10-year Treasury vs Fulvio Marchese In Saecula Saeculorum 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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
October 1994
10.53$
Final Capital
September 2024
8.16%
Yearly Return
7.83
Std Deviation
-20.39%
Max Drawdown
25 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
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
January 1871
33782.09$
Final Capital
September 2024
7.02%
Yearly Return
8.07
Std Deviation
-50.22%
Max Drawdown
75 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 Fulvio Marchese In Saecula Saeculorum Portfolio obtained a 8.16% compound annual return, with a 7.83% 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
In Saecula Saeculorum
Fulvio Marchese 		13.98 2.12 8.68 25.16 8.34 7.55 8.16 7.02
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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since October 1994, now would be worth 10.53$, with a total return of 953.26% (8.16% 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).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since January 1871, now would be worth 33782.09$, with a total return of 3378108.91% (7.02% 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 In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 10.84 25.16
Infl. Adjusted Return (%) 8.23 22.22
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.83
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -1.23
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 2
RISK INDICATORS
Standard Deviation (%) 7.80 8.11
Sharpe Ratio 0.70 2.44
Sortino Ratio 0.95 3.35
Ulcer Index 1.75 0.86
Ratio: Return / Standard Deviation 1.39 3.10
Ratio: Return / Deepest Drawdown 2.43 8.88
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) -0.82 8.34
Infl. Adjusted Return (%) -4.80 4.00
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 50* 26
Longest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 50* 26
Longest Negative Period (months) 60* 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 10.59
Sharpe Ratio -0.39 0.58
Sortino Ratio -0.57 0.77
Ulcer Index 12.84 6.91
Ratio: Return / Standard Deviation -0.11 0.79
Ratio: Return / Deepest Drawdown -0.04 0.44
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 1.41 7.55
Infl. Adjusted Return (%) -1.41 4.56
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 50* 26
Longest Drawdown Depth (%) -23.19 -18.89
Start to Recovery (months) 50* 26
Longest Negative Period (months) 111 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 8.51
Sharpe Ratio -0.01 0.71
Sortino Ratio -0.02 0.96
Ulcer Index 9.51 5.06
Ratio: Return / Standard Deviation 0.21 0.89
Ratio: Return / Deepest Drawdown 0.06 0.40
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.12 8.16
Infl. Adjusted Return (%) 2.54 5.51
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -20.39
Start to Recovery (months) 50* 25
Longest Drawdown Depth (%) -23.19 -10.13
Start to Recovery (months) 50* 33
Longest Negative Period (months) 126 43
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 7.83
Sharpe Ratio 0.42 0.75
Sortino Ratio 0.60 0.99
Ulcer Index 6.05 4.44
Ratio: Return / Standard Deviation 0.75 1.04
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 In Saecula Saeculorum
Author Fulvio Marchese
ASSET ALLOCATION
Stocks 0% 45%
Fixed Income 100% 45%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.55 7.02
Infl. Adjusted Return (%) 2.37 4.79
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -50.22
Start to Recovery (months) 50* 75
Longest Drawdown Depth (%) -23.19 -50.22
Start to Recovery (months) 50* 75
Longest Negative Period (months) 126 105
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 8.07
Sharpe Ratio 0.10 0.37
Sortino Ratio 0.15 0.52
Ulcer Index 3.45 6.48
Ratio: Return / Standard Deviation 0.83 0.87
Ratio: Return / Deepest Drawdown 0.20 0.14
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 In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-10.13 33 Sep 2000
May 2003
-9.34 23 Oct 1998
Aug 2000
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-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
-5.64 6 Sep 2018
Feb 2019
-4.85 7 Apr 2004
Oct 2004

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10-year Treasury In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-50.22 75 Sep 1929
Nov 1935
-24.35 71 Mar 1937
Jan 1943
-23.19 50* Aug 2020
In progress
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-17.26 14 Mar 1974
Apr 1975
-15.82 33 Apr 1876
Dec 1878
-15.76 11 Jul 1979
May 1980
-15.41 26 Dec 1968
Jan 1971
-14.57 17 Jul 1980
Nov 1981
-13.99 23 Oct 1906
Aug 1908
-13.51 17 Sep 1987
Jan 1989
-12.36 27 Feb 1893
Apr 1895
-11.74 25 Oct 1902
Oct 1904
-11.22 21 Dec 1980
Aug 1982

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 In Saecula Saeculorum
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 13.98% -2.83%
2023
 3.65% -8.82% 15.53% -6.33%
2022
 -15.19% -16.91% -14.97% -18.89%
2021
 -3.33% -5.73% 10.12% -3.03%
2020
 10.01% -2.02% 15.89% -8.50%
2019
 8.03% -2.59% 20.14% -2.10%
2018
 0.99% -3.19% -2.76% -5.64%
2017
 2.55% -1.90% 12.42% -0.04%
2016
 1.00% -6.50% 7.79% -2.43%
2015
 1.51% -4.25% -0.75% -4.59%
2014
 9.07% -1.05% 8.52% -2.04%
2013
 -6.09% -7.60% 10.73% -2.94%
2012
 3.66% -2.67% 10.41% -2.92%
2011
 15.64% -1.29% 6.12% -4.77%
2010
 9.37% -4.30% 14.27% -4.00%
2009
 -6.59% -6.65% 15.39% -9.28%
2008
 17.91% -4.15% -11.54% -16.70%
2007
 10.37% -1.85% 8.83% -2.17%
2006
 2.52% -2.87% 10.84% -2.11%
2005
 2.64% -3.19% 5.47% -1.69%
2004
 4.12% -4.85% 7.97% -3.39%
2003
 5.29% -5.68% 18.47% -1.50%
2002
 15.45% -4.13% -1.22% -5.96%
2001
 5.40% -5.21% -1.59% -6.44%
2000
 17.28% -1.12% 0.64% -5.96%
1999
 -7.83% -8.11% 9.19% -2.99%
1998
 14.64% -1.61% 15.29% -7.93%
1997
 11.97% -2.02% 16.19% -2.95%
1996
 0.00% -6.90% 9.83% -2.50%
1995
 25.55% -1.23% 25.73% 0.00%
1994
 -7.19% -9.56% -2.41% -5.96%
1993
 12.97% -2.55% 11.66% -1.36%
1992
 7.23% -4.02% 6.70% -2.12%
1991
 18.91% -0.54% 21.54% -2.17%
1990
 7.70% -4.48% 0.53% -6.19%
1989
 17.84% -2.30% 19.19% -1.49%
1988
 6.90% -4.60% 9.59% -2.18%
1987
 -2.64% -10.87% 3.95% -13.51%
1986
 21.35% -3.93% 16.23% -3.74%
1985
 29.85% -3.33% 25.62% -1.83%
1984
 14.87% -7.99% 5.90% -6.01%
1983
 2.30% -6.29% 11.20% -2.65%
1982
 39.57% -2.66% 26.71% -4.74%
1981
 5.28% -7.42% -2.21% -10.07%
1980
 -1.29% -11.52% 17.01% -10.74%
1979
 1.83% -8.62% 24.41% -6.29%
1978
 -0.74% -2.31% 7.74% -5.17%
1977
 0.53% -3.55% 1.62% -3.17%
1976
 15.29% -1.33% 18.26% -1.55%
1975
 5.52% -4.42% 19.02% -7.62%
1974
 4.05% -3.79% -5.29% -17.26%
1973
 3.29% -3.40% 0.44% -4.10%
1972
 2.35% -2.01% 14.16% -1.01%
1971
 11.24% -7.34% 14.07% -4.23%
1970
 18.93% -5.54% 10.50% -9.03%
1969
 -5.63% -7.29% -7.43% -9.03%
1968
 6.26% -3.63% 9.94% -2.28%
1967
 -3.08% -5.97% 11.89% -2.17%
1966
 5.46% -3.03% -1.61% -7.68%
1965
 0.72% -1.64% 6.90% -1.85%
1964
 3.65% -0.06% 9.09% -0.57%
1963
 1.64% -0.38% 10.30% -1.37%
1962
 5.83% -0.48% -1.91% -9.28%
1961
 2.10% -1.70% 12.66% -1.73%
1960
 11.66% -0.41% 6.02% -2.65%
1959
 -1.12% -3.37% 5.32% -3.19%
1958
 -2.10% -5.86% 19.37% -0.45%
1957
 5.92% -3.36% -1.36% -5.77%
1956
 -2.68% -3.65% 3.14% -4.11%
1955
 -1.13% -2.16% 11.22% -1.18%
1954
 3.13% -0.84% 23.99% -1.72%
1953
 2.19% -3.70% 0.77% -4.90%
1952
 1.89% -1.78% 6.71% -2.09%
1951
 -0.56% -2.77% 9.25% -3.07%
1950
 -1.39% -1.65% 13.32% -2.70%
1949
 4.92% -0.12% 10.51% -1.77%
1948
 2.72% -0.72% 1.92% -4.92%
1947
 -1.38% -2.99% 2.67% -2.57%
1946
 0.36% -1.88% -2.29% -10.24%
1945
 5.77% -0.94% 19.66% -1.67%
1944
 2.27% 0.00% 10.43% -0.68%
1943
 1.98% -0.10% 13.75% -4.10%
1942
 1.78% -0.45% 8.20% -5.59%
1941
 2.73% -1.73% -3.22% -6.58%
1940
 6.10% -1.80% -1.26% -11.21%
1939
 4.02% -4.74% 2.50% -6.08%
1938
 4.38% -0.49% 14.56% -11.71%
1937
 1.27% -2.41% -15.01% -17.65%
1936
 5.37% -0.04% 17.15% -3.37%
1935
 4.30% -1.07% 22.48% -3.47%
1934
 7.94% -1.90% 4.95% -6.58%
1933
 1.81% -2.00% 32.40% -9.78%
1932
 8.90% -2.36% 0.55% -18.83%
1931
 -2.56% -4.95% -20.68% -26.59%
1930
 4.57% -0.39% -10.04% -17.27%
1929
 4.44% -1.50% -3.05% -16.18%
1928
 0.97% -1.23% 17.59% -2.07%
1927
 6.82% 0.00% 17.62% -2.04%
1926
 5.82% 0.00% 7.46% -3.71%
1925
 5.31% -0.17% 13.45% -2.93%
1924
 7.49% -0.16% 15.46% -1.25%
1923
 4.19% -0.04% 4.23% -5.53%
1922
 5.64% -0.73% 15.52% -2.17%
1921
 13.13% 0.00% 10.22% -3.79%
1920
 1.43% -3.24% -5.69% -6.27%
1919
 2.57% -0.68% 10.04% -3.76%
1918
 4.60% -1.27% 10.29% -1.52%
1917
 -2.28% -4.06% -9.01% -9.01%
1916
 3.78% -0.86% 5.26% -1.40%
1915
 4.51% -0.88% 16.37% -1.01%
1914
 1.79% -0.80% -0.54% -8.56%
1913
 1.68% -2.83% -0.73% -2.93%
1912
 4.01% -0.15% 4.50% -1.77%
1911
 1.86% -1.26% 2.95% -4.49%
1910
 2.84% -0.36% 0.12% -4.40%
1909
 -0.85% -2.48% 7.50% -1.06%
1908
 5.53% -0.75% 21.48% -1.23%
1907
 -6.38% -7.33% -11.96% -13.07%
1906
 3.21% -1.01% 1.32% -4.26%
1905
 2.69% -2.49% 10.38% -2.58%
1904
 0.53% -0.68% 15.97% -1.21%
1903
 2.04% -1.21% -6.58% -10.69%
1902
 -0.08% -4.81% 4.08% -3.62%
1901
 4.10% -0.79% 10.12% -3.73%
1900
 6.14% -1.37% 11.57% -2.06%
1899
 7.64% -0.37% 3.21% -3.17%
1898
 2.65% -6.31% 14.81% -4.52%
1897
 11.31% -0.69% 12.78% -1.82%
1896
 2.95% -4.43% 3.13% -7.00%
1895
 7.80% -4.07% 3.89% -5.27%
1894
 4.33% -0.91% 3.88% -2.19%
1893
 3.79% -2.27% -6.37% -12.36%
1892
 0.66% -1.54% 3.46% -1.29%
1891
 -0.82% -3.77% 9.72% -2.91%
1890
 -0.41% -2.94% -2.35% -5.71%
1889
 2.36% -0.75% 4.33% -1.14%
1888
 5.24% -1.11% 3.91% -1.97%
1887
 0.62% -2.47% 0.40% -4.90%
1886
 7.20% -0.14% 7.13% -1.95%
1885
 4.15% -0.70% 15.62% -0.95%
1884
 2.46% -2.98% -4.01% -7.52%
1883
 6.44% -0.71% -0.02% -2.63%
1882
 5.46% -0.63% 3.59% -2.72%
1881
 8.87% -1.40% 2.79% -4.40%
1880
 12.45% -0.82% 15.74% -3.63%
1879
 7.32% -0.63% 24.42% -0.59%
1878
 2.37% -1.30% 9.10% -0.26%
1877
 -2.01% -3.27% -0.42% -8.81%
1876
 -2.30% -4.98% -5.65% -7.85%
1875
 4.92% -3.56% 5.11% -1.67%
1874
 6.58% -3.03% 6.85% -2.27%
1873
 5.59% -5.41% 1.15% -8.87%
1872
 6.04% -2.60% 7.22% -2.35%
1871
 10.11% -1.22% 9.73% -2.34%