10-year Treasury vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Period: January 1982 - September 2024 (~43 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 40/60 Momentum Portfolio
1.00$
Initial Capital
October 1994
11.33$
Final Capital
September 2024
8.43%
Yearly Return
7.03
Std Deviation
-21.11%
Max Drawdown
35 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1982
20.35$
Final Capital
September 2024
7.30%
Yearly Return
7.51
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
January 1982
54.73$
Final Capital
September 2024
9.81%
Yearly Return
7.44
Std Deviation
-21.11%
Max Drawdown
35 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 40/60 Momentum Portfolio obtained a 8.43% compound annual return, with a 7.03% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 30 September 2024 (~43 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 7.30
Stocks/Bonds 40/60 Momentum 14.66 2.05 6.77 24.94 5.31 6.59 8.43 9.81
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 40/60 Momentum Portfolio: an investment of 1$, since October 1994, now would be worth 11.33$, with a total return of 1033.08% (8.43% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1982, now would be worth 20.35$, with a total return of 1934.96% (7.30% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 54.73$, with a total return of 5372.93% (9.81% 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 1982 - 30 September 2024 (~43 years)
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 24.94
Infl. Adjusted Return (%) 8.43 22.22
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -3.77
Start to Recovery (months) 6 3
Longest Drawdown Depth (%) -4.45 -3.77
Start to Recovery (months) 6 3
Longest Negative Period (months) 6 2
RISK INDICATORS
Standard Deviation (%) 7.80 8.71
Sharpe Ratio 0.70 2.25
Sortino Ratio 0.95 2.87
Ulcer Index 1.75 1.14
Ratio: Return / Standard Deviation 1.39 2.86
Ratio: Return / Deepest Drawdown 2.43 6.62
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -0.82 5.31
Infl. Adjusted Return (%) -4.76 1.13
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Negative Period (months) 60* 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 10.06
Sharpe Ratio -0.39 0.31
Sortino Ratio -0.57 0.42
Ulcer Index 12.84 10.18
Ratio: Return / Standard Deviation -0.11 0.53
Ratio: Return / Deepest Drawdown -0.04 0.25
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.41 6.59
Infl. Adjusted Return (%) -1.39 3.65
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Negative Period (months) 111 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 8.02
Sharpe Ratio -0.01 0.64
Sortino Ratio -0.02 0.84
Ulcer Index 9.51 7.31
Ratio: Return / Standard Deviation 0.21 0.82
Ratio: Return / Deepest Drawdown 0.06 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.12 8.43
Infl. Adjusted Return (%) 2.55 5.77
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Negative Period (months) 126 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 7.03
Sharpe Ratio 0.42 0.87
Sortino Ratio 0.60 1.14
Ulcer Index 6.05 5.25
Ratio: Return / Standard Deviation 0.75 1.20
Ratio: Return / Deepest Drawdown 0.22 0.40
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 7.30 9.81
Infl. Adjusted Return (%) 4.32 6.76
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 50* 35
Longest Negative Period (months) 126 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.51 7.44
Sharpe Ratio 0.49 0.84
Sortino Ratio 0.72 1.12
Ulcer Index 5.40 4.69
Ratio: Return / Standard Deviation 0.97 1.32
Ratio: Return / Deepest Drawdown 0.31 0.46
Metrics calculated over the period 1 January 1982 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1982 - 30 September 2024 (~43 years)

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10-year Treasury Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-9.34 23 Oct 1998
Aug 2000
-8.48 28 Feb 2001
May 2003
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-7.10 4 Feb 2020
May 2020
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-5.89 6 Oct 2018
Mar 2019
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011

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10-year Treasury Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-13.77 19 Sep 1987
Mar 1989
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-8.48 28 Feb 2001
May 2003
-7.99 7 Feb 1984
Aug 1984
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-7.10 4 Feb 2020
May 2020
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002

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 1982 - 30 September 2024 (~43 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 40/60 Momentum
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 14.66% -3.77%
2023
 3.65% -8.82% 6.90% -5.19%
2022
 -15.19% -16.91% -15.17% -19.48%
2021
 -3.33% -5.73% 4.23% -2.38%
2020
 10.01% -2.02% 16.57% -7.10%
2019
 8.03% -2.59% 16.20% -0.81%
2018
 0.99% -3.19% -0.73% -5.89%
2017
 2.55% -1.90% 17.14% 0.00%
2016
 1.00% -6.50% 3.51% -3.61%
2015
 1.51% -4.25% 3.91% -2.95%
2014
 9.07% -1.05% 9.34% -1.49%
2013
 -6.09% -7.60% 12.57% -1.74%
2012
 3.66% -2.67% 7.87% -2.05%
2011
 15.64% -1.29% 7.13% -3.62%
2010
 9.37% -4.30% 10.93% -3.48%
2009
 -6.59% -6.65% 9.16% -9.41%
2008
 17.91% -4.15% -12.27% -15.80%
2007
 10.37% -1.85% 11.21% -0.82%
2006
 2.52% -2.87% 6.78% -1.50%
2005
 2.64% -3.19% 9.09% -0.93%
2004
 4.12% -4.85% 9.22% -2.12%
2003
 5.29% -5.68% 12.78% -1.27%
2002
 15.45% -4.13% 0.04% -5.36%
2001
 5.40% -5.21% -1.88% -6.89%
2000
 17.28% -1.12% 2.99% -3.33%
1999
 -7.83% -8.11% 15.71% -1.69%
1998
 14.64% -1.61% 24.65% -4.13%
1997
 11.97% -2.02% 20.41% -2.69%
1996
 0.00% -6.90% 14.08% -1.52%
1995
 25.55% -1.23% 27.84% 0.00%
1994
 -7.19% -9.56% -2.03% -5.91%
1993
 12.97% -2.55% 11.10% -0.87%
1992
 7.23% -4.02% 6.01% -2.11%
1991
 18.91% -0.54% 23.91% -1.79%
1990
 7.70% -4.48% 5.79% -5.29%
1989
 17.84% -2.30% 25.29% -1.01%
1988
 6.90% -4.60% 7.24% -2.95%
1987
 -2.64% -10.87% 1.86% -13.77%
1986
 21.35% -3.93% 18.14% -4.37%
1985
 29.85% -3.33% 26.30% -0.74%
1984
 14.87% -7.99% 8.68% -6.28%
1983
 2.30% -6.29% 9.91% -2.81%
1982
 39.57% -2.66% 30.86% -1.48%