As noted in a post yesterday, the last 12 months haven’t been great for the S&P 500 with the index posting a total return of 4.3% compared to an average one year gain of 11.7%. For long-term treasuries, though, it has been the complete opposite. Based on returns of the Merrill Lynch 10+ Year US Treasury index, long term treasuries have had a total return over the last year of 24%, which is more than two and a half times the historical average of 9.1%. While one-year returns for long-term treasuries have been much better than average, relative to other time frames, historical returns of treasuries have been much more inline or even below their historical averages. Two-year returns are only slightly above their historical average, while five, ten, and twenty-year returns are all below their historical averages.
The chart below shows the rolling 12-month total return of long-term US treasuries going back to 1978. The recent surge in performance of Treasuries has taken returns to their highest levels since late 2015 and before that 2012. In fact, compared to all other 12-month rolling returns, the current gain of 24% ranks in the 90th percentile. Not a bad year at all! Start a two-week free trial to Bespoke Institutional for full access to our research and market analysis.