10-year Treasury vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Simulation Settings
Period: January 1982 - November 2024 (~43 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
December 1994
4.40$
Final Capital
November 2024
5.06%
Yearly Return
6.83
Std Deviation
-23.19%
Max Drawdown
52months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
December 1994
11.68$
Final Capital
November 2024
8.54%
Yearly Return
7.05
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1982
19.86$
Final Capital
November 2024
7.21%
Yearly Return
7.53
Std Deviation
-23.19%
Max Drawdown
52months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
January 1982
55.99$
Final Capital
November 2024
9.83%
Yearly Return
7.45
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period

The 10-year Treasury Portfolio obtained a 5.06% compound annual return, with a 6.83% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.54% compound annual return, with a 7.05% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 30 November 2024 (~43 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp 10-year Treasury
-- Market Benchmark 		1.66 1.02 4.44 5.50 -1.20 0.88 5.06 7.21
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Stocks/Bonds 40/60 Momentum
-- Market Benchmark 		17.30 3.77 9.89 22.04 5.41 6.47 8.54 9.83
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

10-year Treasury Portfolio: an investment of 1$, since December 1994, now would be worth 4.40$, with a total return of 340.15% (5.06% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 11.68$, with a total return of 1068.06% (8.54% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1982, now would be worth 19.86$, with a total return of 1886.10% (7.21% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 55.99$, with a total return of 5498.72% (9.83% annualized).


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Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.50 22.04
Infl. Adjusted Return (%) 2.69 18.79
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -3.77
Start to Recovery (months) 6 3
Longest Drawdown Depth (%) -4.45 -3.77
Start to Recovery (months) 6 3
Longest Negative Period (months) 6 2
RISK INDICATORS
Standard Deviation (%) 7.46 7.60
Sharpe Ratio 0.04 2.21
Sortino Ratio 0.05 2.61
Ulcer Index 2.02 1.13
Ratio: Return / Standard Deviation 0.74 2.90
Ratio: Return / Deepest Drawdown 1.23 5.85
Metrics calculated over the period 1 December 2023 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) -1.20 5.41
Infl. Adjusted Return (%) -5.16 1.18
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Negative Period (months) 60* 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.76 10.19
Sharpe Ratio -0.45 0.31
Sortino Ratio -0.64 0.41
Ulcer Index 13.15 10.18
Ratio: Return / Standard Deviation -0.15 0.53
Ratio: Return / Deepest Drawdown -0.05 0.26
Metrics calculated over the period 1 December 2019 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 0.88 6.47
Infl. Adjusted Return (%) -2.00 3.44
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Negative Period (months) 111 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.67 8.09
Sharpe Ratio -0.10 0.61
Sortino Ratio -0.15 0.80
Ulcer Index 9.72 7.31
Ratio: Return / Standard Deviation 0.13 0.80
Ratio: Return / Deepest Drawdown 0.04 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.06 8.54
Infl. Adjusted Return (%) 2.48 5.87
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Negative Period (months) 126 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.83 7.05
Sharpe Ratio 0.41 0.89
Sortino Ratio 0.58 1.16
Ulcer Index 6.16 5.25
Ratio: Return / Standard Deviation 0.74 1.21
Ratio: Return / Deepest Drawdown 0.22 0.40
Metrics calculated over the period 1 December 1994 - 30 November 2024
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10-year Treasury Stocks/Bonds 40/60 Momentum
Author
ASSET ALLOCATION
Stocks 0% 40%
Fixed Income 100% 60%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 7.21 9.83
Infl. Adjusted Return (%) 4.23 6.77
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Drawdown Depth (%) -23.19 -21.11
Start to Recovery (months) 52* 35
Longest Negative Period (months) 126 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.53 7.45
Sharpe Ratio 0.48 0.84
Sortino Ratio 0.70 1.13
Ulcer Index 5.47 4.68
Ratio: Return / Standard Deviation 0.96 1.32
Ratio: Return / Deepest Drawdown 0.31 0.47
Metrics calculated over the period 1 January 1982 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)

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10-year Treasury Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-9.34 23 Oct 1998
Aug 2000
-8.48 28 Feb 2001
May 2003
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-7.10 4 Feb 2020
May 2020
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-5.89 6 Oct 2018
Mar 2019
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011

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10-year Treasury Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-13.77 19 Sep 1987
Mar 1989
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-8.48 28 Feb 2001
May 2003
-7.99 7 Feb 1984
Aug 1984
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-7.10 4 Feb 2020
May 2020
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002

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 1982 - 30 November 2024 (~43 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 Stocks/Bonds 40/60 Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 1.66 -4.45 17.30 -3.77
2023
 3.65 -8.82 6.90 -5.19
2022
 -15.19 -16.91 -15.17 -19.48
2021
 -3.33 -5.73 4.23 -2.38
2020
 10.01 -2.02 16.57 -7.10
2019
 8.03 -2.59 16.20 -0.81
2018
 0.99 -3.19 -0.73 -5.89
2017
 2.55 -1.90 17.14 0.00
2016
 1.00 -6.50 3.51 -3.61
2015
 1.51 -4.25 3.91 -2.95
2014
 9.07 -1.05 9.34 -1.49
2013
 -6.09 -7.60 12.57 -1.74
2012
 3.66 -2.67 7.87 -2.05
2011
 15.64 -1.29 7.13 -3.62
2010
 9.37 -4.30 10.93 -3.48
2009
 -6.59 -6.65 9.16 -9.41
2008
 17.91 -4.15 -12.27 -15.80
2007
 10.37 -1.85 11.21 -0.82
2006
 2.52 -2.87 6.78 -1.50
2005
 2.64 -3.19 9.09 -0.93
2004
 4.12 -4.85 9.22 -2.12
2003
 5.29 -5.68 12.78 -1.27
2002
 15.45 -4.13 0.04 -5.36
2001
 5.40 -5.21 -1.88 -6.89
2000
 17.28 -1.12 2.99 -3.33
1999
 -7.83 -8.11 15.71 -1.69
1998
 14.64 -1.61 24.65 -4.13
1997
 11.97 -2.02 20.41 -2.69
1996
 0.00 -6.90 14.08 -1.52
1995
 25.55 -1.23 27.84 0.00
1994
 -7.19 -9.56 -2.03 -5.91
1993
 12.97 -2.55 11.10 -0.87
1992
 7.23 -4.02 6.01 -2.11
1991
 18.91 -0.54 23.91 -1.79
1990
 7.70 -4.48 5.79 -5.29
1989
 17.84 -2.30 25.29 -1.01
1988
 6.90 -4.60 7.24 -2.95
1987
 -2.64 -10.87 1.86 -13.77
1986
 21.35 -3.93 18.14 -4.37
1985
 29.85 -3.33 26.30 -0.74
1984
 14.87 -7.99 8.68 -6.28
1983
 2.30 -6.29 9.91 -2.81
1982
 39.57 -2.66 30.86 -1.48