10-year Treasury vs Davide Pisicchio PISI Portfolio Comparison

Period: January 1871 - August 2024 (~154 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
September 1994
4.31$
Final Capital
August 2024
4.99%
Yearly Return
6.81
Std Deviation
-23.19%
Max Drawdown
49 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
September 1994
8.38$
Final Capital
August 2024
7.34%
Yearly Return
6.49
Std Deviation
-18.36%
Max Drawdown
31 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1871
918.02$
Final Capital
August 2024
4.54%
Yearly Return
5.46
Std Deviation
-23.19%
Max Drawdown
49 months
Recovery Period
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
January 1871
11217.61$
Final Capital
August 2024
6.26%
Yearly Return
6.37
Std Deviation
-34.97%
Max Drawdown
68 months
Recovery Period

The 10-year Treasury Portfolio obtained a 4.99% compound annual return, with a 6.81% standard deviation, in the last 30 Years.

The Davide Pisicchio PISI Portfolio obtained a 7.34% compound annual return, with a 6.49% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1871 - 31 August 2024 (~154 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
10-year Treasury 2.74 1.35 4.85 5.89 -1.32 1.16 4.99 4.54
PISI Portfolio
Davide Pisicchio 		9.24 1.73 8.58 14.60 5.06 5.33 7.34 6.26
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

10-year Treasury Portfolio: an investment of 1$, since September 1994, now would be worth 4.31$, with a total return of 331.24% (4.99% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since September 1994, now would be worth 8.38$, with a total return of 737.73% (7.34% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1871, now would be worth 918.02$, with a total return of 91701.70% (4.54% annualized).

Davide Pisicchio PISI Portfolio: an investment of 1$, since January 1871, now would be worth 11217.61$, with a total return of 1121660.72% (6.26% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1871 - 31 August 2024 (~154 years)
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 5.89 14.60
Infl. Adjusted Return (%) 3.41 11.92
DRAWDOWN
Deepest Drawdown Depth (%) -5.01 -5.14
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -4.45 -5.14
Start to Recovery (months) 6 3
Longest Negative Period (months) 8 3
RISK INDICATORS
Standard Deviation (%) 8.66 9.54
Sharpe Ratio 0.06 0.97
Sortino Ratio 0.09 1.31
Ulcer Index 2.34 1.96
Ratio: Return / Standard Deviation 0.68 1.53
Ratio: Return / Deepest Drawdown 1.18 2.84
Metrics calculated over the period 1 September 2023 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) -1.32 5.06
Infl. Adjusted Return (%) -5.24 0.89
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Negative Period (months) 60* 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.60 9.06
Sharpe Ratio -0.45 0.32
Sortino Ratio -0.66 0.44
Ulcer Index 12.73 7.36
Ratio: Return / Standard Deviation -0.17 0.56
Ratio: Return / Deepest Drawdown -0.06 0.28
Metrics calculated over the period 1 September 2019 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 1.16 5.33
Infl. Adjusted Return (%) -1.61 2.45
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Negative Period (months) 111 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 7.23
Sharpe Ratio -0.04 0.54
Sortino Ratio -0.06 0.74
Ulcer Index 9.43 5.34
Ratio: Return / Standard Deviation 0.18 0.74
Ratio: Return / Deepest Drawdown 0.05 0.29
Metrics calculated over the period 1 September 2014 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.99 7.34
Infl. Adjusted Return (%) 2.42 4.71
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Drawdown Depth (%) -23.19 -18.36
Start to Recovery (months) 49* 31
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.81 6.49
Sharpe Ratio 0.40 0.78
Sortino Ratio 0.57 1.06
Ulcer Index 6.01 3.47
Ratio: Return / Standard Deviation 0.73 1.13
Ratio: Return / Deepest Drawdown 0.22 0.40
Metrics calculated over the period 1 September 1994 - 31 August 2024
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10-year Treasury PISI Portfolio
Author Davide Pisicchio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 60%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 4.54 6.26
Infl. Adjusted Return (%) 2.37 4.05
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -34.97
Start to Recovery (months) 49* 68
Longest Drawdown Depth (%) -23.19 -34.97
Start to Recovery (months) 49* 68
Longest Negative Period (months) 126 80
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 6.37
Sharpe Ratio 0.10 0.35
Sortino Ratio 0.15 0.51
Ulcer Index 3.44 4.22
Ratio: Return / Standard Deviation 0.83 0.98
Ratio: Return / Deepest Drawdown 0.20 0.18
Metrics calculated over the period 1 January 1871 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1871 - 31 August 2024 (~154 years)

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10-year Treasury PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 49* Aug 2020
In progress
-18.36 31 Jan 2022
Jul 2024
-11.84 18 Mar 2008
Aug 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
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.30 3 Jul 1998
Sep 1998

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10-year Treasury PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.97 68 Sep 1929
Apr 1935
-23.19 49* Aug 2020
In progress
-18.36 31 Jan 2022
Jul 2024
-16.23 32 Mar 1937
Oct 1939
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-12.51 12 Mar 1974
Feb 1975
-12.33 24 Dec 1968
Nov 1970
-12.30 35 Apr 1876
Feb 1879
-11.84 18 Mar 2008
Aug 2009
-11.13 26 Oct 1906
Nov 1908
-11.04 12 Dec 1980
Nov 1981
-10.87 11 Mar 1987
Jan 1988
-10.38 4 Feb 1980
May 1980
-10.14 19 Nov 1993
May 1995

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 - 31 August 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 PISI Portfolio
Year Return Drawdown Return Drawdown
2024
 2.74% -4.45% 9.24% -2.89%
2023
 3.65% -8.82% 11.85% -6.31%
2022
 -15.19% -16.91% -15.32% -18.36%
2021
 -3.33% -5.73% 5.44% -2.73%
2020
 10.01% -2.02% 14.89% -3.27%
2019
 8.03% -2.59% 16.74% -0.45%
2018
 0.99% -3.19% -1.64% -3.17%
2017
 2.55% -1.90% 9.63% -0.31%
2016
 1.00% -6.50% 5.77% -4.39%
2015
 1.51% -4.25% -0.33% -3.27%
2014
 9.07% -1.05% 8.90% -1.94%
2013
 -6.09% -7.60% 3.96% -4.45%
2012
 3.66% -2.67% 8.48% -1.19%
2011
 15.64% -1.29% 10.04% -2.16%
2010
 9.37% -4.30% 13.77% -0.81%
2009
 -6.59% -6.65% 8.62% -7.60%
2008
 17.91% -4.15% -1.41% -11.84%
2007
 10.37% -1.85% 10.22% -1.06%
2006
 2.52% -2.87% 8.64% -1.66%
2005
 2.64% -3.19% 5.11% -1.64%
2004
 4.12% -4.85% 6.93% -4.06%
2003
 5.29% -5.68% 14.77% -2.33%
2002
 15.45% -4.13% 5.17% -2.10%
2001
 5.40% -5.21% 0.43% -3.41%
2000
 17.28% -1.12% 5.99% -3.34%
1999
 -7.83% -8.11% 3.16% -3.71%
1998
 14.64% -1.61% 15.05% -4.30%
1997
 11.97% -2.02% 14.04% -2.79%
1996
 0.00% -6.90% 6.11% -3.11%
1995
 25.55% -1.23% 25.75% 0.00%
1994
 -7.19% -9.56% -4.28% -6.99%
1993
 12.97% -2.55% 12.70% -1.83%
1992
 7.23% -4.02% 6.47% -2.97%
1991
 18.91% -0.54% 20.24% -1.61%
1990
 7.70% -4.48% 2.41% -5.27%
1989
 17.84% -2.30% 18.47% -1.50%
1988
 6.90% -4.60% 8.03% -2.27%
1987
 -2.64% -10.87% 2.16% -8.72%
1986
 21.35% -3.93% 18.59% -3.19%
1985
 29.85% -3.33% 27.30% -2.04%
1984
 14.87% -7.99% 7.81% -6.79%
1983
 2.30% -6.29% 7.23% -3.18%
1982
 39.57% -2.66% 31.34% -3.03%
1981
 5.28% -7.42% -1.57% -10.67%
1980
 -1.29% -11.52% 10.78% -10.38%
1979
 1.83% -8.62% 20.62% -6.61%
1978
 -0.74% -2.31% 5.90% -4.15%
1977
 0.53% -3.55% 1.83% -3.39%
1976
 15.29% -1.33% 17.10% -1.29%
1975
 5.52% -4.42% 13.29% -6.23%
1974
 4.05% -3.79% -0.30% -12.51%
1973
 3.29% -3.40% 3.63% -2.89%
1972
 2.35% -2.01% 11.68% -1.13%
1971
 11.24% -7.34% 13.55% -4.38%
1970
 18.93% -5.54% 13.25% -7.14%
1969
 -5.63% -7.29% -7.79% -9.27%
1968
 6.26% -3.63% 9.22% -2.03%
1967
 -3.08% -5.97% 6.56% -2.29%
1966
 5.46% -3.03% 0.57% -5.80%
1965
 0.72% -1.64% 4.72% -1.03%
1964
 3.65% -0.06% 7.15% -0.33%
1963
 1.64% -0.38% 7.30% -1.00%
1962
 5.83% -0.48% 0.57% -6.16%
1961
 2.10% -1.70% 8.96% -1.49%
1960
 11.66% -0.41% 7.83% -1.59%
1959
 -1.12% -3.37% 3.04% -2.63%
1958
 -2.10% -5.86% 12.03% -0.91%
1957
 5.92% -3.36% 0.90% -4.29%
1956
 -2.68% -3.65% 1.02% -3.44%
1955
 -1.13% -2.16% 7.04% -0.53%
1954
 3.13% -0.84% 16.95% -1.27%
1953
 2.19% -3.70% 0.83% -4.68%
1952
 1.89% -1.78% 4.93% -1.79%
1951
 -0.56% -2.77% 5.88% -2.24%
1950
 -1.39% -1.65% 8.31% -1.96%
1949
 4.92% -0.12% 8.58% -0.99%
1948
 2.72% -0.72% 2.11% -3.22%
1947
 -1.38% -2.99% 1.63% -1.90%
1946
 0.36% -1.88% -1.37% -7.19%
1945
 5.77% -0.94% 15.21% -0.92%
1944
 2.27% 0.00% 7.69% -0.40%
1943
 1.98% -0.10% 9.89% -2.81%
1942
 1.78% -0.45% 6.07% -3.69%
1941
 2.73% -1.73% -1.13% -4.80%
1940
 6.10% -1.80% 1.25% -7.94%
1939
 4.02% -4.74% 3.07% -3.45%
1938
 4.38% -0.49% 11.18% -7.86%
1937
 1.27% -2.41% -9.61% -11.75%
1936
 5.37% -0.04% 13.30% -2.14%
1935
 4.30% -1.07% 16.47% -1.49%
1934
 7.94% -1.90% 6.30% -3.47%
1933
 1.81% -2.00% 24.00% -6.92%
1932
 8.90% -2.36% 3.13% -11.45%
1931
 -2.56% -4.95% -14.77% -19.06%
1930
 4.57% -0.39% -5.48% -11.01%
1929
 4.44% -1.50% -0.78% -10.18%
1928
 0.97% -1.23% 11.97% -1.53%
1927
 6.82% 0.00% 13.95% -1.29%
1926
 5.82% 0.00% 6.83% -2.12%
1925
 5.31% -0.17% 10.74% -1.87%
1924
 7.49% -0.16% 12.64% -0.56%
1923
 4.19% -0.04% 4.08% -3.32%
1922
 5.64% -0.73% 12.08% -1.46%
1921
 13.13% 0.00% 10.90% -2.31%
1920
 1.43% -3.24% -3.50% -4.46%
1919
 2.57% -0.68% 7.37% -2.61%
1918
 4.60% -1.27% 8.20% -0.86%
1917
 -2.28% -4.06% -6.94% -6.94%
1916
 3.78% -0.86% 4.71% -0.72%
1915
 4.51% -0.88% 12.24% -0.84%
1914
 1.79% -0.80% -0.12% -5.91%
1913
 1.68% -2.83% -0.25% -2.25%
1912
 4.01% -0.15% 4.30% -1.02%
1911
 1.86% -1.26% 2.37% -3.11%
1910
 2.84% -0.36% 0.76% -2.74%
1909
 -0.85% -2.48% 4.56% -0.64%
1908
 5.53% -0.75% 15.68% -0.64%
1907
 -6.38% -7.33% -10.56% -10.61%
1906
 3.21% -1.01% 1.82% -2.63%
1905
 2.69% -2.49% 7.78% -1.75%
1904
 0.53% -0.68% 10.45% -1.04%
1903
 2.04% -1.21% -3.96% -6.99%
1902
 -0.08% -4.81% 2.50% -2.63%
1901
 4.10% -0.79% 8.03% -2.62%
1900
 6.14% -1.37% 9.65% -1.12%
1899
 7.64% -0.37% 4.89% -1.70%
1898
 2.65% -6.31% 10.56% -4.93%
1897
 11.31% -0.69% 12.33% -0.43%
1896
 2.95% -4.43% 2.79% -5.82%
1895
 7.80% -4.07% 5.42% -3.67%
1894
 4.33% -0.91% 3.86% -1.29%
1893
 3.79% -2.27% -3.38% -8.67%
1892
 0.66% -1.54% 2.37% -1.09%
1891
 -0.82% -3.77% 5.71% -3.09%
1890
 -0.41% -2.94% -2.00% -4.28%
1889
 2.36% -0.75% 3.57% -0.90%
1888
 5.24% -1.11% 4.13% -1.65%
1887
 0.62% -2.47% 0.17% -3.88%
1886
 7.20% -0.14% 7.26% -0.92%
1885
 4.15% -0.70% 11.59% -0.85%
1884
 2.46% -2.98% -2.12% -5.95%
1883
 6.44% -0.71% 1.94% -1.71%
1882
 5.46% -0.63% 4.08% -1.82%
1881
 8.87% -1.40% 4.84% -2.87%
1880
 12.45% -0.82% 14.70% -1.86%
1879
 7.32% -0.63% 18.74% -0.40%
1878
 2.37% -1.30% 6.42% -0.30%
1877
 -2.01% -3.27% -1.43% -6.39%
1876
 -2.30% -4.98% -5.21% -6.57%
1875
 4.92% -3.56% 4.96% -1.85%
1874
 6.58% -3.03% 6.12% -1.92%
1873
 5.59% -5.41% 2.18% -7.57%
1872
 6.04% -2.60% 6.76% -2.26%
1871
 10.11% -1.22% 9.90% -1.61%