10-year Treasury vs US Inflation Protection Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
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
US Inflation Protection Portfolio
1.00$
Initial Capital
October 1994
4.88$
Final Capital
September 2024
5.43%
Yearly Return
5.91
Std Deviation
-14.76%
Max Drawdown
33 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1985
12.41$
Final Capital
September 2024
6.54%
Yearly Return
7.22
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
US Inflation Protection Portfolio
1.00$
Initial Capital
January 1985
13.33$
Final Capital
September 2024
6.73%
Yearly Return
6.60
Std Deviation
-14.76%
Max Drawdown
33 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 US Inflation Protection Portfolio obtained a 5.43% compound annual return, with a 5.91% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 6.54
US Inflation Protection 4.85 1.50 4.93 9.59 2.09 2.22 5.43 6.73
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).

US Inflation Protection Portfolio: an investment of 1$, since October 1994, now would be worth 4.88$, with a total return of 388.20% (5.43% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1985, now would be worth 12.41$, with a total return of 1140.72% (6.54% annualized).

US Inflation Protection Portfolio: an investment of 1$, since January 1985, now would be worth 13.33$, with a total return of 1232.77% (6.73% 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 1985 - 30 September 2024 (~40 years)
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10-year Treasury US Inflation Protection
Author
ASSET ALLOCATION
Stocks 0% 0%
Fixed Income 100% 100%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 9.59
Infl. Adjusted Return (%) 8.43 7.20
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.09
Start to Recovery (months) 6 5
Longest Drawdown Depth (%) -4.45 -2.09
Start to Recovery (months) 6 5
Longest Negative Period (months) 6 5
RISK INDICATORS
Standard Deviation (%) 7.80 4.59
Sharpe Ratio 0.70 0.92
Sortino Ratio 0.95 1.23
Ulcer Index 1.75 0.70
Ratio: Return / Standard Deviation 1.39 2.09
Ratio: Return / Deepest Drawdown 2.43 4.58
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury US Inflation Protection
Author
ASSET ALLOCATION
Stocks 0% 0%
Fixed Income 100% 100%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -0.82 2.09
Infl. Adjusted Return (%) -4.76 -1.97
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -14.76
Start to Recovery (months) 50* 33*
Longest Drawdown Depth (%) -23.19 -14.76
Start to Recovery (months) 50* 33*
Longest Negative Period (months) 60* 48
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 6.34
Sharpe Ratio -0.39 -0.02
Sortino Ratio -0.57 -0.02
Ulcer Index 12.84 7.60
Ratio: Return / Standard Deviation -0.11 0.33
Ratio: Return / Deepest Drawdown -0.04 0.14
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury US Inflation Protection
Author
ASSET ALLOCATION
Stocks 0% 0%
Fixed Income 100% 100%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.41 2.22
Infl. Adjusted Return (%) -1.39 -0.60
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -14.76
Start to Recovery (months) 50* 33*
Longest Drawdown Depth (%) -23.19 -14.76
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 5.15
Sharpe Ratio -0.01 0.14
Sortino Ratio -0.02 0.19
Ulcer Index 9.51 5.53
Ratio: Return / Standard Deviation 0.21 0.43
Ratio: Return / Deepest Drawdown 0.06 0.15
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury US Inflation Protection
Author
ASSET ALLOCATION
Stocks 0% 0%
Fixed Income 100% 100%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.12 5.43
Infl. Adjusted Return (%) 2.55 2.85
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -14.76
Start to Recovery (months) 50* 33*
Longest Drawdown Depth (%) -23.19 -9.24
Start to Recovery (months) 50* 76
Longest Negative Period (months) 126 77
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 5.91
Sharpe Ratio 0.42 0.53
Sortino Ratio 0.60 0.72
Ulcer Index 6.05 4.10
Ratio: Return / Standard Deviation 0.75 0.92
Ratio: Return / Deepest Drawdown 0.22 0.37
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury US Inflation Protection
Author
ASSET ALLOCATION
Stocks 0% 0%
Fixed Income 100% 100%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 6.54 6.73
Infl. Adjusted Return (%) 3.66 3.84
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -14.76
Start to Recovery (months) 50* 33*
Longest Drawdown Depth (%) -23.19 -9.24
Start to Recovery (months) 50* 76
Longest Negative Period (months) 126 77
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 6.60
Sharpe Ratio 0.47 0.54
Sortino Ratio 0.68 0.76
Ulcer Index 5.55 3.97
Ratio: Return / Standard Deviation 0.91 1.02
Ratio: Return / Deepest Drawdown 0.28 0.46
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)

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10-year Treasury US Inflation Protection
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-14.76 33* Jan 2022
In progress
-11.79 13 Sep 2008
Sep 2009
-9.34 23 Oct 1998
Aug 2000
-9.24 76 Dec 2012
Mar 2019
-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
-6.47 9 Feb 1996
Oct 1996
-5.68 7 Jun 2003
Dec 2003
-5.32 14 Feb 1999
Mar 2000
-5.32 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004

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10-year Treasury US Inflation Protection
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-14.76 33* Jan 2022
In progress
-11.79 13 Sep 2008
Sep 2009
-10.87 11 Mar 1987
Jan 1988
-10.68 16 Feb 1994
May 1995
-10.14 19 Nov 1993
May 1995
-9.45 11 Mar 1987
Jan 1988
-9.34 23 Oct 1998
Aug 2000
-9.24 76 Dec 2012
Mar 2019
-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
-6.47 9 Feb 1996
Oct 1996

Rolling Returns

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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 1985 - 30 September 2024 (~40 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 US Inflation Protection
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 4.85% -2.09%
2023
 3.65% -8.82% 3.27% -5.35%
2022
 -15.19% -16.91% -13.10% -14.74%
2021
 -3.33% -5.73% 5.67% -1.95%
2020
 10.01% -2.02% 10.84% -1.76%
2019
 8.03% -2.59% 8.35% -1.14%
2018
 0.99% -3.19% -1.42% -2.47%
2017
 2.55% -1.90% 2.92% -0.91%
2016
 1.00% -6.50% 4.68% -2.64%
2015
 1.51% -4.25% -1.75% -4.83%
2014
 9.07% -1.05% 3.59% -2.59%
2013
 -6.09% -7.60% -8.49% -9.10%
2012
 3.66% -2.67% 6.39% -1.43%
2011
 15.64% -1.29% 13.28% -0.01%
2010
 9.37% -4.30% 6.14% -3.05%
2009
 -6.59% -6.65% 8.94% -2.24%
2008
 17.91% -4.15% 0.04% -11.79%
2007
 10.37% -1.85% 11.92% -1.52%
2006
 2.52% -2.87% 0.28% -2.37%
2005
 2.64% -3.19% 2.49% -2.47%
2004
 4.12% -4.85% 8.28% -4.82%
2003
 5.29% -5.68% 8.00% -5.32%
2002
 15.45% -4.13% 16.61% -2.75%
2001
 5.40% -5.21% 7.61% -3.37%
2000
 17.28% -1.12% 17.65% -0.84%
1999
 -7.83% -8.11% -4.47% -5.32%
1998
 14.64% -1.61% 9.27% -0.76%
1997
 11.97% -2.02% 12.71% -2.48%
1996
 0.00% -6.90% 1.33% -6.47%
1995
 25.55% -1.23% 23.02% -0.42%
1994
 -7.19% -9.56% -6.25% -10.68%
1993
 12.97% -2.55% 15.75% -1.45%
1992
 7.23% -4.02% 8.74% -3.82%
1991
 18.91% -0.54% 18.60% -0.30%
1990
 7.70% -4.48% 8.20% -4.32%
1989
 17.84% -2.30% 15.77% -2.48%
1988
 6.90% -4.60% 6.51% -4.70%
1987
 -2.64% -10.87% -0.24% -9.45%
1986
 21.35% -3.93% 18.39% -4.18%
1985
 29.85% -3.33% 26.04% -3.65%