Although the second half of May was weak for US Treasuries, long-term US Treasuries had a positive return in May as the iShares 20+ Year Treasury Bond ETF (TLT) rallied 2.9%. Despite that rally, TLT has been in a steady downtrend for who knows how long. It's hard to imagine a stock, index, or asset class that has been in a more well-defined downtrend over the last two years. While there have been plenty of times during this period when TLT has rallied above its 50 and 200-DMAs, they haven't lasted long.

The chart below shows the annualized return of the Bank of America 10+ Year Treasury Index over the last one, two, five, ten, and twenty years. While long-term treasuries have averaged a gain of about 8% per year dating back to the late 1970s, in more recent years, performance hasn't been anywhere close to those levels. Over the last year, long-term treasuries are down close to 7%, and over the last two years, the annualized return has been a decline of 7.3%. Even over the last five years, annualized returns are still negative 4%.It isn't until you go out ten years that annualized returns are positive, and at 0.5%, that's hardly anything!

The last several years could go down as one of the worst periods on record for US Treasuries. The chart below shows the year/year change in the BofA 10+ Year US Treasury Total Return Index. While there have been plenty of months (15) over the last 40 when US Treasuries had a positive return, there has only been one when the index had a positive return on a year/year basis. As shown in the chart below, the only other period where y/y returns were anywhere close to as consistent to the downside was from October 1979 through October 1981, but even then there were three positive y/y readings in what was a shorter 25-month period. Additionally, the magnitude of the y/y decline during that late 1970s/early 1980s period wasn't anywhere near as deep as the losses during the current period.

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