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

Simulation Settings
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
Stocks/Bonds 40/60 Portfolio
1.00$
Initial Capital
December 1994
8.69$
Final Capital
November 2024
7.47%
Yearly Return
7.01
Std Deviation
-19.17%
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
Stocks/Bonds 40/60 Portfolio
1.00$
Initial Capital
January 1871
24362.04$
Final Capital
November 2024
6.78%
Yearly Return
7.38
Std Deviation
-43.68%
Max Drawdown
73months
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 Stocks/Bonds 40/60 Portfolio obtained a 7.47% compound annual return, with a 7.01% 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
Stocks/Bonds 40/60 12.95 3.54 9.44 17.83 6.21 6.18 7.47 6.78
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).

Stocks/Bonds 40/60 Portfolio: an investment of 1$, since December 1994, now would be worth 8.69$, with a total return of 769.05% (7.47% 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).

Stocks/Bonds 40/60 Portfolio: an investment of 1$, since January 1871, now would be worth 24362.04$, with a total return of 2436103.55% (6.78% 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 Stocks/Bonds 40/60
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.50 17.83
Infl. Adjusted Return (%) 3.01 15.05
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -3.23
Start to Recovery (months) 6 3
Longest Drawdown Depth (%) -4.45 -3.23
Start to Recovery (months) 6 3
Longest Negative Period (months) 6 3
RISK INDICATORS
Standard Deviation (%) 7.46 7.00
Sharpe Ratio 0.04 1.80
Sortino Ratio 0.05 2.22
Ulcer Index 2.02 1.02
Ratio: Return / Standard Deviation 0.74 2.55
Ratio: Return / Deepest Drawdown 1.23 5.52
Metrics calculated over the period 1 December 2023 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -1.20 6.21
Infl. Adjusted Return (%) -5.10 2.01
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.63
Start to Recovery (months) 52* 30
Longest Drawdown Depth (%) -23.19 -18.63
Start to Recovery (months) 52* 30
Longest Negative Period (months) 60* 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.76 10.11
Sharpe Ratio -0.45 0.39
Sortino Ratio -0.64 0.52
Ulcer Index 13.15 7.44
Ratio: Return / Standard Deviation -0.15 0.61
Ratio: Return / Deepest Drawdown -0.05 0.33
Metrics calculated over the period 1 December 2019 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 0.88 6.18
Infl. Adjusted Return (%) -1.96 3.19
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.63
Start to Recovery (months) 52* 30
Longest Drawdown Depth (%) -23.19 -18.63
Start to Recovery (months) 52* 30
Longest Negative Period (months) 111 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.67 7.96
Sharpe Ratio -0.10 0.58
Sortino Ratio -0.15 0.78
Ulcer Index 9.72 5.38
Ratio: Return / Standard Deviation 0.13 0.78
Ratio: Return / Deepest Drawdown 0.04 0.33
Metrics calculated over the period 1 December 2014 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.06 7.47
Infl. Adjusted Return (%) 2.49 4.84
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -19.17
Start to Recovery (months) 52* 25
Longest Drawdown Depth (%) -23.19 -8.59
Start to Recovery (months) 52* 33
Longest Negative Period (months) 126 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.83 7.01
Sharpe Ratio 0.41 0.74
Sortino Ratio 0.58 0.97
Ulcer Index 6.16 4.20
Ratio: Return / Standard Deviation 0.74 1.07
Ratio: Return / Deepest Drawdown 0.22 0.39
Metrics calculated over the period 1 December 1994 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.52 6.78
Infl. Adjusted Return (%) 2.35 4.57
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -43.68
Start to Recovery (months) 52* 73
Longest Drawdown Depth (%) -23.19 -43.68
Start to Recovery (months) 52* 73
Longest Negative Period (months) 126 85
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 7.38
Sharpe Ratio 0.10 0.38
Sortino Ratio 0.14 0.53
Ulcer Index 3.49 5.45
Ratio: Return / Standard Deviation 0.83 0.92
Ratio: Return / Deepest Drawdown 0.20 0.16
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 Stocks/Bonds 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-19.17 25 Nov 2007
Nov 2009
-18.63 30 Jan 2022
Jun 2024
-9.34 23 Oct 1998
Aug 2000
-8.59 33 Sep 2000
May 2003
-8.09 4 Feb 2020
May 2020
-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
-6.25 5 Jul 1998
Nov 1998
-5.68 7 Jun 2003
Dec 2003
-5.36 7 Sep 2018
Mar 2019
-4.85 7 Apr 2004
Oct 2004

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10-year Treasury Stocks/Bonds 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 73 Sep 1929
Sep 1935
-23.19 52* Aug 2020
In progress
-21.33 53 Mar 1937
Jul 1941
-19.17 25 Nov 2007
Nov 2009
-18.63 30 Jan 2022
Jun 2024
-17.04 29 Jan 1973
May 1975
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-13.08 14 Sep 1987
Oct 1988
-12.84 24 Dec 1968
Nov 1970
-11.62 22 Oct 1906
Jul 1908
-11.05 25 Feb 1893
Feb 1895
-10.88 21 Oct 1895
Jun 1897
-10.87 11 Mar 1987
Jan 1988
-10.74 25 Apr 1876
Apr 1878