Long Term Treasuries
Performance Analytics (From 11/12/1986 To 05/03/2024)
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 11/12/1986 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1995 | 1994 | 1993 | 1992 | 1991 | 1990 | 1989 | 1988 | 1987 | 1986 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 2.0 | -7.5 | -11.1 | -10.3 | -3.4 | 0.3 | 2.4 | 3.5 | 5.9 | 3.3 | -29.6 | -4.8 | 18.2 | 14.1 | -1.9 | 8.6 | 1.2 | -1.5 | 25.3 | -13.0 | 3.5 | 29.3 | 8.6 | -12.0 | 22.6 | 9.3 | 1.8 | 6.7 | 7.2 | 2.7 | 16.7 | 4.4 | 19.8 | -8.6 | 13.1 | 14.0 | -1.2 | 30.2 | -7.0 | 16.8 | 7.8 | 17.4 | 5.8 | 17.9 | 9.2 | -3.2 | 7.2 |
Sharpe Ratio | NA | -1.8 | -0.96 | -0.77 | -0.3 | -0.05 | NA | NA | 0.33 | -0.05 | -1.65 | -0.38 | 0.93 | 1.1 | -0.35 | 0.86 | 0.08 | -0.11 | 2.62 | -1.1 | 0.28 | 1.74 | 0.63 | -0.81 | 1.61 | 0.77 | -0.23 | 0.61 | 0.72 | 0.19 | 1.59 | 0.2 | 2.06 | -1.35 | 1.11 | 1.36 | -0.46 | 3.2 | -1.04 | 2.02 | 0.47 | 1.75 | 0.06 | 1.51 | 0.5 | -0.61 | 1.03 |
Draw Down(%) | NA | 9.8 | 19.9 | 41.5 | 46.3 | 46.3 | NA | NA | 46.3 | 21.0 | 35.0 | 14.3 | 14.2 | 8.0 | 9.6 | 5.0 | 17.1 | 14.7 | 4.8 | 15.8 | 8.6 | 9.7 | 13.0 | 15.9 | 7.1 | 6.2 | 6.9 | 5.7 | 9.5 | 12.8 | 5.8 | 9.5 | 5.6 | 10.3 | 6.7 | 4.9 | 10.6 | 4.5 | 12.7 | 5.7 | 6.6 | 3.7 | 7.9 | 4.8 | 6.2 | 15.4 | 5.8 |
Standard Deviation(%) | NA | 13.4 | 15.5 | 16.4 | 16.4 | 14.0 | NA | NA | 11.4 | 17.0 | 18.8 | 12.8 | 19.2 | 11.6 | 9.1 | 9.3 | 12.0 | 14.6 | 9.7 | 11.9 | 12.2 | 16.9 | 13.4 | 14.9 | 13.4 | 8.2 | 6.5 | 7.4 | 8.6 | 10.6 | 9.8 | 10.4 | 7.6 | 8.8 | 8.9 | 7.7 | 10.2 | 8.3 | 9.6 | 7.3 | 11.3 | 7.8 | 9.2 | 8.1 | 8.9 | 11.9 | 8.2 |
Treynor Ratio | NA | -0.24 | -0.15 | -0.13 | -0.05 | -0.01 | NA | NA | 0.04 | -0.01 | -0.31 | -0.05 | 0.18 | 0.13 | -0.03 | 0.08 | 0.01 | -0.02 | 0.25 | -0.13 | 0.03 | 0.29 | 0.08 | -0.12 | 0.22 | 0.06 | -0.02 | 0.04 | 0.06 | 0.02 | 0.16 | 0.02 | 0.16 | -0.12 | 0.1 | 0.1 | -0.05 | 0.26 | -0.1 | 0.15 | 0.05 | 0.14 | 0.01 | 0.12 | 0.04 | -0.07 | 0.08 |
Alpha | NA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | NA | NA | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Beta | NA | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | NA | NA | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 |
RSquared | NA | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | NA | NA | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 |
Yield(%) | N/A | 0.9 | 2.9 | 2.1 | 4.8 | 4.6 | 5.1 | 5.5 | N/A | 3.0 | 1.9 | 4.0 | 10.9 | 3.4 | 2.9 | 3.0 | 5.3 | 5.2 | 5.0 | 3.7 | 5.4 | 8.0 | 7.1 | 7.0 | 5.1 | 5.4 | 5.2 | 6.3 | 6.0 | 6.2 | 7.1 | 5.4 | 6.3 | 6.4 | 5.8 | 6.6 | 6.2 | 10.3 | 7.7 | 8.9 | 13.5 | 7.6 | 7.8 | 8.6 | 8.3 | 7.4 | 4.5 |
Dividend Growth(%) | N/A | -70.4 | 12.5 | -69.8 | 11.2 | -20.8 | -16.9 | N/A | N/A | 12.5 | -57.1 | -61.1 | 260.0 | 14.3 | 0.0 | -46.2 | -4.4 | 23.6 | 14.6 | -32.4 | -19.3 | 14.3 | -16.3 | 53.3 | 0.0 | 0.0 | -17.8 | 9.0 | -6.9 | -4.0 | 25.0 | 0.0 | -16.7 | 16.1 | -4.6 | -3.0 | -28.0 | 14.8 | -8.0 | -37.6 | 88.0 | -2.6 | -1.3 | 2.6 | 0.0 | 68.9 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 11/12/1986
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