The chart below compares the performance of the Yieldstream investment strategy to a High-Yield Bond Index [2]. The Yieldstream strategy has been profitable every single year, with a compound annual growth rate (CAGR) of 12.4%. An initial investment of $1,000 in 1984 would be worth $119,899 today [1].
Strategy: | Yieldstream | High Yield Index [2] |
---|---|---|
Compound Annual Growth Rate [1] | 12.4% | 7.0% |
Standard Deviation [3] | 2.8% | 4.0% |
Maximum Drawdown [5] | -3.6% | -34.0% |
Sharpe Ratio [4] | 2.85 | 0.80 |
Growth of $1,000 invested in 1984 | $119,899 | $15,988 |
By comparison, the benchmark portfolio (High-Yield Index) has a CAGR of 7.0%, annualized standard deviation of 4.0%, and Sharpe Ratio of 0.80. Note that the benchmark drawdowns (-34.0%) are significantly worse than the strategy drawdowns (-3.6%). In other words, a typical “buy-and-hold” high yield bond portfolio would have lost more than one third of its value (during the global financial crisis in 2008-2009), while the Yieldstream drawdown was barely noticeable.
Year | Yieldstream Strategy | High Yield Index |
---|---|---|
1984 | 11.98% | 9.33% |
1985 | 23.32% | 25.67% |
1986 | 19.52% | 13.37% |
1987 | 8.25% | 2.21% |
1988 | 13.06% | 12.62% |
1989 | 8.04% | -0.56% |
1990 | 12.23% | -10.24% |
1991 | 34.47% | 36.51% |
1992 | 18.29% | 17.16% |
1993 | 21.70% | 18.37% |
1994 | 3.68% | -3.06% |
1995 | 19.21% | 17.49% |
1996 | 15.95% | 13.09% |
1997 | 15.39% | 13.50% |
1998 | 12.13% | -0.17% |
1999 | 10.08% | 5.04% |
2000 | 5.31% | -7.26% |
2001 | 14.67% | 2.38% |
2002 | 8.57% | -1.46% |
2003 | 20.32% | 24.05% |
2004 | 10.01% | 9.94% |
2005 | 5.30% | 2.61% |
2006 | 11.75% | 10.10% |
2007 | 9.36% | 1.29% |
2008 | 9.98% | -26.67% |
2009 | 55.04% | 45.55% |
2010 | 14.15% | 14.18% |
2011 | 7.30% | 2.75% |
2012 | 14.12% | 14.71% |
2013 | 8.00% | 6.93% |
2014 | 5.22% | 1.10% |
2015 | 2.40% | -4.06% |
2016 | 18.99% | 13.28% |
2017 | 5.33% | 6.42% |
2018 | 1.80% | -2.82% |
2019 | 10.08% | 12.52% |
2020 | 11.99% | 4.83% |
2021 | 6.58% | 4.81% |
2022 | 0.17% | -11.06% |
2023 | 8.45% | 11.72% |
2024 | 8.03% | 7.15% |
Year | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | Year |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1984 | 0.6 | -1.0 | -0.3 | -1.0 | 0.1 | 2.3 | 3.0 | 2.4 | 2.7 | 1.6 | 1.0 | 12.0% | |
1985 | 3.6 | 0.3 | 0.5 | 2.0 | 3.4 | 2.4 | 0.4 | 1.3 | 0.8 | 1.5 | 2.4 | 2.8 | 23.3% |
1986 | 0.8 | 4.3 | 3.5 | 1.8 | 0.7 | 1.0 | 0.7 | 1.5 | 0.3 | 1.5 | 1.1 | 0.8 | 19.5% |
1987 | 2.4 | 1.7 | 1.3 | -0.3 | 0.2 | 0.5 | 0.9 | -1.3 | 0.2 | 1.1 | -0.1 | 1.3 | 8.3% |
1988 | 2.9 | 3.2 | -0.3 | 0.7 | 0.1 | 1.5 | 1.2 | -0.1 | 1.6 | 1.1 | 0.1 | 0.5 | 13.1% |
1989 | 1.2 | 0.4 | 0.2 | 1.4 | 1.3 | 1.6 | 0.4 | -0.2 | -1.4 | 1.7 | 0.8 | 0.4 | 8.0% |
1990 | -0.1 | 0.5 | 0.3 | 0.1 | 2.2 | 2.0 | 2.8 | -0.5 | 0.8 | 1.0 | 1.4 | 1.0 | 12.2% |
1991 | 1.5 | 4.1 | 3.8 | 4.3 | 2.2 | 2.3 | 3.7 | 1.9 | 1.8 | 3.6 | 0.6 | 0.3 | 34.5% |
1992 | 3.6 | 2.8 | 2.6 | 1.2 | 1.6 | 1.4 | 1.6 | 1.3 | 0.9 | -1.3 | 0.9 | 0.5 | 18.3% |
1993 | 3.3 | 2.4 | 2.3 | 0.3 | 1.9 | 2.4 | 1.4 | 0.8 | -0.3 | 2.2 | 1.6 | 1.6 | 21.7% |
1994 | 4.4 | 0.3 | -1.1 | -0.4 | 0.2 | -0.0 | 0.7 | 0.5 | -0.1 | -0.3 | -0.6 | 0.2 | 3.7% |
1995 | 1.5 | 3.9 | 1.1 | 2.3 | 2.8 | 0.2 | 2.4 | 0.8 | 0.9 | -0.1 | 0.7 | 1.2 | 19.2% |
1996 | 2.8 | 1.3 | -0.0 | 0.3 | 1.2 | 0.4 | 0.3 | 1.7 | 3.0 | 0.8 | 1.6 | 1.6 | 16.0% |
1997 | 1.3 | 2.1 | -0.8 | 1.0 | 2.3 | 1.9 | 2.6 | 0.5 | 2.4 | 0.1 | 0.2 | 1.0 | 15.4% |
1998 | 2.0 | 1.1 | 1.5 | 0.5 | 0.2 | -0.0 | 0.5 | 0.4 | 1.1 | 0.3 | 4.6 | -0.5 | 12.1% |
1999 | 1.9 | 0.1 | 2.0 | 2.0 | -0.8 | 0.2 | 0.2 | 0.2 | 0.8 | 0.3 | 1.3 | 1.7 | 10.1% |
2000 | -0.5 | 0.5 | -0.2 | 0.1 | 0.3 | 1.2 | -0.1 | 0.3 | 0.6 | 0.5 | 1.1 | 1.3 | 5.3% |
2001 | 7.5 | 1.0 | -0.7 | 0.1 | 0.7 | -0.4 | 1.2 | 0.4 | 0.4 | 1.3 | 3.6 | -0.9 | 14.7% |
2002 | 0.2 | -0.4 | 2.0 | 1.0 | -0.1 | -0.0 | 1.2 | 0.6 | -0.2 | -0.2 | 3.8 | 0.4 | 8.6% |
2003 | 0.9 | 0.9 | 1.9 | 4.3 | 0.3 | 2.1 | -1.0 | 1.1 | 2.4 | 2.2 | 1.2 | 2.4 | 20.3% |
2004 | 2.1 | -0.8 | -0.3 | -1.1 | -0.4 | 1.0 | 1.2 | 1.7 | 1.3 | 1.9 | 1.7 | 1.4 | 10.0% |
2005 | -0.2 | 1.6 | -0.8 | 0.7 | 0.5 | 1.3 | 1.8 | 0.5 | -1.3 | -0.5 | 0.4 | 1.1 | 5.3% |
2006 | 1.3 | 0.8 | 0.6 | 1.3 | 0.1 | -0.5 | 0.8 | 1.4 | 1.1 | 1.6 | 1.5 | 1.3 | 11.8% |
2007 | 1.3 | 1.4 | 0.4 | 1.5 | 1.0 | -0.3 | 0.9 | 1.0 | 1.2 | 0.7 | -0.4 | 0.3 | 9.4% |
2008 | 2.0 | 0.8 | 0.3 | 2.6 | 0.4 | -0.4 | 0.3 | 0.5 | 0.4 | -0.2 | 1.4 | 1.5 | 10.0% |
2009 | 4.0 | -0.7 | 2.7 | 9.5 | 6.3 | 3.0 | 6.2 | 2.0 | 5.1 | 1.3 | 2.1 | 3.5 | 55.0% |
2010 | 1.0 | -0.9 | 4.1 | 2.4 | -3.1 | 0.0 | 3.1 | -0.5 | 3.3 | 3.0 | -0.3 | 1.5 | 14.1% |
2011 | 2.5 | 1.5 | 0.3 | 1.9 | 0.5 | -1.0 | 0.6 | -1.3 | -0.1 | 2.7 | -2.2 | 1.8 | 7.3% |
2012 | 2.8 | 2.4 | 0.1 | 0.9 | -1.0 | 0.8 | 1.8 | 1.5 | 1.5 | 0.9 | 0.3 | 1.3 | 14.1% |
2013 | 1.6 | 0.6 | 1.2 | 1.8 | -0.2 | -0.4 | 0.4 | -0.4 | 0.1 | 1.9 | 0.7 | 0.6 | 8.0% |
2014 | 0.8 | 1.9 | 0.3 | 0.8 | 1.1 | 0.8 | -0.1 | 0.2 | -0.5 | 0.0 | -0.1 | 0.0 | 5.2% |
2015 | -0.0 | 2.3 | -0.5 | 1.4 | 0.6 | -1.4 | 0.0 | 0.0 | 0.0 | 0.5 | -0.5 | 0.0 | 2.4% |
2016 | 0.0 | 0.0 | 2.0 | 4.6 | 2.1 | 0.9 | 2.7 | 2.9 | 0.2 | 0.8 | -0.3 | 1.8 | 19.0% |
2017 | 0.7 | 0.9 | -0.6 | 0.9 | 0.8 | 0.5 | 1.5 | -0.4 | 0.7 | 0.3 | -0.5 | 0.4 | 5.3% |
2018 | 0.7 | -0.5 | 0.1 | 0.1 | 0.2 | -0.2 | 0.6 | 0.7 | 0.4 | -0.7 | 0.2 | 0.2 | 1.8% |
2019 | 1.9 | 1.5 | 0.9 | 1.7 | -0.9 | 1.1 | 0.4 | 0.3 | 0.7 | -0.1 | 0.6 | 1.8 | 10.1% |
2020 | 0.2 | -0.2 | 0.1 | -1.1 | 2.4 | 0.8 | 4.2 | 0.8 | -1.7 | 0.3 | 3.4 | 2.4 | 12.0% |
2021 | 0.9 | 1.3 | -0.0 | 1.8 | 0.2 | 0.8 | 0.1 | 0.5 | 0.2 | 0.5 | -0.2 | 0.2 | 6.6% |
2022 | -0.9 | 0.0 | 0.0 | 0.0 | 0.1 | 0.1 | 0.7 | -0.8 | -0.4 | 0.2 | 1.6 | -0.4 | 0.2% |
2023 | 3.1 | -1.9 | -0.2 | 1.3 | -1.1 | 2.4 | 1.5 | 0.6 | -1.8 | -0.1 | 1.6 | 2.7 | 8.4% |
2024 | 0.5 | 0.6 | 1.1 | -0.8 | 0.5 | 0.8 | 1.5 | 1.3 | 1.1 | -0.2 | 1.2 | 0.1 | 8.0% |
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