10-year Treasury vs Stocks/Bonds 20/80 Portfolio Comparison

Period: January 1871 - September 2024 (~154 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
Stocks/Bonds 20/80 Portfolio
1.00$
Initial Capital
October 1994
5.74$
Final Capital
September 2024
6.00%
Yearly Return
4.92
Std Deviation
-16.57%
Max Drawdown
33 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1871
930.71$
Final Capital
September 2024
4.55%
Yearly Return
5.46
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Stocks/Bonds 20/80 Portfolio
1.00$
Initial Capital
January 1871
5083.93$
Final Capital
September 2024
5.71%
Yearly Return
5.12
Std Deviation
-18.94%
Max Drawdown
36 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 Stocks/Bonds 20/80 Portfolio obtained a 6.00% compound annual return, with a 4.92% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1871 - 30 September 2024 (~154 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 4.55
Stocks/Bonds 20/80 7.79 1.48 6.26 16.24 3.37 4.08 6.00 5.71
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).

Stocks/Bonds 20/80 Portfolio: an investment of 1$, since October 1994, now would be worth 5.74$, with a total return of 474.10% (6.00% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1871, now would be worth 930.71$, with a total return of 92970.84% (4.55% annualized).

Stocks/Bonds 20/80 Portfolio: an investment of 1$, since January 1871, now would be worth 5083.93$, with a total return of 508292.63% (5.71% 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 1871 - 30 September 2024 (~154 years)
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10-year Treasury Stocks/Bonds 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 16.24
Infl. Adjusted Return (%) 8.23 13.51
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.83
Start to Recovery (months) 6 3
Longest Drawdown Depth (%) -4.45 -2.83
Start to Recovery (months) 6 3
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.80 7.57
Sharpe Ratio 0.70 1.44
Sortino Ratio 0.95 2.01
Ulcer Index 1.75 0.94
Ratio: Return / Standard Deviation 1.39 2.14
Ratio: Return / Deepest Drawdown 2.43 5.74
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Stocks/Bonds 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -0.82 3.37
Infl. Adjusted Return (%) -4.80 -0.77
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.57
Start to Recovery (months) 50* 33
Longest Drawdown Depth (%) -23.19 -16.57
Start to Recovery (months) 50* 33
Longest Negative Period (months) 60* 49
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 7.79
Sharpe Ratio -0.39 0.15
Sortino Ratio -0.57 0.21
Ulcer Index 12.84 7.33
Ratio: Return / Standard Deviation -0.11 0.43
Ratio: Return / Deepest Drawdown -0.04 0.20
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Stocks/Bonds 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.41 4.08
Infl. Adjusted Return (%) -1.41 1.19
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.57
Start to Recovery (months) 50* 33
Longest Drawdown Depth (%) -23.19 -16.57
Start to Recovery (months) 50* 33
Longest Negative Period (months) 111 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 5.98
Sharpe Ratio -0.01 0.43
Sortino Ratio -0.02 0.59
Ulcer Index 9.51 5.24
Ratio: Return / Standard Deviation 0.21 0.68
Ratio: Return / Deepest Drawdown 0.06 0.25
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Stocks/Bonds 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.12 6.00
Infl. Adjusted Return (%) 2.54 3.40
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.57
Start to Recovery (months) 50* 33
Longest Drawdown Depth (%) -23.19 -16.57
Start to Recovery (months) 50* 33
Longest Negative Period (months) 126 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 4.92
Sharpe Ratio 0.42 0.75
Sortino Ratio 0.60 1.01
Ulcer Index 6.05 3.20
Ratio: Return / Standard Deviation 0.75 1.22
Ratio: Return / Deepest Drawdown 0.22 0.36
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Stocks/Bonds 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.55 5.71
Infl. Adjusted Return (%) 2.37 3.51
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.94
Start to Recovery (months) 50* 36
Longest Drawdown Depth (%) -23.19 -18.94
Start to Recovery (months) 50* 36
Longest Negative Period (months) 126 61
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 5.12
Sharpe Ratio 0.10 0.33
Sortino Ratio 0.15 0.48
Ulcer Index 3.45 2.56
Ratio: Return / Standard Deviation 0.83 1.12
Ratio: Return / Deepest Drawdown 0.20 0.30
Metrics calculated over the period 1 January 1871 - 30 September 2024

Drawdowns

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

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10-year Treasury Stocks/Bonds 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-16.57 33 Jan 2022
Sep 2024
-9.34 23 Oct 1998
Aug 2000
-8.42 15 May 2008
Jul 2009
-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
-4.25 12 Feb 2015
Jan 2016
-4.15 8 Apr 2008
Nov 2008
-4.13 5 Oct 2002
Feb 2003

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10-year Treasury Stocks/Bonds 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-18.94 36 Jun 1930
May 1933
-16.57 33 Jan 2022
Sep 2024
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-10.14 20 Mar 1937
Oct 1938
-9.55 19 Jul 1895
Jan 1897
-9.34 23 Oct 1998
Aug 2000
-9.06 25 Sep 1968
Sep 1970
-8.42 15 May 2008
Jul 2009
-8.25 27 Sep 1968
Nov 1970
-7.99 7 Feb 1984
Aug 1984
-7.96 15 Nov 1973
Jan 1975

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 1871 - 30 September 2024 (~154 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 Stocks/Bonds 20/80
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 7.79% -2.83%
2023
 3.65% -8.82% 9.53% -5.62%
2022
 -15.19% -16.91% -14.39% -16.57%
2021
 -3.33% -5.73% 3.64% -1.82%
2020
 10.01% -2.02% 10.38% -3.92%
2019
 8.03% -2.59% 13.20% -0.07%
2018
 0.99% -3.19% -1.13% -2.67%
2017
 2.55% -1.90% 7.10% -0.02%
2016
 1.00% -6.50% 4.58% -2.40%
2015
 1.51% -4.25% 0.52% -1.90%
2014
 9.07% -1.05% 7.16% -0.89%
2013
 -6.09% -7.60% 5.01% -2.56%
2012
 3.66% -2.67% 5.82% -0.62%
2011
 15.64% -1.29% 6.53% -0.88%
2010
 9.37% -4.30% 8.44% -0.76%
2009
 -6.59% -6.65% 8.69% -5.67%
2008
 17.91% -4.15% -1.91% -8.42%
2007
 10.37% -1.85% 6.61% -0.76%
2006
 2.52% -2.87% 6.55% -1.09%
2005
 2.64% -3.19% 3.18% -1.84%
2004
 4.12% -4.85% 5.95% -2.58%
2003
 5.29% -5.68% 9.33% -2.13%
2002
 15.45% -4.13% 2.51% -2.13%
2001
 5.40% -5.21% 4.55% -1.99%
2000
 17.28% -1.12% 7.00% -2.23%
1999
 -7.83% -8.11% 4.16% -2.17%
1998
 14.64% -1.61% 11.52% -2.15%
1997
 11.97% -2.02% 13.75% -1.70%
1996
 0.00% -6.90% 7.06% -1.44%
1995
 25.55% -1.23% 21.70% 0.00%
1994
 -7.19% -9.56% -2.16% -5.50%
1993
 12.97% -2.55% 9.87% -1.10%
1992
 7.23% -4.02% 7.53% -1.25%
1991
 18.91% -0.54% 18.68% -1.05%
1990
 7.70% -4.48% 5.70% -3.09%
1989
 17.84% -2.30% 16.54% -0.87%
1988
 6.90% -4.60% 9.35% -2.17%
1987
 -2.64% -10.87% 1.75% -6.14%
1986
 21.35% -3.93% 15.00% -3.14%
1985
 29.85% -3.33% 24.05% -1.20%
1984
 14.87% -7.99% 12.45% -5.25%
1983
 2.30% -6.29% 8.71% -2.55%
1982
 39.57% -2.66% 29.01% -2.01%
1981
 5.28% -7.42% 6.70% -4.80%
1980
 -1.29% -11.52% 8.94% -7.35%
1979
 1.83% -8.62% 9.13% -6.01%
1978
 -0.74% -2.31% 2.61% -3.91%
1977
 0.53% -3.55% 0.16% -3.03%
1976
 15.29% -1.33% 16.30% -1.12%
1975
 5.52% -4.42% 13.45% -3.39%
1974
 4.05% -3.79% -1.00% -7.35%
1973
 3.29% -3.40% -0.06% -4.25%
1972
 2.35% -2.01% 5.70% -0.85%
1971
 11.24% -7.34% 11.12% -6.85%
1970
 18.93% -5.54% 14.75% -7.32%
1969
 -5.63% -7.29% -3.75% -6.02%
1968
 6.26% -3.63% 5.00% -3.25%
1967
 -3.08% -5.97% 5.05% -2.41%
1966
 5.46% -3.03% 2.23% -5.06%
1965
 0.72% -1.64% 3.42% -0.76%
1964
 3.65% -0.06% 6.40% -0.13%
1963
 1.64% -0.38% 5.54% -0.77%
1962
 5.83% -0.48% 2.64% -4.17%
1961
 2.10% -1.70% 6.45% -1.47%
1960
 11.66% -0.41% 10.61% -1.16%
1959
 -1.12% -3.37% 1.20% -2.43%
1958
 -2.10% -5.86% 6.71% -1.94%
1957
 5.92% -3.36% 4.87% -2.64%
1956
 -2.68% -3.65% 0.46% -2.85%
1955
 -1.13% -2.16% 4.53% -0.46%
1954
 3.13% -0.84% 12.38% -1.01%
1953
 2.19% -3.70% 3.04% -3.52%
1952
 1.89% -1.78% 4.52% -1.67%
1951
 -0.56% -2.77% 4.19% -2.28%
1950
 -1.39% -1.65% 5.97% -1.39%
1949
 4.92% -0.12% 7.50% -0.52%
1948
 2.72% -0.72% 2.55% -2.14%
1947
 -1.38% -2.99% 0.41% -2.01%
1946
 0.36% -1.88% -0.68% -5.01%
1945
 5.77% -0.94% 11.74% -0.47%
1944
 2.27% 0.00% 6.06% -0.20%
1943
 1.98% -0.10% 7.56% -1.84%
1942
 1.78% -0.45% 4.38% -2.52%
1941
 2.73% -1.73% -0.23% -3.96%
1940
 6.10% -1.80% 2.01% -6.24%
1939
 4.02% -4.74% 2.95% -2.25%
1938
 4.38% -0.49% 9.18% -5.26%
1937
 1.27% -2.41% -5.47% -7.37%
1936
 5.37% -0.04% 10.35% -1.34%
1935
 4.30% -1.07% 12.39% -0.51%
1934
 7.94% -1.90% 6.29% -2.22%
1933
 1.81% -2.00% 13.83% -4.78%
1932
 8.90% -2.36% 8.09% -5.48%
1931
 -2.56% -4.95% -10.48% -13.55%
1930
 4.57% -0.39% 0.53% -4.69%
1929
 4.44% -1.50% 1.14% -5.50%
1928
 0.97% -1.23% 6.99% -1.64%
1927
 6.82% 0.00% 10.90% -0.83%
1926
 5.82% 0.00% 6.06% -1.10%
1925
 5.31% -0.17% 7.69% -1.29%
1924
 7.49% -0.16% 11.71% -0.11%
1923
 4.19% -0.04% 4.04% -1.81%
1922
 5.64% -0.73% 10.22% -1.08%
1921
 13.13% 0.00% 12.53% -1.28%
1920
 1.43% -3.24% -2.63% -4.36%
1919
 2.57% -0.68% 5.70% -1.88%
1918
 4.60% -1.27% 7.31% -0.63%
1917
 -2.28% -4.06% -5.08% -5.08%
1916
 3.78% -0.86% 4.53% -0.64%
1915
 4.51% -0.88% 11.23% -0.64%
1914
 1.79% -0.80% 4.10% -2.03%
1913
 1.68% -2.83% 2.14% -1.72%
1912
 4.01% -0.15% 2.68% -0.77%
1911
 1.86% -1.26% 3.97% -1.88%
1910
 2.84% -0.36% 2.66% -0.84%
1909
 -0.85% -2.48% 4.37% -0.57%
1908
 5.53% -0.75% 17.01% -0.21%
1907
 -6.38% -7.33% -5.10% -5.87%
1906
 3.21% -1.01% 0.70% -2.35%
1905
 2.69% -2.49% 4.77% -1.63%
1904
 0.53% -0.68% 11.09% -0.64%
1903
 2.04% -1.21% -1.70% -4.31%
1902
 -0.08% -4.81% 2.43% -3.06%
1901
 4.10% -0.79% 5.34% -2.36%
1900
 6.14% -1.37% 7.24% -1.40%
1899
 7.64% -0.37% 0.41% -2.47%
1898
 2.65% -6.31% 9.58% -5.44%
1897
 11.31% -0.69% 8.74% -0.88%
1896
 2.95% -4.43% 3.90% -5.00%
1895
 7.80% -4.07% 1.03% -5.16%
1894
 4.33% -0.91% 5.59% -0.91%
1893
 3.79% -2.27% 0.02% -6.08%
1892
 0.66% -1.54% 2.91% -0.95%
1891
 -0.82% -3.77% 8.10% -2.84%
1890
 -0.41% -2.94% -0.25% -3.07%
1889
 2.36% -0.75% 3.40% -0.84%
1888
 5.24% -1.11% 5.05% -1.53%
1887
 0.62% -2.47% 1.03% -2.94%
1886
 7.20% -0.14% 2.99% -1.38%
1885
 4.15% -0.70% 10.27% -0.77%
1884
 2.46% -2.98% 0.67% -4.87%
1883
 6.44% -0.71% 2.34% -1.36%
1882
 5.46% -0.63% 3.20% -1.50%
1881
 8.87% -1.40% 2.83% -3.42%
1880
 12.45% -0.82% 9.52% -1.43%
1879
 7.32% -0.63% 12.21% -0.58%
1878
 2.37% -1.30% 8.43% -0.12%
1877
 -2.01% -3.27% 2.70% -2.64%
1876
 -2.30% -4.98% 2.91% -3.66%
1875
 4.92% -3.56% 6.26% -2.56%
1874
 6.58% -3.03% 11.91% -1.89%
1873
 5.59% -5.41% 2.89% -7.49%
1872
 6.04% -2.60% 3.68% -3.22%
1871
 10.11% -1.22% 5.34% -1.82%