10-year Treasury vs Simplified Permanent 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
Simplified Permanent Portfolio
1.00$
Initial Capital
October 1994
8.48$
Final Capital
September 2024
7.39%
Yearly Return
6.91
Std Deviation
-16.43%
Max Drawdown
27 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
Simplified Permanent Portfolio
1.00$
Initial Capital
January 1871
6444.31$
Final Capital
September 2024
5.87%
Yearly Return
6.25
Std Deviation
-30.22%
Max Drawdown
46 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 Simplified Permanent Portfolio obtained a 7.39% compound annual return, with a 6.91% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 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
Simplified Permanent Portfolio 14.01 2.56 9.90 24.56 6.55 6.01 7.39 5.87
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).

Simplified Permanent Portfolio: an investment of 1$, since October 1994, now would be worth 8.48$, with a total return of 748.46% (7.39% 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).

Simplified Permanent Portfolio: an investment of 1$, since January 1871, now would be worth 6444.31$, with a total return of 644331.22% (5.87% 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 Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 10.84 24.56
Infl. Adjusted Return (%) 8.23 21.63
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -1.86
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -0.04
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 1
RISK INDICATORS
Standard Deviation (%) 7.80 6.54
Sharpe Ratio 0.70 2.94
Sortino Ratio 0.95 4.02
Ulcer Index 1.75 0.52
Ratio: Return / Standard Deviation 1.39 3.76
Ratio: Return / Deepest Drawdown 2.43 13.17
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) -0.82 6.55
Infl. Adjusted Return (%) -4.80 2.28
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.43
Start to Recovery (months) 50* 27
Longest Drawdown Depth (%) -23.19 -16.43
Start to Recovery (months) 50* 27
Longest Negative Period (months) 60* 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 8.72
Sharpe Ratio -0.39 0.50
Sortino Ratio -0.57 0.69
Ulcer Index 12.84 5.95
Ratio: Return / Standard Deviation -0.11 0.75
Ratio: Return / Deepest Drawdown -0.04 0.40
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 1.41 6.01
Infl. Adjusted Return (%) -1.41 3.07
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.43
Start to Recovery (months) 50* 27
Longest Drawdown Depth (%) -23.19 -16.43
Start to Recovery (months) 50* 27
Longest Negative Period (months) 111 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 7.27
Sharpe Ratio -0.01 0.62
Sortino Ratio -0.02 0.88
Ulcer Index 9.51 4.54
Ratio: Return / Standard Deviation 0.21 0.83
Ratio: Return / Deepest Drawdown 0.06 0.37
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 5.12 7.39
Infl. Adjusted Return (%) 2.54 4.75
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.43
Start to Recovery (months) 50* 27
Longest Drawdown Depth (%) -23.19 -16.43
Start to Recovery (months) 50* 27
Longest Negative Period (months) 126 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 6.91
Sharpe Ratio 0.42 0.74
Sortino Ratio 0.60 1.03
Ulcer Index 6.05 3.15
Ratio: Return / Standard Deviation 0.75 1.07
Ratio: Return / Deepest Drawdown 0.22 0.45
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Simplified Permanent Portfolio
Author
ASSET ALLOCATION
Stocks 0% 25%
Fixed Income 100% 50%
Commodities 0% 25%
PERFORMANCES
Annualized Return (%) 4.55 5.87
Infl. Adjusted Return (%) 2.37 3.67
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -30.22
Start to Recovery (months) 50* 46
Longest Drawdown Depth (%) -23.19 -30.22
Start to Recovery (months) 50* 46
Longest Negative Period (months) 126 80
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 6.25
Sharpe Ratio 0.10 0.30
Sortino Ratio 0.15 0.45
Ulcer Index 3.45 3.78
Ratio: Return / Standard Deviation 0.83 0.94
Ratio: Return / Deepest Drawdown 0.20 0.19
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 Simplified Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-16.43 27 Jan 2022
Mar 2024
-13.28 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
-6.69 11 Apr 2013
Feb 2014
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.23 12 Aug 2016
Jul 2017
-5.68 7 Jun 2003
Dec 2003
-5.27 14 Feb 2015
Mar 2016
-5.09 9 Feb 1999
Oct 1999
-4.85 7 Apr 2004
Oct 2004

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10-year Treasury Simplified Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-30.22 46 Sep 1929
Jun 1933
-23.19 50* Aug 2020
In progress
-16.43 27 Jan 2022
Mar 2024
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-14.34 21 Dec 1980
Aug 1982
-13.70 32 Mar 1937
Oct 1939
-13.28 18 Mar 2008
Aug 2009
-13.17 5 Feb 1980
Jun 1980
-13.14 21 May 1969
Jan 1971
-11.98 41 Jan 1876
May 1879
-11.37 10 Apr 1974
Jan 1975
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.64 26 Oct 1906
Nov 1908

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 Simplified Permanent Portfolio
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 14.01% -1.86%
2023
 3.65% -8.82% 11.51% -5.16%
2022
 -15.19% -16.91% -12.67% -16.43%
2021
 -3.33% -5.73% 3.72% -3.81%
2020
 10.01% -2.02% 16.46% -3.11%
2019
 8.03% -2.59% 16.15% -0.99%
2018
 0.99% -3.19% -1.29% -3.68%
2017
 2.55% -1.90% 9.78% -0.96%
2016
 1.00% -6.50% 5.72% -6.23%
2015
 1.51% -4.25% -1.82% -5.27%
2014
 9.07% -1.05% 7.12% -2.59%
2013
 -6.09% -7.60% -1.76% -6.69%
2012
 3.66% -2.67% 7.59% -1.89%
2011
 15.64% -1.29% 10.45% -3.69%
2010
 9.37% -4.30% 16.36% -0.02%
2009
 -6.59% -6.65% 9.94% -4.96%
2008
 17.91% -4.15% 0.94% -13.28%
2007
 10.37% -1.85% 14.14% -1.50%
2006
 2.52% -2.87% 10.82% -2.47%
2005
 2.64% -3.19% 7.34% -1.60%
2004
 4.12% -4.85% 6.42% -4.79%
2003
 5.29% -5.68% 15.31% -2.22%
2002
 15.45% -4.13% 9.00% -2.60%
2001
 5.40% -5.21% 0.15% -3.21%
2000
 17.28% -1.12% 4.63% -2.98%
1999
 -7.83% -8.11% 2.25% -5.09%
1998
 14.64% -1.61% 12.93% -4.63%
1997
 11.97% -2.02% 8.38% -2.87%
1996
 0.00% -6.90% 4.09% -3.64%
1995
 25.55% -1.23% 21.97% 0.00%
1994
 -7.19% -9.56% -4.18% -5.67%
1993
 12.97% -2.55% 13.56% -1.61%
1992
 7.23% -4.02% 4.46% -3.11%
1991
 18.91% -0.54% 15.41% -1.06%
1990
 7.70% -4.48% 1.55% -5.66%
1989
 17.84% -2.30% 15.24% -1.52%
1988
 6.90% -4.60% 3.97% -2.03%
1987
 -2.64% -10.87% 5.46% -5.83%
1986
 21.35% -3.93% 19.06% -1.00%
1985
 29.85% -3.33% 24.24% -2.66%
1984
 14.87% -7.99% 3.14% -5.27%
1983
 2.30% -6.29% 2.74% -3.74%
1982
 39.57% -2.66% 28.65% -5.77%
1981
 5.28% -7.42% -6.55% -13.29%
1980
 -1.29% -11.52% 11.44% -13.17%
1979
 1.83% -8.62% 38.61% -5.94%
1978
 -0.74% -2.31% 11.00% -5.48%
1977
 0.53% -3.55% 5.09% -3.12%
1976
 15.29% -1.33% 13.24% -2.32%
1975
 5.52% -4.42% 6.02% -7.68%
1974
 4.05% -3.79% 11.61% -11.37%
1973
 3.29% -3.40% 15.34% -6.38%
1972
 2.35% -2.01% 17.84% -2.23%
1971
 11.24% -7.34% 14.20% -2.36%
1970
 18.93% -5.54% 12.20% -5.73%
1969
 -5.63% -7.29% -9.41% -11.13%
1968
 6.26% -3.63% 11.01% -0.78%
1967
 -3.08% -5.97% 5.38% -1.95%
1966
 5.46% -3.03% 0.48% -4.81%
1965
 0.72% -1.64% 4.02% -0.86%
1964
 3.65% -0.06% 5.99% -0.28%
1963
 1.64% -0.38% 6.03% -0.83%
1962
 5.83% -0.48% 0.41% -5.15%
1961
 2.10% -1.70% 7.10% -1.25%
1960
 11.66% -0.41% 6.95% -1.34%
1959
 -1.12% -3.37% 2.64% -2.19%
1958
 -2.10% -5.86% 10.15% -0.76%
1957
 5.92% -3.36% 0.51% -3.69%
1956
 -2.68% -3.65% 0.82% -2.90%
1955
 -1.13% -2.16% 5.80% -0.45%
1954
 3.13% -0.84% 14.04% -1.08%
1953
 2.19% -3.70% -0.81% -5.34%
1952
 1.89% -1.78% 3.54% -1.51%
1951
 -0.56% -2.77% 4.75% -1.88%
1950
 -1.39% -1.65% 6.73% -1.65%
1949
 4.92% -0.12% 6.56% -1.06%
1948
 2.72% -0.72% 1.37% -2.71%
1947
 -1.38% -2.99% 3.38% -1.58%
1946
 0.36% -1.88% -0.72% -6.02%
1945
 5.77% -0.94% 13.13% -0.77%
1944
 2.27% 0.00% 6.27% -0.34%
1943
 1.98% -0.10% 8.67% -2.39%
1942
 1.78% -0.45% 5.07% -3.07%
1941
 2.73% -1.73% -0.43% -3.99%
1940
 6.10% -1.80% 0.90% -6.62%
1939
 4.02% -4.74% 2.59% -2.86%
1938
 4.38% -0.49% 9.29% -6.59%
1937
 1.27% -2.41% -8.08% -9.88%
1936
 5.37% -0.04% 11.10% -1.80%
1935
 4.30% -1.07% 13.72% -1.24%
1934
 7.94% -1.90% 6.62% -2.89%
1933
 1.81% -2.00% 29.29% -5.58%
1932
 8.90% -2.36% 2.29% -9.64%
1931
 -2.56% -4.95% -12.31% -16.02%
1930
 4.57% -0.39% -4.80% -9.44%
1929
 4.44% -1.50% -0.60% -8.59%
1928
 0.97% -1.23% 10.16% -1.26%
1927
 6.82% 0.00% 11.74% -1.08%
1926
 5.82% 0.00% 5.77% -1.75%
1925
 5.31% -0.17% 9.10% -1.55%
1924
 7.49% -0.16% 10.50% -0.47%
1923
 4.19% -0.04% 3.44% -2.77%
1922
 5.64% -0.73% 10.08% -1.24%
1921
 13.13% 0.00% 9.09% -1.94%
1920
 1.43% -3.24% -2.79% -3.70%
1919
 2.57% -0.68% 6.19% -2.20%
1918
 4.60% -1.27% 6.84% -0.72%
1917
 -2.28% -4.06% -5.80% -5.80%
1916
 3.78% -0.86% 3.90% -0.60%
1915
 4.51% -0.88% 10.04% -0.74%
1914
 1.79% -0.80% -0.47% -5.19%
1913
 1.68% -2.83% -0.35% -1.95%
1912
 4.01% -0.15% 3.78% -0.82%
1911
 1.86% -1.26% 1.80% -2.64%
1910
 2.84% -0.36% 0.56% -2.32%
1909
 -0.85% -2.48% 3.60% -0.55%
1908
 5.53% -0.75% 12.62% -0.57%
1907
 -6.38% -7.33% -9.25% -9.26%
1906
 3.21% -1.01% 1.76% -2.08%
1905
 2.69% -2.49% 6.65% -1.44%
1904
 0.53% -0.68% 8.30% -0.90%
1903
 2.04% -1.21% -3.26% -5.82%
1902
 -0.08% -4.81% 2.01% -2.23%
1901
 4.10% -0.79% 6.90% -2.18%
1900
 6.14% -1.37% 8.26% -0.88%
1899
 7.64% -0.37% 4.73% -1.32%
1898
 2.65% -6.31% 8.63% -4.16%
1897
 11.31% -0.69% 10.73% -0.31%
1896
 2.95% -4.43% 2.27% -4.87%
1895
 7.80% -4.07% 5.14% -2.94%
1894
 4.33% -0.91% 3.06% -1.11%
1893
 3.79% -2.27% -2.81% -7.23%
1892
 0.66% -1.54% 1.85% -0.92%
1891
 -0.82% -3.77% 4.30% -2.66%
1890
 -0.41% -2.94% -1.76% -3.61%
1889
 2.36% -0.75% 2.94% -0.76%
1888
 5.24% -1.11% 3.44% -1.38%
1887
 0.62% -2.47% 0.13% -3.25%
1886
 7.20% -0.14% 6.58% -0.66%
1885
 4.15% -0.70% 9.57% -0.72%
1884
 2.46% -2.98% -1.86% -4.99%
1883
 6.44% -0.71% 1.84% -1.39%
1882
 5.46% -0.63% 3.62% -1.49%
1881
 8.87% -1.40% 4.48% -2.34%
1880
 12.45% -0.82% 12.85% -1.46%
1879
 7.32% -0.63% 15.96% -0.31%
1878
 2.37% -1.30% 4.59% -0.40%
1877
 -2.01% -3.27% -2.46% -6.35%
1876
 -2.30% -4.98% -6.01% -6.10%
1875
 4.92% -3.56% 4.28% -1.56%
1874
 6.58% -3.03% 4.84% -1.78%
1873
 5.59% -5.41% 1.68% -6.29%
1872
 6.04% -2.60% 6.47% -1.80%
1871
 10.11% -1.22% 8.64% -1.32%