The chart below compares the performance of the TSP Folio investment strategy to a “buy and hold” portfolio consisting of 40% stocks and 60% bonds [2]. The TSP Folio strategy has been consistently profitable, with a compound annual growth rate (CAGR) of 9.0%. An initial investment of $1,000 in 1990 would be worth $19,418 today [1].
Strategy: | TSP Folio | 40/60 Benchmark [2] |
---|---|---|
Compound Annual Growth Rate [1] | 9.0% | 6.9% |
Standard Deviation [3] | 6.1% | 6.5% |
Maximum Drawdown [5] | -10.2% | -23.2% |
Sharpe Ratio [4] | 0.76 | 0.43 |
Growth of $1,000 invested in 1990 | $19,418 | $9,930 |
By comparison, the benchmark portfolio has a CAGR of 6.9%, annualized standard deviation of 6.5%, and Sharpe Ratio of 0.43. Note that the benchmark drawdowns (-23.2%) are significantly worse than the strategy drawdowns (-10.2%).
Year | TSP Folio Strategy | 40/60 Benchmark |
---|---|---|
1991 | 17.88% | 18.39% |
1992 | 6.89% | 4.74% |
1993 | 14.00% | 14.98% |
1994 | 5.92% | -0.41% |
1995 | 26.37% | 20.74% |
1996 | 13.37% | 8.37% |
1997 | 20.80% | 13.01% |
1998 | 8.39% | 15.16% |
1999 | 17.29% | 9.53% |
2000 | 4.61% | 2.17% |
2001 | 8.48% | -1.55% |
2002 | 5.35% | -1.40% |
2003 | 19.55% | 15.87% |
2004 | 9.13% | 8.75% |
2005 | 5.63% | 5.16% |
2006 | 15.22% | 11.07% |
2007 | 7.60% | 7.65% |
2008 | 2.64% | -12.61% |
2009 | 10.74% | 14.94% |
2010 | 11.25% | 8.63% |
2011 | 2.63% | 2.79% |
2012 | 6.49% | 9.52% |
2013 | 15.50% | 9.91% |
2014 | 8.75% | 5.74% |
2015 | -6.93% | 0.74% |
2016 | 5.75% | 4.57% |
2017 | 12.46% | 11.74% |
2018 | -0.26% | -3.47% |
2019 | 4.41% | 15.99% |
2020 | 10.16% | 9.79% |
2021 | 5.09% | 7.15% |
2022 | -5.45% | -14.11% |
2023 | 10.03% | 12.27% |
2024 | 11.19% | 9.09% |
Year | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | Year |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1990 | 0.9 | 1.2 | 2.2 | 1.6 | 5.96% | ||||||||
1991 | 1.8 | 2.5 | 1.5 | 0.9 | 1.7 | -2.7 | 2.8 | 2.6 | 1.0 | 1.7 | -0.7 | 3.8 | 17.88% |
1992 | 1.0 | 1.0 | -1.9 | -0.5 | 1.4 | -0.6 | 2.5 | 0.4 | 1.2 | -1.1 | 1.6 | 1.8 | 6.89% |
1993 | 1.8 | 0.3 | 1.1 | 0.8 | 1.9 | -0.5 | 1.5 | 3.9 | -0.0 | 1.8 | -2.9 | 3.7 | 14.00% |
1994 | 4.2 | -0.2 | -2.0 | 2.2 | 0.1 | 0.1 | 1.5 | 1.9 | -1.4 | 1.3 | -2.3 | 0.5 | 5.92% |
1995 | 2.3 | 3.2 | 1.9 | 1.9 | 2.5 | 1.8 | 2.9 | 0.9 | 2.3 | -0.6 | 3.1 | 1.4 | 26.37% |
1996 | 1.9 | 0.9 | 1.0 | 2.2 | 1.4 | -1.1 | -3.0 | 0.4 | 3.4 | 1.7 | 4.9 | -0.9 | 13.37% |
1997 | 3.5 | 0.3 | -2.1 | 2.9 | 3.8 | 2.9 | 4.3 | -1.4 | 4.5 | -1.9 | 1.5 | 1.2 | 20.80% |
1998 | 1.0 | 1.8 | 3.0 | 0.9 | -1.4 | 2.1 | -0.7 | -4.1 | 3.5 | -0.5 | 1.0 | 1.8 | 8.39% |
1999 | 1.8 | -2.0 | 1.8 | 2.2 | -1.2 | 3.2 | -1.5 | 0.1 | 0.2 | 2.6 | 2.5 | 6.6 | 17.29% |
2000 | -2.6 | 6.0 | -0.8 | -3.9 | -0.8 | 2.4 | 0.5 | 1.7 | -1.0 | -0.1 | 1.6 | 1.9 | 4.61% |
2001 | 1.6 | 0.9 | 0.5 | -0.4 | 0.6 | 0.3 | 1.8 | 1.2 | 1.2 | 2.1 | -1.4 | -0.2 | 8.48% |
2002 | 0.2 | 0.4 | -1.1 | -0.0 | 0.7 | -0.1 | 0.9 | 1.7 | 1.5 | -0.4 | -0.0 | 1.4 | 5.35% |
2003 | 0.3 | 1.4 | -0.1 | 0.9 | 2.6 | 0.7 | 1.8 | 2.2 | -0.2 | 4.0 | 1.8 | 2.5 | 19.55% |
2004 | 1.2 | 1.4 | 0.4 | -2.3 | 0.4 | 1.7 | -2.4 | 1.8 | 0.6 | 1.4 | 2.3 | 2.5 | 9.13% |
2005 | -1.2 | 2.1 | -1.3 | -1.3 | 0.6 | 1.3 | 2.3 | -0.3 | 1.0 | -1.4 | 2.1 | 1.6 | 5.63% |
2006 | 3.4 | -0.1 | 2.0 | 2.2 | -2.3 | 0.3 | 0.7 | 1.9 | 0.6 | 2.3 | 2.0 | 1.4 | 15.22% |
2007 | 0.9 | -0.1 | 1.3 | 2.3 | 1.9 | -0.2 | -1.4 | 0.6 | 1.9 | 1.8 | -1.0 | -0.3 | 7.60% |
2008 | 1.0 | 0.2 | 0.3 | -0.1 | -0.6 | -1.3 | 0.1 | 0.7 | -1.7 | 0.5 | 0.3 | 3.3 | 2.64% |
2009 | -1.0 | -0.2 | 1.1 | 0.6 | 1.0 | 0.2 | 2.9 | 1.4 | 2.5 | -1.4 | 2.0 | 1.2 | 10.74% |
2010 | -1.7 | 2.3 | 3.8 | 2.3 | -3.9 | -0.2 | 1.0 | 1.0 | 0.1 | 2.2 | 0.1 | 4.1 | 11.25% |
2011 | 1.7 | 2.2 | 0.5 | 2.5 | -0.7 | -1.0 | -0.5 | -2.7 | -0.0 | 0.1 | 0.1 | 0.5 | 2.63% |
2012 | 0.7 | 1.5 | 1.0 | -0.2 | -4.3 | 1.4 | 1.1 | 1.1 | 1.8 | -0.5 | 1.2 | 1.7 | 6.49% |
2013 | 2.8 | 0.2 | 1.6 | 1.7 | -2.0 | -0.7 | 3.7 | -1.3 | 3.9 | 2.8 | 0.9 | 1.3 | 15.50% |
2014 | -1.5 | 3.5 | -0.5 | 1.2 | 1.8 | 1.1 | -1.0 | 2.5 | -1.3 | 1.1 | 1.5 | 0.1 | 8.75% |
2015 | 0.3 | -0.2 | -0.9 | -0.6 | 0.6 | -0.9 | 0.4 | -3.8 | -1.3 | 0.0 | -0.3 | -0.6 | -6.93% |
2016 | -1.1 | 0.9 | 0.9 | 0.4 | 0.2 | 1.1 | 1.2 | 0.1 | 0.3 | -1.9 | 2.4 | 1.2 | 5.75% |
2017 | 1.4 | 2.0 | 0.2 | 0.9 | 1.0 | 0.4 | 1.3 | 0.1 | 1.4 | 1.0 | 1.4 | 0.6 | 12.46% |
2018 | 3.3 | -2.4 | -0.9 | -0.5 | 0.4 | 0.4 | 1.3 | 2.5 | -0.6 | -5.1 | 1.2 | 0.5 | -0.26% |
2019 | 1.0 | -0.0 | 0.3 | 1.2 | -1.7 | 1.1 | 0.3 | 0.3 | -0.1 | 0.4 | 0.7 | 0.8 | 4.41% |
2020 | 0.0 | -1.5 | 0.2 | 2.6 | 3.5 | 1.4 | 1.4 | 2.1 | -1.4 | -0.1 | 1.0 | 0.5 | 10.16% |
2021 | 0.1 | 0.5 | 0.4 | 1.1 | 0.4 | 0.5 | 0.5 | 0.8 | -1.5 | 1.9 | -0.7 | 1.1 | 5.09% |
2022 | -1.9 | -0.5 | 0.6 | -2.0 | 0.4 | -1.7 | 0.5 | -1.2 | -1.2 | 0.7 | 2.3 | -1.5 | -5.45% |
2023 | 3.5 | -1.3 | 1.5 | 1.2 | -1.1 | 2.5 | 1.6 | -1.0 | -1.8 | -0.6 | 3.0 | 2.4 | 10.03% |
2024 | 0.7 | 2.2 | 1.6 | -2.1 | 1.6 | 1.0 | 0.9 | 1.4 | 0.8 | -0.5 | 2.9 | 0.1 | 11.19% |
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