio 0.04 2.55
Sortino Ratio 0.05 3.33
Ulcer Index 2.02 0.51
Ratio: Return / Standard Deviation 0.74 3.50
Ratio: Return / Deepest Drawdown 1.23 10.84
Metrics calculated over the period 1 December 2023 - 30 November 2024
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10-year Treasury Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) -1.20 6.45
Infl. Adjusted Return (%) -5.10 2.25
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -15.92
Start to Recovery (months) 52* 27
Longest Drawdown Depth (%) -23.19 -15.92
Start to Recovery (months) 52* 27
Longest Negative Period (months) 60* 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.76 8.59
Sharpe Ratio -0.45 0.48
Sortino Ratio -0.64 0.68
Ulcer Index 13.15 5.90
Ratio: Return / Standard Deviation -0.15 0.75
Ratio: Return / Deepest Drawdown -0.05 0.41
Metrics calculated over the period 1 December 2019 - 30 November 2024
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10-year Treasury Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 0.88 5.92
Infl. Adjusted Return (%) -1.96 2.93
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -15.92
Start to Recovery (months) 52* 27
Longest Drawdown Depth (%) -23.19 -15.92
Start to Recovery (months) 52* 27
Longest Negative Period (months) 111 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.67 7.31
Sharpe Ratio -0.10 0.59
Sortino Ratio -0.15 0.85
Ulcer Index 9.72 4.69
Ratio: Return / Standard Deviation 0.13 0.81
Ratio: Return / Deepest Drawdown 0.04 0.37
Metrics calculated over the period 1 December 2014 - 30 November 2024
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10-year Treasury Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.06 7.00
Infl. Adjusted Return (%) 2.49 4.37
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -15.92
Start to Recovery (months) 52* 27
Longest Drawdown Depth (%) -23.19 -15.92
Start to Recovery (months) 52* 27
Longest Negative Period (months) 126 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.83 6.63
Sharpe Ratio 0.41 0.71
Sortino Ratio 0.58 0.99
Ulcer Index 6.16 3.20
Ratio: Return / Standard Deviation 0.74 1.06
Ratio: Return / Deepest Drawdown 0.22 0.44
Metrics calculated over the period 1 December 1994 - 30 November 2024
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10-year Treasury Permanent Portfolio
Author Harry Browne
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 4.52 5.84
Infl. Adjusted Return (%) 2.35 3.65
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -30.61
Start to Recovery (months) 52* 46
Longest Drawdown Depth (%) -23.19 -14.17
Start to Recovery (months) 52* 53
Longest Negative Period (months) 126 80
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 5.81
Sharpe Ratio 0.10 0.32
Sortino Ratio 0.14 0.47
Ulcer Index 3.49 3.53
Ratio: Return / Standard Deviation 0.83 1.01
Ratio: Return / Deepest Drawdown 0.20 0.19
Metrics calculated over the period 1 January 1871 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1871 - 30 November 2024 (~154 years)

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10-year Treasury Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-15.92 27 Jan 2022
Mar 2024
-12.63 18 Mar 2008
Aug 2009
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.98 13 Aug 2016
Aug 2017
-6.90 10 Feb 1996
Nov 1996
-6.86 17 Oct 2012
Feb 2014
-6.73 15 Feb 2015
Apr 2016
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-5.68 7 Jun 2003
Dec 2003
-5.43 19 Sep 2000
Mar 2002
-5.34 4 Jul 1998
Oct 1998

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10-year Treasury Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-30.61 46 Sep 1929
Jun 1933
-23.19 52* Aug 2020
In progress
-15.92 27 Jan 2022
Mar 2024
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-14.17 53 Mar 1937
Jul 1941
-12.63 18 Mar 2008
Aug 2009
-11.68 21 Dec 1980
Aug 1982
-11.38 5 Feb 1980
Jun 1980
-11.15 10 Apr 1974
Jan 1975
-10.91 21 May 1969
Jan 1971
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-9.06 25 Sep 1968
Sep 1970