Data Source: from January 1985 to December 2022
Consolidated Returns as of 31 December 2022

Managing the Bill Bernstein Sheltered Sam 30/70 Portfolio with a yearly rebalancing, you would have obtained a 5.91% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 5.91%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Dec 31, 2022

Implementing different rebalancing strategies, the Bill Bernstein Sheltered Sam 30/70 Portfolio guaranteed the following returns.

According to the available data source, let's assume we built the portfolio on January 1985.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
BILL BERNSTEIN SHELTERED SAM 30/70 PORTFOLIO RETURNS
Period: January 1985 - December 2022
Swipe left to see all data
 
Return (%) and number of rebalances as of Dec 31, 2022
Rebalancing Strategy 1Y 5Y(*) 10Y(*) 30Y(*) (**)Since
Inception
Yearly Rebalancing -9.07 (1) 2.68 (5) 3.39 (10) 5.91 (30) 7.28 (38)
Half Yearly Rebalancing -9.04 (2) 2.79 (10) 3.38 (20) 5.82 (60) 7.21 (76)
Quarterly Rebalancing -8.97 (4) 2.98 (20) 3.44 (40) 5.91 (120) 7.28 (152)
5% Tolerance per asset -9.38 (0) 2.63 (1) 3.46 (3) 5.94 (10) 7.25 (11)
10% Tolerance per asset -10.02 (0) 2.73 (0) 3.53 (1) 5.80 (3) 7.16 (3)
(*) Returns over 1 year are annualized
(**) Since Jan 1985 (~38 yrs) | Annualized Returns

In order to have complete information about the portfolio, please refer to the Bill Bernstein Sheltered Sam 30/70 Portfolio: ETF allocation and returns page.

Performances as of Dec 31, 2022

Historical returns and stats of Bill Bernstein Sheltered Sam 30/70 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 30/70 PORTFOLIO PERFORMANCES
Period: January 1985 - December 2022
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy (*)Return (%) StDev(%) Ret/StDev MaxDD(%) Ret/MaxDD
Yearly Rebalancing 7.28 (38) 5.47 1.33 -16.58 0.44
Half Yearly Rebalancing 7.21 (76) 5.45 1.32 -17.18 0.42
Quarterly Rebalancing 7.28 (152) 5.48 1.33 -17.72 0.41
5% Tolerance per asset 7.25 (11) 5.63 1.29 -16.65 0.44
10% Tolerance per asset 7.16 (3) 6.11 1.17 -17.86 0.40
(*) Since Jan 1985 (~38 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Dec 31, 2022

Historical Drawdowns of Bill Bernstein Sheltered Sam 30/70 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 30/70 PORTFOLIO DRAWDOWNS
Period: January 1985 - December 2022
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-16.58
Jun 2008 - Nov 2009
-17.18
Jun 2008 - Mar 2010
-17.72
Jun 2008 - Mar 2010
-16.65
Jun 2008 - Mar 2010
-17.86
Jun 2008 - Apr 2010
-12.55
Jan 2022 - In progress
-12.69
Jan 2022 - In progress
-12.71
Jan 2022 - In progress
-12.96
Jan 2022 - In progress
-14.18
Jan 2022 - In progress
-7.59
Sep 1987 - Jun 1988
-6.43
Sep 1987 - Feb 1988
-6.24
Feb 2020 - Jul 2020
-7.58
Sep 1987 - Jun 1988
-8.96
Sep 1987 - Jun 1988
-6.24
Feb 2020 - Jul 2020
-6.24
Feb 2020 - Jul 2020
-5.87
Sep 1987 - Feb 1988
-7.04
Feb 2020 - Jul 2020
-7.40
Feb 2020 - Jul 2020
-5.67
Feb 1994 - Apr 1995
-5.67
Feb 1994 - Apr 1995
-5.69
Feb 1994 - Mar 1995
-5.79
Feb 1994 - Apr 1995
-6.68
Aug 1990 - Jan 1991
5 Worst Drawdowns - Average
-9.73 -9.64 -9.65 -10.00 -11.02
10 Worst Drawdowns - Average
-6.92 -6.86 -6.84 -7.27 -8.09

For a deeper insight, please refer to the Bill Bernstein Sheltered Sam 30/70 Portfolio: ETF allocation and returns page.

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