10-year Treasury vs Aim Ways Ulcer Free Strategy Portfolio Comparison

Period: July 1985 - September 2024 (~39 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
Aim Ways Ulcer Free Strategy Portfolio
1.00$
Initial Capital
October 1994
9.11$
Final Capital
September 2024
7.64%
Yearly Return
6.04
Std Deviation
-17.48%
Max Drawdown
35 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
July 1985
10.87$
Final Capital
September 2024
6.27%
Yearly Return
7.12
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Aim Ways Ulcer Free Strategy Portfolio
1.00$
Initial Capital
July 1985
22.61$
Final Capital
September 2024
8.27%
Yearly Return
6.09
Std Deviation
-17.48%
Max Drawdown
35 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 Aim Ways Ulcer Free Strategy Portfolio obtained a 7.64% compound annual return, with a 6.04% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 July 1985 - 30 September 2024 (~39 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 6.27
Ulcer Free Strategy
Aim Ways 		8.86 2.27 7.02 17.96 5.51 5.67 7.64 8.27
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).

Aim Ways Ulcer Free Strategy Portfolio: an investment of 1$, since October 1994, now would be worth 9.11$, with a total return of 811.18% (7.64% annualized).


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10-year Treasury Portfolio: an investment of 1$, since July 1985, now would be worth 10.87$, with a total return of 986.68% (6.27% annualized).

Aim Ways Ulcer Free Strategy Portfolio: an investment of 1$, since July 1985, now would be worth 22.61$, with a total return of 2161.13% (8.27% 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 July 1985 - 30 September 2024 (~39 years)
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10-year Treasury Ulcer Free Strategy
Author Aim Ways
ASSET ALLOCATION
Stocks 0% 11%
Fixed Income 100% 77%
Commodities 0% 12%
PERFORMANCES
Annualized Return (%) 10.84 17.96
Infl. Adjusted Return (%) 8.23 15.18
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.00
Start to Recovery (months) 6 3
Longest Drawdown Depth (%) -4.45 -0.36
Start to Recovery (months) 6 3
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.80 6.48
Sharpe Ratio 0.70 1.94
Sortino Ratio 0.95 2.76
Ulcer Index 1.75 0.60
Ratio: Return / Standard Deviation 1.39 2.77
Ratio: Return / Deepest Drawdown 2.43 8.96
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Ulcer Free Strategy
Author Aim Ways
ASSET ALLOCATION
Stocks 0% 11%
Fixed Income 100% 77%
Commodities 0% 12%
PERFORMANCES
Annualized Return (%) -0.82 5.51
Infl. Adjusted Return (%) -4.80 1.28
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Negative Period (months) 60* 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 8.06
Sharpe Ratio -0.39 0.41
Sortino Ratio -0.57 0.57
Ulcer Index 12.84 7.27
Ratio: Return / Standard Deviation -0.11 0.68
Ratio: Return / Deepest Drawdown -0.04 0.32
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Ulcer Free Strategy
Author Aim Ways
ASSET ALLOCATION
Stocks 0% 11%
Fixed Income 100% 77%
Commodities 0% 12%
PERFORMANCES
Annualized Return (%) 1.41 5.67
Infl. Adjusted Return (%) -1.41 2.73
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Negative Period (months) 111 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 6.44
Sharpe Ratio -0.01 0.65
Sortino Ratio -0.02 0.90
Ulcer Index 9.51 5.23
Ratio: Return / Standard Deviation 0.21 0.88
Ratio: Return / Deepest Drawdown 0.06 0.32
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Ulcer Free Strategy
Author Aim Ways
ASSET ALLOCATION
Stocks 0% 11%
Fixed Income 100% 77%
Commodities 0% 12%
PERFORMANCES
Annualized Return (%) 5.12 7.64
Infl. Adjusted Return (%) 2.54 5.00
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 6.04
Sharpe Ratio 0.42 0.89
Sortino Ratio 0.60 1.23
Ulcer Index 6.05 3.46
Ratio: Return / Standard Deviation 0.75 1.27
Ratio: Return / Deepest Drawdown 0.22 0.44
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Ulcer Free Strategy
Author Aim Ways
ASSET ALLOCATION
Stocks 0% 11%
Fixed Income 100% 77%
Commodities 0% 12%
PERFORMANCES
Annualized Return (%) 6.27 8.27
Infl. Adjusted Return (%) 3.40 5.35
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Drawdown Depth (%) -23.19 -17.48
Start to Recovery (months) 50* 35
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.12 6.09
Sharpe Ratio 0.45 0.85
Sortino Ratio 0.64 1.19
Ulcer Index 5.58 3.22
Ratio: Return / Standard Deviation 0.88 1.36
Ratio: Return / Deepest Drawdown 0.27 0.47
Metrics calculated over the period 1 July 1985 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 July 1985 - 30 September 2024 (~39 years)

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10-year Treasury Ulcer Free Strategy
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-17.48 35 Sep 2021
Jul 2024
-13.81 17 Mar 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
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.73 26 Sep 2000
Oct 2002
-4.67 11 Sep 2010
Jul 2011
-4.61 6 May 2013
Oct 2013
-4.30 7 Dec 1996
Jun 1997

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10-year Treasury Ulcer Free Strategy
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-17.48 35 Sep 2021
Jul 2024
-13.81 17 Mar 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
-7.24 15 Feb 1994
Apr 1995
-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
-5.36 6 Sep 1987
Feb 1988
-5.01 5 Aug 1990
Dec 1990

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 July 1985 - 30 September 2024 (~39 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 Ulcer Free Strategy
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 8.86% -2.00%
2023
 3.65% -8.82% 13.74% -4.59%
2022
 -15.19% -16.91% -15.39% -16.93%
2021
 -3.33% -5.73% 1.14% -3.29%
2020
 10.01% -2.02% 20.69% -2.80%
2019
 8.03% -2.59% 14.71% -0.83%
2018
 0.99% -3.19% 0.69% -2.59%
2017
 2.55% -1.90% 9.01% -0.91%
2016
 1.00% -6.50% 5.21% -4.08%
2015
 1.51% -4.25% 0.46% -2.56%
2014
 9.07% -1.05% 8.51% -1.57%
2013
 -6.09% -7.60% 1.73% -4.61%
2012
 3.66% -2.67% 9.44% -1.48%
2011
 15.64% -1.29% 7.68% -1.94%
2010
 9.37% -4.30% 13.35% -0.33%
2009
 -6.59% -6.65% 19.29% -1.70%
2008
 17.91% -4.15% -5.09% -13.81%
2007
 10.37% -1.85% 10.42% -0.94%
2006
 2.52% -2.87% 7.02% -1.81%
2005
 2.64% -3.19% 5.78% -1.51%
2004
 4.12% -4.85% 7.35% -2.86%
2003
 5.29% -5.68% 15.98% -1.15%
2002
 15.45% -4.13% 4.11% -2.74%
2001
 5.40% -5.21% 1.74% -4.71%
2000
 17.28% -1.12% 5.64% -4.73%
1999
 -7.83% -8.11% 12.39% -3.53%
1998
 14.64% -1.61% 18.15% -2.77%
1997
 11.97% -2.02% 4.45% -3.38%
1996
 0.00% -6.90% 8.16% -0.95%
1995
 25.55% -1.23% 22.80% 0.00%
1994
 -7.19% -9.56% -4.83% -7.24%
1993
 12.97% -2.55% 15.58% -0.99%
1992
 7.23% -4.02% 8.79% -2.57%
1991
 18.91% -0.54% 23.75% -1.85%
1990
 7.70% -4.48% 2.22% -5.01%
1989
 17.84% -2.30% 13.13% -0.77%
1988
 6.90% -4.60% 6.27% -2.13%
1987
 -2.64% -10.87% 4.63% -5.36%
1986
 21.35% -3.93% 17.00% -1.71%