Developed World ex-US Stocks Momentum vs Bill Bernstein Sheltered Sam 60/40 Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US Stocks Momentum Portfolio obtained a 5.00% compound annual return, with a 13.60% standard deviation, in the last 10 Years.

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 5.60% compound annual return, with a 9.20% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US Stocks Momentum Portfolio Bill Bernstein Sheltered Sam 60/40 Portfolio
Portfolio Risk Very High High
Asset Allocation Stocks 100% 58.2%
Fixed Income 0% 40%
Commodities 0% 1.8%
10 Years Stats Return +5.00% +5.60%
Std Dev 13.60% 9.20%
Max Drawdown -28.57% -16.48%
All time Stats
(Since Aug 2009)
Return +6.55% +7.24%
Std Dev 15.24% 9.14%
Max Drawdown -28.57% -16.48%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US Stocks Momentum Portfolio +5.40 +15.30 +20.62 +8.78 +5.00 +6.55
Bill Bernstein Sheltered Sam 60/40 Portfolio +1.65 +6.11 +9.32 +6.10 +5.60 +7.24
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.63$, with a total return of 62.90% (5.00% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since March 2014, now would be worth 1.72$, with a total return of 72.39% (5.60% annualized).

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.52$, with a total return of 152.39% (6.55% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since August 2009, now would be worth 2.77$, with a total return of 177.16% (7.24% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US Stocks Momentum Portfolio
Bill Bernstein Sheltered Sam 60/40 Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.48% Jan 2022 Sep 2022 (9) In progress (26) 7.78
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.38% Jan 2020 Mar 2020 (3) Nov 2020 (11) 6.07
-7.94% Sep 2018 Dec 2018 (4) Apr 2019 (8) 3.47
-6.29% Jun 2015 Jan 2016 (8) Jun 2016 (13) 3.49
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.44% May 2019 May 2019 (1) Jun 2019 (2) 1.99
-3.16% Feb 2018 Mar 2018 (2) Jul 2018 (6) 2.16
-2.73% Sep 2014 Sep 2014 (1) Nov 2014 (3) 1.39
-2.50% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.44
-1.99% Mar 2014 Apr 2014 (2) May 2014 (3) 1.17
-1.80% Jun 2021 Jun 2021 (1) Aug 2021 (3) 0.96
-1.69% Nov 2021 Nov 2021 (1) Dec 2021 (2) 0.97
-1.60% Oct 2016 Oct 2016 (1) Nov 2016 (2) 0.92
-1.21% Jul 2014 Jul 2014 (1) Aug 2014 (2) 0.70
-1.01% Jan 2021 Jan 2021 (1) Apr 2021 (4) 0.54

Drawdown comparison chart since August 2009.

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Developed World ex-US Stocks Momentum Portfolio
Bill Bernstein Sheltered Sam 60/40 Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-26.91% May 2011 Sep 2011 (5) Apr 2013 (24) 14.61
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.48% Jan 2022 Sep 2022 (9) In progress (26) 7.78
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.38% Jan 2020 Mar 2020 (3) Nov 2020 (11) 6.07
-14.08% Apr 2010 Jun 2010 (3) Sep 2010 (6) 8.07
-11.25% May 2011 Sep 2011 (5) Feb 2012 (10) 4.82
-7.94% Sep 2018 Dec 2018 (4) Apr 2019 (8) 3.47
-7.59% May 2010 Jun 2010 (2) Oct 2010 (6) 4.19
-7.18% Jan 2010 Jan 2010 (1) Mar 2010 (3) 4.79
-6.52% May 2013 Jun 2013 (2) Sep 2013 (5) 4.30
-6.29% Jun 2015 Jan 2016 (8) Jun 2016 (13) 3.49
-5.15% Jan 2014 Jan 2014 (1) Jun 2014 (6) 2.47
-4.47% Apr 2012 May 2012 (2) Aug 2012 (5) 2.00
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.44% May 2019 May 2019 (1) Jun 2019 (2) 1.99
-3.43% Nov 2010 Nov 2010 (1) Dec 2010 (2) 1.98

Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Year Return Drawdown Return Drawdown
2024
+8.63%
0.00%
+0.90%
-0.74%
2023
+13.91%
-8.35%
+10.82%
-6.95%
2022
-16.80%
-28.32%
-10.58%
-16.48%
2021
+6.60%
-4.63%
+14.69%
-2.50%
2020
+22.16%
-15.97%
+7.21%
-14.38%
2019
+24.51%
-2.38%
+17.21%
-3.44%
2018
-14.30%
-19.22%
-5.00%
-7.94%
2017
+25.46%
-0.73%
+11.37%
0.00%
2016
+0.47%
-7.09%
+9.92%
-2.59%
2015
-1.60%
-12.26%
-1.72%
-6.23%
2014
-9.19%
-9.77%
+6.04%
-2.73%
2013
+22.20%
-6.52%
+14.05%
-2.24%
2012
+17.94%
-8.24%
+11.12%
-4.47%
2011
-14.36%
-26.91%
+1.31%
-11.25%
2010
+14.14%
-14.08%
+12.35%
-7.59%