10-year Treasury vs All Country World 20/80 Portfolio Comparison

Period: January 1985 - September 2024 (~40 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
All Country World 20/80 Portfolio
1.00$
Initial Capital
October 1994
6.30$
Final Capital
September 2024
6.33%
Yearly Return
5.63
Std Deviation
-17.97%
Max Drawdown
37 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
All Country World 20/80 Portfolio
1.00$
Initial Capital
January 1985
18.47$
Final Capital
September 2024
7.61%
Yearly Return
5.88
Std Deviation
-17.97%
Max Drawdown
37 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 All Country World 20/80 Portfolio obtained a 6.33% compound annual return, with a 5.63% 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
All Country World 20/80 7.39 1.57 5.83 15.97 2.63 3.64 6.33 7.61
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).

All Country World 20/80 Portfolio: an investment of 1$, since October 1994, now would be worth 6.30$, with a total return of 529.73% (6.33% 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).

All Country World 20/80 Portfolio: an investment of 1$, since January 1985, now would be worth 18.47$, with a total return of 1746.63% (7.61% 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 All Country World 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.84 15.97
Infl. Adjusted Return (%) 8.23 13.24
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.38
Start to Recovery (months) 6 3
Longest Drawdown Depth (%) -4.45 -0.38
Start to Recovery (months) 6 3
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.80 7.07
Sharpe Ratio 0.70 1.50
Sortino Ratio 0.95 2.16
Ulcer Index 1.75 0.78
Ratio: Return / Standard Deviation 1.39 2.26
Ratio: Return / Deepest Drawdown 2.43 6.70
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury All Country World 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -0.82 2.63
Infl. Adjusted Return (%) -4.80 -1.49
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Negative Period (months) 60* 49
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 8.06
Sharpe Ratio -0.39 0.06
Sortino Ratio -0.57 0.07
Ulcer Index 12.84 7.82
Ratio: Return / Standard Deviation -0.11 0.33
Ratio: Return / Deepest Drawdown -0.04 0.15
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury All Country World 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.41 3.64
Infl. Adjusted Return (%) -1.41 0.77
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Negative Period (months) 111 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 6.22
Sharpe Ratio -0.01 0.35
Sortino Ratio -0.02 0.46
Ulcer Index 9.51 5.62
Ratio: Return / Standard Deviation 0.21 0.59
Ratio: Return / Deepest Drawdown 0.06 0.20
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury All Country World 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.12 6.33
Infl. Adjusted Return (%) 2.54 3.72
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Negative Period (months) 126 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 5.63
Sharpe Ratio 0.42 0.72
Sortino Ratio 0.60 0.94
Ulcer Index 6.05 3.67
Ratio: Return / Standard Deviation 0.75 1.12
Ratio: Return / Deepest Drawdown 0.22 0.35
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury All Country World 20/80
Author
ASSET ALLOCATION
Stocks 0% 20%
Fixed Income 100% 80%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 6.54 7.61
Infl. Adjusted Return (%) 3.65 4.69
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Drawdown Depth (%) -23.19 -17.97
Start to Recovery (months) 50* 37
Longest Negative Period (months) 126 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 5.88
Sharpe Ratio 0.47 0.76
Sortino Ratio 0.68 1.03
Ulcer Index 5.55 3.35
Ratio: Return / Standard Deviation 0.91 1.29
Ratio: Return / Deepest Drawdown 0.28 0.42
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 All Country World 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-17.97 37 Sep 2021
Sep 2024
-12.99 18 Feb 2008
Jul 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
-6.55 5 Feb 2020
Jun 2020
-5.68 7 Jun 2003
Dec 2003
-5.06 4 Jul 1998
Oct 1998
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011
-4.30 10 May 2013
Feb 2014

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10-year Treasury All Country World 20/80
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-17.97 37 Sep 2021
Sep 2024
-12.99 18 Feb 2008
Jul 2009
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-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
-6.55 5 Feb 2020
Jun 2020
-6.36 15 Feb 1994
Apr 1995
-6.26 6 Sep 1987
Feb 1988
-5.68 7 Jun 2003
Dec 2003

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 All Country World 20/80
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 7.39% -2.38%
2023
 3.65% -8.82% 10.25% -5.13%
2022
 -15.19% -16.91% -14.66% -17.51%
2021
 -3.33% -5.73% 2.00% -1.92%
2020
 10.01% -2.02% 8.36% -6.55%
2019
 8.03% -2.59% 12.96% -0.19%
2018
 0.99% -3.19% -1.87% -2.77%
2017
 2.55% -1.90% 8.23% -0.08%
2016
 1.00% -6.50% 5.12% -2.99%
2015
 1.51% -4.25% 0.31% -3.05%
2014
 9.07% -1.05% 6.24% -1.20%
2013
 -6.09% -7.60% 2.59% -4.30%
2012
 3.66% -2.67% 9.39% -1.73%
2011
 15.64% -1.29% 4.99% -2.61%
2010
 9.37% -4.30% 8.78% -1.65%
2009
 -6.59% -6.65% 14.11% -6.27%
2008
 17.91% -4.15% -6.63% -12.99%
2007
 10.37% -1.85% 7.29% -0.69%
2006
 2.52% -2.87% 8.17% -0.88%
2005
 2.64% -3.19% 6.13% -1.14%
2004
 4.12% -4.85% 8.26% -2.40%
2003
 5.29% -5.68% 13.81% -1.85%
2002
 15.45% -4.13% 3.66% -3.50%
2001
 5.40% -5.21% 6.56% -1.79%
2000
 17.28% -1.12% 6.60% -1.64%
1999
 -7.83% -8.11% 8.23% -1.93%
1998
 14.64% -1.61% 11.33% -5.06%
1997
 11.97% -2.02% 7.47% -2.40%
1996
 0.00% -6.90% 9.76% -1.58%
1995
 25.55% -1.23% 20.18% 0.00%
1994
 -7.19% -9.56% -2.97% -6.36%
1993
 12.97% -2.55% 16.22% -0.27%
1992
 7.23% -4.02% 6.50% -2.44%
1991
 18.91% -0.54% 19.00% -1.50%
1990
 7.70% -4.48% 2.54% -4.93%
1989
 17.84% -2.30% 13.77% -1.08%
1988
 6.90% -4.60% 11.09% -1.57%
1987
 -2.64% -10.87% 4.29% -6.26%
1986
 21.35% -3.93% 20.59% -2.84%
1985
 29.85% -3.33% 26.72% -1.78%