10-year Treasury vs Fulvio Marchese In Saecula Saeculorum 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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
December 1994
10.94$
Final Capital
November 2024
8.30%
Yearly Return
7.84
Std Deviation
-20.39%
Max Drawdown
25months
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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
January 1871
34543.82$
Final Capital
November 2024
7.03%
Yearly Return
8.07
Std Deviation
-50.22%
Max Drawdown
75months
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 Fulvio Marchese In Saecula Saeculorum Portfolio obtained a 8.30% compound annual return, with a 7.84% 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
In Saecula Saeculorum
Fulvio Marchese 		16.55 3.28 10.93 21.41 8.23 7.47 8.30 7.03
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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since December 1994, now would be worth 10.94$, with a total return of 993.97% (8.30% 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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since January 1871, now would be worth 34543.82$, with a total return of 3454281.63% (7.03% 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 In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.50 21.41
Infl. Adjusted Return (%) 3.01 18.55
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.83
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -2.83
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 2
RISK INDICATORS
Standard Deviation (%) 7.46 6.49
Sharpe Ratio 0.04 2.49
Sortino Ratio 0.05 3.02
Ulcer Index 2.02 0.83
Ratio: Return / Standard Deviation 0.74 3.30
Ratio: Return / Deepest Drawdown 1.23 7.56
Metrics calculated over the period 1 December 2023 - 30 November 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) -1.20 8.23
Infl. Adjusted Return (%) -5.10 3.95
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 52* 26
Longest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 52* 26
Longest Negative Period (months) 60* 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.76 10.67
Sharpe Ratio -0.45 0.56
Sortino Ratio -0.64 0.74
Ulcer Index 13.15 6.91
Ratio: Return / Standard Deviation -0.15 0.77
Ratio: Return / Deepest Drawdown -0.05 0.44
Metrics calculated over the period 1 December 2019 - 30 November 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 0.88 7.47
Infl. Adjusted Return (%) -1.96 4.44
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 52* 26
Longest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 52* 26
Longest Negative Period (months) 111 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.67 8.56
Sharpe Ratio -0.10 0.69
Sortino Ratio -0.15 0.93
Ulcer Index 9.72 5.06
Ratio: Return / Standard Deviation 0.13 0.87
Ratio: Return / Deepest Drawdown 0.04 0.40
Metrics calculated over the period 1 December 2014 - 30 November 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.06 8.30
Infl. Adjusted Return (%) 2.49 5.65
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -20.39
Start to Recovery (months) 52* 25
Longest Drawdown Depth (%) -23.19 -10.13
Start to Recovery (months) 52* 33
Longest Negative Period (months) 126 43
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.83 7.84
Sharpe Ratio 0.41 0.77
Sortino Ratio 0.58 1.01
Ulcer Index 6.16 4.43
Ratio: Return / Standard Deviation 0.74 1.06
Ratio: Return / Deepest Drawdown 0.22 0.41
Metrics calculated over the period 1 December 1994 - 30 November 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.52 7.03
Infl. Adjusted Return (%) 2.35 4.80
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -50.22
Start to Recovery (months) 52* 75
Longest Drawdown Depth (%) -23.19 -50.22
Start to Recovery (months) 52* 75
Longest Negative Period (months) 126 105
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 8.07
Sharpe Ratio 0.10 0.37
Sortino Ratio 0.14 0.52
Ulcer Index 3.49 6.47
Ratio: Return / Standard Deviation 0.83 0.87
Ratio: Return / Deepest Drawdown 0.20 0.14
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 In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-10.13 33 Sep 2000
May 2003
-9.34 23 Oct 1998
Aug 2000
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-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
-5.64 6 Sep 2018
Feb 2019
-4.85 7 Apr 2004
Oct 2004

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10-year Treasury In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-50.22 75 Sep 1929
Nov 1935
-24.35 71 Mar 1937
Jan 1943
-23.19 52* Aug 2020
In progress
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-17.26 14 Mar 1974
Apr 1975
-15.82 33 Apr 1876
Dec 1878
-15.76 11 Jul 1979
May 1980
-15.41 26 Dec 1968
Jan 1971
-14.57 17 Jul 1980
Nov 1981
-13.99 23 Oct 1906
Aug 1908
-13.51 17 Sep 1987
Jan 1989
-12.36 27 Feb 1893
Apr 1895
-11.74 25 Oct 1902
Oct 1904
-11.22 21 Dec 1980
Aug 1982