10-year Treasury vs Davide Pisicchio PISI Portfolio Comparison

Period: January 1871 - August 2024 (~154 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
September 1994
4.31$
Final Capital
August 2024
4.99%
Yearly Return
6.81
Std Deviation
-23.19%
Max Drawdown
49 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
September 1994
8.38$
Final Capital
August 2024
7.34%
Yearly Return
6.49
Std Deviation
-18.36%
Max Drawdown
31 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1871
918.02$
Final Capital
August 2024
4.54%
Yearly Return
5.46
Std Deviation
-23.19%
Max Drawdown
49 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
January 1871
11217.61$
Final Capital
August 2024
6.26%
Yearly Return
6.37
Std Deviation
-34.97%
Max Drawdown
68 months
Recovery Period

The 10-year Treasury Portfolio obtained a 4.99% compound annual return, with a 6.81% standard deviation, in the last 30 Years.

The Davide Pisicchio PISI Portfolio obtained a 7.34% compound annual return, with a 6.49% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1871 - 31 August 2024 (~154 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
10-year Treasury 2.74 1.35 4.85 5.89 -1.32 1.16 4.99 4.54
PISI Portfolio
Davide Pisicchio 		9.24 1.73 8.58 14.60 5.06 5.33 7.34 6.26
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

10-year Treasury Portfolio: an investment of 1$, since September 1994, now would be worth 4.31$, with a total return of 331.24% (4.99% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since September 1994, now would be worth 8.38$, with a total return of 737.73% (7.34% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1871, now would be worth 918.02$, with a total return of 91701.70% (4.54% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since January 1871, now would be worth 11217.61$, with a total return of 1121660.72% (6.26% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1871 - 31 August 2024 (~154 years)
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.89 14.60
Infl. Adjusted Return (%) 3.41 11.92
DRAWDOWN
Deepest Drawdown Depth (%) -5.01 -5.14
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -4.45 -5.14
Start to Recovery (months) 6 3
Longest Negative Period (months) 8 3
RISK INDICATORS
Standard Deviation (%) 8.66 9.54
Sharpe Ratio 0.06 0.97
Sortino Ratio 0.09 1.31
Ulcer Index 2.34 1.96
Ratio: Return / Standard Deviation 0.68 1.53
Ratio: Return / Deepest Drawdown 1.18 2.84
Metrics calculated over the period 1 September 2023 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) -1.32 5.06
Infl. Adjusted Return (%) -5.24 0.89
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Negative Period (months) 60* 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.60 9.06
Sharpe Ratio -0.45 0.32
Sortino Ratio -0.66 0.44
Ulcer Index 12.73 7.36
Ratio: Return / Standard Deviation -0.17 0.56
Ratio: Return / Deepest Drawdown -0.06 0.28
Metrics calculated over the period 1 September 2019 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 1.16 5.33
Infl. Adjusted Return (%) -1.61 2.45
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Negative Period (months) 111 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 7.23
Sharpe Ratio -0.04 0.54
Sortino Ratio -0.06 0.74
Ulcer Index 9.43 5.34
Ratio: Return / Standard Deviation 0.18 0.74
Ratio: Return / Deepest Drawdown 0.05 0.29
Metrics calculated over the period 1 September 2014 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.99 7.34
Infl. Adjusted Return (%) 2.42 4.71
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.81 6.49
Sharpe Ratio 0.40 0.78
Sortino Ratio 0.57 1.06
Ulcer Index 6.01 3.47
Ratio: Return / Standard Deviation 0.73 1.13
Ratio: Return / Deepest Drawdown 0.22 0.40
Metrics calculated over the period 1 September 1994 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.54 6.26
Infl. Adjusted Return (%) 2.37 4.05
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -34.97
Start to Recovery (months) 49* 68
Longest Drawdown Depth (%) -23.19 -34.97
Start to Recovery (months) 49* 68
Longest Negative Period (months) 126 80
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 6.37
Sharpe Ratio 0.10 0.35
Sortino Ratio 0.15 0.51
Ulcer Index 3.44 4.22
Ratio: Return / Standard Deviation 0.83 0.98
Ratio: Return / Deepest Drawdown 0.20 0.18
Metrics calculated over the period 1 January 1871 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1871 - 31 August 2024 (~154 years)

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10-year Treasury PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 49* Aug 2020
In progress
-18.36 31 Jan 2022
Jul 2024
-11.84 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
-6.90 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
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.30 3 Jul 1998
Sep 1998

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10-year Treasury PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.97 68 Sep 1929
Apr 1935
-23.19 49* Aug 2020
In progress
-18.36 31 Jan 2022
Jul 2024
-16.23 32 Mar 1937
Oct 1939
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-12.51 12 Mar 1974
Feb 1975
-12.33 24 Dec 1968
Nov 1970
-12.30 35 Apr 1876
Feb 1879
-11.84 18 Mar 2008
Aug 2009
-11.13 26 Oct 1906
Nov 1908
-11.04 12 Dec 1980
Nov 1981
-10.87 11 Mar 1987
Jan 1988
-10.38 4 Feb 1980
May 1980
-10.14 19 Nov 1993
May 1995