Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.38%
1 Day
Dec 01 2023
0.38%
Current Month
December 2023
The Bill Bernstein Sheltered Sam 0/100 Portfolio is a Low Risk portfolio and can be implemented with 2 ETFs.
It's exposed for 0% on the Stock Market.
In the last 30 Years, the Bill Bernstein Sheltered Sam 0/100 Portfolio obtained a 3.80% compound annual return, with a 3.21% standard deviation.
Table of contents
Asset Allocation and ETFs
The Bill Bernstein Sheltered Sam 0/100 Portfolio has the following asset allocation:
0% Stocks
100% Fixed Income
0% Commodities
The Bill Bernstein Sheltered Sam 0/100 Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 60.00 |
SHY
|
USD | iShares 1-3 Year Treasury Bond | Bond, U.S., Short Term |
| 40.00 |
TIP
|
USD | iShares TIPS Bond | Bond, U.S., All-Term |
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.
Portfolio and ETF Returns as of Nov 30, 2023
The Bill Bernstein Sheltered Sam 0/100 Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
BILL BERNSTEIN SHELTERED SAM 0/100 PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 01 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~39Y) |
|||
| Bill Bernstein Sheltered Sam 0/100 Portfolio | 0.38 | 0.38 | 1.72 | 0.50 | 1.59 | 1.58 | 1.18 | 3.80 | 5.31 | |||
| US Inflation Adjusted return | 1.72 | -0.66 | -1.70 | -2.39 | -1.59 | 1.25 | 2.45 | |||||
| Components | ||||||||||||
|
SHY
|
USD | iShares 1-3 Year Treasury Bond | 0.29 | Dec 01 2023 | 0.29 | 1.05 | 1.53 | 2.96 | 1.04 | 0.77 | 3.00 | 4.33 |
|
TIP
|
USD | iShares TIPS Bond | 0.51 | Dec 01 2023 | 0.51 | 2.77 | -1.03 | -0.52 | 2.25 | 1.70 | 4.90 | 6.69 |
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023.
Waiting for updates, inflation of Nov 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.35%
, 5Y: 4.07%
, 10Y: 2.82%
, 30Y: 2.52%
Live update: World Markets and Indexes
In 2022, the Bill Bernstein Sheltered Sam 0/100 Portfolio granted a 3.10% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 0/100 Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993,
now would be worth 3.06$, with a total return of 206.34% (3.80% annualized).
The Inflation Adjusted Capital now would be 1.45$, with a net total return of 45.17% (1.25% annualized).
The Inflation Adjusted Capital now would be 1.45$, with a net total return of 45.17% (1.25% annualized).
An investment of 1$, since January 1985,
now would be worth 7.50$, with a total return of 649.64% (5.31% annualized).
The Inflation Adjusted Capital now would be 2.57$, with a net total return of 156.56% (2.45% annualized).
The Inflation Adjusted Capital now would be 2.57$, with a net total return of 156.56% (2.45% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of Bill Bernstein Sheltered Sam 0/100 Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
BILL BERNSTEIN SHELTERED SAM 0/100 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~39Y) |
|
| Investment Return (%) | 1.72 | 0.82 | 0.50 | 1.59 | -1.18 | 1.58 | 1.18 | 2.37 | 3.80 | 5.31 |
| Infl. Adjusted Return (%) details | 1.72 | 0.61 | -0.66 | -1.70 | -6.55 | -2.39 | -1.59 | -0.21 | 1.25 | 2.45 |
| US Inflation (%) | 0.00 | 0.21 | 1.17 | 3.35 | 5.74 | 4.07 | 2.82 | 2.59 | 2.52 | 2.79 |
| Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||||
|
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -2.11 | -8.61 | -8.61 | -8.61 | -8.61 | -8.61 | -8.61 | |||
| Start to Recovery (# months) details | 7* | 23* | 23* | 23* | 23* | 23* | 23* | |||
| Start (yyyy mm) | 2023 05 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | |||
| Start to Bottom (# months) | 6 | 9 | 9 | 9 | 9 | 9 | 9 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 14 | 14 | 14 | |||
| End (yyyy mm) | - | - | - | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
-3.63 | -3.63 | -3.63 | |||
| Start to Recovery (# months) details | 38 | 38 | 38 | |||||||
| Start (yyyy mm) | 2023 05 | 2022 01 | 2022 01 | 2022 01 | 2013 05 | 2013 05 | 2013 05 | |||
| Start to Bottom (# months) | 6 | 9 | 9 | 9 | 8 | 8 | 8 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2013 12 | 2013 12 | 2013 12 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 30 | 30 | 30 | |||
| End (yyyy mm) | - | - | - | - | 2016 06 | 2016 06 | 2016 06 | |||
| Longest negative period (# months) details | 11 | 36* | 45 | 45 | 49 | 49 | 49 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2020 02 | 2020 02 | 2012 12 | 2012 12 | 2012 12 | |||
| Period End (yyyy mm) | 2023 10 | 2023 11 | 2023 10 | 2023 10 | 2016 12 | 2016 12 | 2016 12 | |||
| Annualized Return (%) | -0.14 | -1.18 | -0.26 | -0.26 | -0.02 | -0.02 | -0.02 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -3.80 | -20.07 | -20.07 | -20.07 | -20.07 | -20.07 | -20.07 | |||
| Start to Recovery (# months) details | 8* | 35* | 35* | 35* | 35* | 35* | 35* | |||
| Start (yyyy mm) | 2023 04 | 2021 01 | 2021 01 | 2021 01 | 2021 01 | 2021 01 | 2021 01 | |||
| Start to Bottom (# months) | 7 | 34 | 34 | 34 | 34 | 34 | 34 | |||
| Bottom (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | |||
| Bottom to End (# months) | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
| End (yyyy mm) | - | - | - | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
-6.86 | -8.53 | -8.53 | -8.53 | |||
| Start to Recovery (# months) details | 63 | 92 | 92 | 92 | ||||||
| Start (yyyy mm) | 2023 04 | 2021 01 | 2021 01 | 2015 02 | 2012 12 | 2012 12 | 2012 12 | |||
| Start to Bottom (# months) | 7 | 34 | 34 | 45 | 71 | 71 | 71 | |||
| Bottom (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2018 10 | 2018 10 | 2018 10 | 2018 10 | |||
| Bottom to End (# months) | 1 | 1 | 1 | 18 | 21 | 21 | 21 | |||
| End (yyyy mm) | - | - | - | 2020 04 | 2020 07 | 2020 07 | 2020 07 | |||
| Longest negative period (# months) details | 12* | 36* | 60* | 120* | 240* | 255 | 255 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2018 12 | 2013 12 | 2003 12 | 2002 08 | 2002 08 | |||
| Period End (yyyy mm) | 2023 11 | 2023 11 | 2023 11 | 2023 11 | 2023 11 | 2023 10 | 2023 10 | |||
| Annualized Return (%) | -1.70 | -6.55 | -2.39 | -1.59 | -0.21 | -0.03 | -0.03 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 3.50 | 3.79 | 3.30 | 2.68 | 2.90 | 3.21 | 3.67 | |||
| Sharpe Ratio | -0.94 | -0.82 | -0.03 | 0.05 | 0.37 | 0.49 | 0.36 | |||
| Sortino Ratio | -1.57 | -1.10 | -0.04 | 0.07 | 0.51 | 0.68 | 0.52 | |||
| Ulcer Index | 1.10 | 4.71 | 3.67 | 2.66 | 2.08 | 1.93 | 1.75 | |||
| Ratio: Return / Standard Deviation | 0.45 | -0.31 | 0.48 | 0.44 | 0.82 | 1.19 | 1.45 | |||
| Ratio: Return / Deepest Drawdown | 0.76 | -0.14 | 0.18 | 0.14 | 0.28 | 0.44 | 0.62 | |||
| % Positive Months details | 41% | 50% | 63% | 60% | 65% | 66% | 68% | |||
| Positive Months | 5 | 18 | 38 | 72 | 157 | 239 | 320 | |||
| Negative Months | 7 | 18 | 22 | 48 | 83 | 121 | 147 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 1.18 | 3.60 | 7.51 | 9.52 | ||||||
| Worst 10 Years Return (%) - Annualized | 0.61 | 0.61 | 0.61 | |||||||
| Best 10 Years Return (%) - Annualized | -1.59 | 1.55 | 4.93 | 5.72 | ||||||
| Worst 10 Years Return (%) - Annualized | -1.89 | -1.89 | -1.89 | |||||||
|
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 16.47 | 10.67 | 8.13 | 7.51 | 5.42 | 3.80 | ||||
| Worst Rolling Return (%) - Annualized | -8.05 | -1.65 | 0.11 | 0.61 | 2.28 | |||||
| % Positive Periods | 85% | 92% | 100% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 13.59 | 8.20 | 5.66 | 4.93 | 3.02 | 1.25 | ||||
| Worst Rolling Return (%) - Annualized | -15.02 | -7.00 | -2.74 | -1.89 | -0.29 | |||||
| % Positive Periods | 65% | 69% | 75% | 88% | 88% | 100% | ||||
| Over all the available data source (Jan 1985 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 25.65 | 12.90 | 11.38 | 9.52 | 8.29 | 6.60 | ||||
| Worst Rolling Return (%) - Annualized | -8.05 | -1.65 | 0.11 | 0.61 | 2.28 | 3.72 | ||||
| % Positive Periods | 87% | 94% | 100% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 22.88 | 9.56 | 7.10 | 5.72 | 5.13 | 3.81 | ||||
| Worst Rolling Return (%) - Annualized | -15.02 | -7.00 | -2.74 | -1.89 | -0.29 | 1.16 | ||||
| % Positive Periods | 69% | 76% | 82% | 91% | 93% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 30.81 | 20.16 | 9.83 | 5.43 | 4.82 | 5.90 | ||||
| Perpetual WR (%) | 0.00 | 0.00 | 0.00 | 0.00 | 1.23 | 2.39 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation)
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
| Asset |
SHY
|
TIP
|
|---|---|---|
|
SHY
|
-
|
0.83
|
|
TIP
|
0.83
|
-
|
| Asset |
SHY
|
TIP
|
|---|---|---|
|
SHY
|
-
|
0.62
|
|
TIP
|
0.62
|
-
|
| Asset |
SHY
|
TIP
|
|---|---|---|
|
SHY
|
-
|
0.62
|
|
TIP
|
0.62
|
-
|
| Asset |
SHY
|
TIP
|
|---|---|---|
|
SHY
|
-
|
0.62
|
|
TIP
|
0.62
|
-
|
| Asset |
SHY
|
TIP
|
|---|---|---|
|
SHY
|
-
|
0.71
|
|
TIP
|
0.71
|
-
|
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
BILL BERNSTEIN SHELTERED SAM 0/100 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -8.61% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 5.84 |
| -5.22% | Feb 1994 | Jun 1994 | 5 | Mar 1995 | 9 | 14 | 3.81 |
| -3.67% | Sep 2008 | Oct 2008 | 2 | Dec 2008 | 2 | 4 | 2.10 |
| -3.63% | May 2013 | Dec 2013 | 8 | Jun 2016 | 30 | 38 | 1.94 |
| -3.19% | Feb 1996 | May 1996 | 4 | Oct 1996 | 5 | 9 | 2.00 |
| -2.60% | Apr 2004 | Apr 2004 | 1 | Aug 2004 | 4 | 5 | 1.61 |
| -2.40% | Jun 2003 | Jul 2003 | 2 | Sep 2003 | 2 | 4 | 1.34 |
| -2.01% | Nov 2001 | Dec 2001 | 2 | Apr 2002 | 4 | 6 | 1.21 |
| -1.98% | Feb 1999 | Aug 1999 | 7 | Feb 2000 | 6 | 13 | 1.31 |
| -1.58% | Dec 1996 | Mar 1997 | 4 | May 1997 | 2 | 6 | 0.76 |
| -1.53% | Oct 2002 | Nov 2002 | 2 | Dec 2002 | 1 | 3 | 0.95 |
| -1.48% | Nov 2010 | Dec 2010 | 2 | Apr 2011 | 4 | 6 | 0.99 |
| -1.38% | Oct 2016 | Nov 2016 | 2 | Aug 2017 | 9 | 11 | 0.76 |
| -1.37% | Dec 2009 | Dec 2009 | 1 | Apr 2010 | 4 | 5 | 0.74 |
| -1.24% | Jan 2009 | Feb 2009 | 2 | Mar 2009 | 1 | 3 | 0.64 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -20.07% | Jan 2021 | Oct 2023 | 34 | in progress | 1 | 35 | 13.27 |
| -8.53% | Dec 2012 | Oct 2018 | 71 | Jul 2020 | 21 | 92 | 4.85 |
| -7.18% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.04 |
| -5.53% | Mar 2008 | Oct 2008 | 8 | Dec 2008 | 2 | 10 | 3.16 |
| -4.98% | Apr 2004 | May 2006 | 26 | Oct 2007 | 17 | 43 | 2.54 |
| -4.57% | Jan 1996 | May 1996 | 5 | Nov 1996 | 6 | 11 | 2.88 |
| -3.85% | Feb 1999 | Jan 2000 | 12 | Aug 2000 | 7 | 19 | 2.63 |
| -2.90% | Nov 2010 | Mar 2011 | 5 | Oct 2011 | 7 | 12 | 1.70 |
| -2.61% | Jun 2003 | Jul 2003 | 2 | Dec 2003 | 5 | 7 | 1.33 |
| -2.44% | Dec 1996 | Mar 1997 | 4 | Jun 1997 | 3 | 7 | 1.14 |
| -2.16% | Jan 2009 | Feb 2009 | 2 | Mar 2009 | 1 | 3 | 1.14 |
| -1.89% | Feb 2012 | Mar 2012 | 2 | Jul 2012 | 4 | 6 | 0.97 |
| -1.86% | Nov 2001 | Mar 2002 | 5 | May 2002 | 2 | 7 | 1.07 |
| -1.69% | Oct 2002 | Nov 2002 | 2 | Dec 2002 | 1 | 3 | 1.07 |
| -1.48% | Dec 2009 | Mar 2010 | 4 | Jun 2010 | 3 | 7 | 0.78 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -8.61% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 5.84 |
| -5.22% | Feb 1994 | Jun 1994 | 5 | Mar 1995 | 9 | 14 | 3.81 |
| -3.71% | Mar 1987 | Sep 1987 | 7 | Nov 1987 | 2 | 9 | 2.02 |
| -3.67% | Sep 2008 | Oct 2008 | 2 | Dec 2008 | 2 | 4 | 2.10 |
| -3.63% | May 2013 | Dec 2013 | 8 | Jun 2016 | 30 | 38 | 1.94 |
| -3.19% | Feb 1996 | May 1996 | 4 | Oct 1996 | 5 | 9 | 2.00 |
| -2.60% | Apr 2004 | Apr 2004 | 1 | Aug 2004 | 4 | 5 | 1.61 |
| -2.40% | Jun 2003 | Jul 2003 | 2 | Sep 2003 | 2 | 4 | 1.34 |
| -2.01% | Nov 2001 | Dec 2001 | 2 | Apr 2002 | 4 | 6 | 1.21 |
| -1.99% | May 1986 | May 1986 | 1 | Jun 1986 | 1 | 2 | 1.15 |
| -1.98% | Mar 1988 | May 1988 | 3 | Sep 1988 | 4 | 7 | 0.93 |
| -1.98% | Feb 1999 | Aug 1999 | 7 | Feb 2000 | 6 | 13 | 1.31 |
| -1.78% | Feb 1985 | Feb 1985 | 1 | Apr 1985 | 2 | 3 | 0.89 |
| -1.65% | Jan 1992 | Jan 1992 | 1 | May 1992 | 4 | 5 | 1.14 |
| -1.63% | Oct 1992 | Oct 1992 | 1 | Dec 1992 | 2 | 3 | 1.12 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -20.07% | Jan 2021 | Oct 2023 | 34 | in progress | 1 | 35 | 13.27 |
| -8.53% | Dec 2012 | Oct 2018 | 71 | Jul 2020 | 21 | 92 | 4.85 |
| -7.18% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.04 |
| -6.56% | Mar 1987 | Sep 1987 | 7 | Jan 1988 | 4 | 11 | 3.48 |
| -5.53% | Mar 2008 | Oct 2008 | 8 | Dec 2008 | 2 | 10 | 3.16 |
| -4.98% | Apr 2004 | May 2006 | 26 | Oct 2007 | 17 | 43 | 2.54 |
| -4.57% | Jan 1996 | May 1996 | 5 | Nov 1996 | 6 | 11 | 2.88 |
| -3.85% | Feb 1999 | Jan 2000 | 12 | Aug 2000 | 7 | 19 | 2.63 |
| -3.39% | Jan 1990 | Apr 1990 | 4 | Jul 1990 | 3 | 7 | 1.93 |
| -3.23% | Mar 1988 | May 1988 | 3 | May 1989 | 12 | 15 | 1.90 |
| -2.90% | Nov 2010 | Mar 2011 | 5 | Oct 2011 | 7 | 12 | 1.70 |
| -2.61% | Jun 2003 | Jul 2003 | 2 | Dec 2003 | 5 | 7 | 1.33 |
| -2.61% | Jan 1992 | Mar 1992 | 3 | Jun 1992 | 3 | 6 | 1.61 |
| -2.44% | Dec 1996 | Mar 1997 | 4 | Jun 1997 | 3 | 7 | 1.14 |
| -2.26% | May 1986 | May 1986 | 1 | Jun 1986 | 1 | 2 | 1.30 |
Rolling Returns
( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
BILL BERNSTEIN SHELTERED SAM 0/100 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -8.05 |
10/2021 09/2022 |
0.91$ | -0.05 | 0.99$ | 3.76 | 1.03$ | 9.15 | 1.09$ | 16.47 |
01/1995 12/1995 |
1.16$ | 1.59 | 14.90% |
| 2Y | -3.54 |
11/2021 10/2023 |
0.93$ | 0.48 | 1.00$ | 4.19 | 1.08$ | 7.77 | 1.16$ | 11.64 |
10/2000 09/2002 |
1.24$ | -2.87 | 10.68% |
| 3Y | -1.65 |
10/2020 09/2023 |
0.95$ | 0.77 | 1.02$ | 4.19 | 1.13$ | 7.15 | 1.23$ | 10.67 |
06/2000 05/2003 |
1.35$ | -1.18 | 7.08% |
| 5Y | 0.11 |
05/2013 04/2018 |
1.00$ | 1.31 | 1.06$ | 4.30 | 1.23$ | 7.23 | 1.41$ | 8.13 |
10/1997 09/2002 |
1.47$ | 1.58 | 0.00% |
| 7Y | 0.55 |
11/2011 10/2018 |
1.03$ | 1.34 | 1.09$ | 4.32 | 1.34$ | 6.83 | 1.58$ | 8.31 |
11/1994 10/2001 |
1.74$ | 1.27 | 0.00% |
| 10Y | 0.61 |
10/2012 09/2022 |
1.06$ | 1.87 | 1.20$ | 3.58 | 1.42$ | 6.15 | 1.81$ | 7.51 |
11/1994 10/2004 |
2.06$ | 1.18 | 0.00% |
| 15Y | 1.59 |
03/2008 02/2023 |
1.26$ | 2.64 | 1.47$ | 3.81 | 1.75$ | 5.86 | 2.34$ | 6.54 |
12/1994 11/2009 |
2.58$ | 1.88 | 0.00% |
| 20Y | 2.28 |
11/2003 10/2023 |
1.57$ | 2.88 | 1.76$ | 3.96 | 2.17$ | 4.90 | 2.60$ | 5.42 |
07/1994 06/2014 |
2.87$ | 2.37 | 0.00% |
| 30Y | 3.80 |
12/1993 11/2023 |
3.06$ | 3.80 | 3.06$ | 3.80 | 3.06$ | 3.80 | 3.06$ | 3.80 |
12/1993 11/2023 |
3.06$ | 3.80 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -15.02 |
10/2021 09/2022 |
0.84$ | -2.65 | 0.97$ | 1.56 | 1.01$ | 6.29 | 1.06$ | 13.59 |
01/1995 12/1995 |
1.13$ | -1.70 | 34.38% |
| 2Y | -9.35 |
10/2020 09/2022 |
0.82$ | -1.26 | 0.97$ | 1.70 | 1.03$ | 5.01 | 1.10$ | 9.37 |
10/2000 09/2002 |
1.19$ | -7.68 | 31.16% |
| 3Y | -7.00 |
10/2020 09/2023 |
0.80$ | -0.85 | 0.97$ | 1.77 | 1.05$ | 4.55 | 1.14$ | 8.20 |
06/2000 05/2003 |
1.26$ | -6.55 | 30.77% |
| 5Y | -2.74 |
11/2017 10/2022 |
0.87$ | -0.55 | 0.97$ | 1.68 | 1.08$ | 4.70 | 1.25$ | 5.66 |
10/1997 09/2002 |
1.31$ | -2.39 | 24.25% |
| 7Y | -2.61 |
10/2016 09/2023 |
0.83$ | -0.48 | 0.96$ | 1.79 | 1.13$ | 4.32 | 1.34$ | 5.73 |
06/1996 05/2003 |
1.47$ | -2.19 | 21.30% |
| 10Y | -1.89 |
11/2012 10/2022 |
0.82$ | 0.15 | 1.01$ | 1.39 | 1.14$ | 3.49 | 1.40$ | 4.93 |
01/1995 12/2004 |
1.61$ | -1.59 | 11.62% |
| 15Y | -0.76 |
03/2008 02/2023 |
0.89$ | 0.52 | 1.08$ | 1.74 | 1.29$ | 3.33 | 1.63$ | 3.96 |
12/1994 11/2009 |
1.79$ | -0.61 | 8.84% |
| 20Y | -0.29 |
11/2003 10/2023 |
0.94$ | 0.36 | 1.07$ | 1.81 | 1.43$ | 2.59 | 1.66$ | 3.02 |
12/1994 11/2014 |
1.81$ | -0.21 | 11.57% |
| 30Y | 1.25 |
12/1993 11/2023 |
1.45$ | 1.25 | 1.45$ | 1.25 | 1.45$ | 1.25 | 1.45$ | 1.25 |
12/1993 11/2023 |
1.45$ | 1.25 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -8.05 |
10/2021 09/2022 |
0.91$ | 0.23 | 1.00$ | 4.71 | 1.04$ | 11.13 | 1.11$ | 25.65 |
04/1985 03/1986 |
1.25$ | 1.59 | 12.72% |
| 2Y | -3.54 |
11/2021 10/2023 |
0.93$ | 0.86 | 1.01$ | 4.87 | 1.09$ | 9.69 | 1.20$ | 16.93 |
03/1985 02/1987 |
1.36$ | -2.87 | 8.11% |
| 3Y | -1.65 |
10/2020 09/2023 |
0.95$ | 1.17 | 1.03$ | 5.39 | 1.17$ | 9.09 | 1.29$ | 12.90 |
03/1985 02/1988 |
1.43$ | -1.18 | 5.32% |
| 5Y | 0.11 |
05/2013 04/2018 |
1.00$ | 1.58 | 1.08$ | 5.17 | 1.28$ | 8.33 | 1.49$ | 11.38 |
09/1988 08/1993 |
1.71$ | 1.58 | 0.00% |
| 7Y | 0.55 |
11/2011 10/2018 |
1.03$ | 1.73 | 1.12$ | 5.66 | 1.47$ | 8.21 | 1.73$ | 11.00 |
01/1985 12/1991 |
2.07$ | 1.27 | 0.00% |
| 10Y | 0.61 |
10/2012 09/2022 |
1.06$ | 2.01 | 1.21$ | 5.85 | 1.76$ | 7.74 | 2.10$ | 9.52 |
03/1985 02/1995 |
2.48$ | 1.18 | 0.00% |
| 15Y | 1.59 |
03/2008 02/2023 |
1.26$ | 2.80 | 1.51$ | 5.71 | 2.30$ | 7.80 | 3.08$ | 8.54 |
10/1987 09/2002 |
3.42$ | 1.88 | 0.00% |
| 20Y | 2.28 |
11/2003 10/2023 |
1.57$ | 3.53 | 2.00$ | 5.25 | 2.78$ | 7.09 | 3.93$ | 8.29 |
01/1985 12/2004 |
4.91$ | 2.37 | 0.00% |
| 30Y | 3.72 |
11/1993 10/2023 |
2.99$ | 4.19 | 3.42$ | 5.25 | 4.63$ | 5.77 | 5.37$ | 6.60 |
03/1985 02/2015 |
6.80$ | 3.80 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -15.02 |
10/2021 09/2022 |
0.84$ | -2.25 | 0.97$ | 2.04 | 1.02$ | 8.13 | 1.08$ | 22.88 |
04/1985 03/1986 |
1.22$ | -1.70 | 30.26% |
| 2Y | -9.35 |
10/2020 09/2022 |
0.82$ | -0.87 | 0.98$ | 2.33 | 1.04$ | 6.47 | 1.13$ | 13.96 |
03/1985 02/1987 |
1.29$ | -7.68 | 24.55% |
| 3Y | -7.00 |
10/2020 09/2023 |
0.80$ | -0.54 | 0.98$ | 2.67 | 1.08$ | 5.68 | 1.18$ | 9.56 |
03/1985 02/1988 |
1.31$ | -6.55 | 23.15% |
| 5Y | -2.74 |
11/2017 10/2022 |
0.87$ | -0.20 | 0.98$ | 2.89 | 1.15$ | 5.09 | 1.28$ | 7.10 |
09/1988 08/1993 |
1.40$ | -2.39 | 17.89% |
| 7Y | -2.61 |
10/2016 09/2023 |
0.83$ | -0.09 | 0.99$ | 2.89 | 1.22$ | 5.13 | 1.41$ | 6.81 |
01/1985 12/1991 |
1.58$ | -2.19 | 15.36% |
| 10Y | -1.89 |
11/2012 10/2022 |
0.82$ | 0.32 | 1.03$ | 3.16 | 1.36$ | 4.78 | 1.59$ | 5.72 |
03/1985 02/1995 |
1.74$ | -1.59 | 8.05% |
| 15Y | -0.76 |
03/2008 02/2023 |
0.89$ | 0.73 | 1.11$ | 3.14 | 1.59$ | 4.66 | 1.98$ | 5.31 |
10/1987 09/2002 |
2.17$ | -0.61 | 5.56% |
| 20Y | -0.29 |
11/2003 10/2023 |
0.94$ | 1.42 | 1.32$ | 2.81 | 1.74$ | 4.04 | 2.20$ | 5.13 |
01/1985 12/2004 |
2.72$ | -0.21 | 6.14% |
| 30Y | 1.16 |
10/1993 09/2023 |
1.41$ | 1.64 | 1.62$ | 2.76 | 2.26$ | 3.04 | 2.45$ | 3.81 |
03/1985 02/2015 |
3.07$ | 1.25 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
If you need a deeper detail about rolling returns, please refer to the Bill Bernstein Sheltered Sam 0/100 Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Bill Bernstein Sheltered Sam 0/100 Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.42
80% |
-0.18
40% |
0.32
60% |
0.23
80% |
0.17
60% |
-0.17
60% |
0.88
100% |
-0.07
40% |
-1.04
0% |
0.10
60% |
0.75
100% |
0.20
80% |
| Best |
1.3 2023 |
0.9 2020 |
2.1 2023 |
1.4 2020 |
1.1 2019 |
0.6 2019 |
1.9 2022 |
1.4 2019 |
-0.2 2020 |
0.5 2022 |
1.7 2023 |
0.7 2018 |
| Worst |
-1.2 2022 |
-1.1 2023 |
-1.6 2022 |
-1.2 2022 |
-0.9 2023 |
-1.6 2022 |
0.1 2019 |
-1.9 2022 |
-3.3 2022 |
-0.3 2020 |
0.1 2019 |
-0.4 2022 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.57
80% |
-0.11
50% |
0.26
60% |
0.23
80% |
0.14
60% |
0.00
60% |
0.48
80% |
0.03
50% |
-0.68
10% |
0.03
60% |
0.29
70% |
-0.04
60% |
| Best |
1.7 2015 |
0.9 2020 |
2.1 2023 |
1.4 2020 |
1.1 2019 |
1.3 2016 |
1.9 2022 |
1.4 2019 |
0.4 2016 |
0.5 2014 |
1.7 2023 |
0.7 2018 |
| Worst |
-1.2 2022 |
-1.1 2023 |
-1.6 2022 |
-1.2 2022 |
-0.9 2023 |
-1.6 2022 |
-0.2 2018 |
-1.9 2022 |
-3.3 2022 |
-0.5 2018 |
-1.1 2016 |
-0.7 2013 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.65
82% |
0.23
62% |
0.23
62% |
0.27
69% |
0.49
64% |
0.57
72% |
0.59
77% |
0.51
67% |
0.28
59% |
0.49
72% |
0.44
67% |
0.50
71% |
| Best |
2.8 1988 |
3.5 1986 |
3.6 1986 |
2.0 2002 |
4.6 1985 |
3.2 1986 |
2.6 1997 |
2.4 1986 |
2.0 1998 |
3.8 1987 |
2.7 2007 |
3.3 1991 |
| Worst |
-1.7 1992 |
-2.0 1994 |
-2.2 1994 |
-2.6 2004 |
-2.0 1986 |
-1.6 2022 |
-2.1 2003 |
-1.9 2022 |
-3.3 2022 |
-2.5 2008 |
-1.4 2001 |
-1.4 2009 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Bill Bernstein Sheltered Sam 0/100 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
BILL BERNSTEIN SHELTERED SAM 0/100 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
239 Positive Months (66%) - 121 Negative Months (34%)
320 Positive Months (69%) - 147 Negative Months (31%)
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(Scroll down to see all data)
Investment Returns, up to December 2003, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, the series derived from equivalent datasets are:
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, the series derived from equivalent datasets are:
- SHY - iShares 1-3 Year Treasury Bond, up to December 2002
- TIP - iShares TIPS Bond, up to December 2003
Portfolio efficiency
No other portfolio in our database granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Sheltered Sam 0/100 | +3.80 | 3.21 | -8.61 | 0 | 100 | 0 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Low Risk categorization.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| High Yield Bonds Income | +6.42 | 8.80 | -23.97 | 0 | 100 | 0 | ||
| Stocks/Bonds 20/80 Momentum | +6.01 | 4.94 | -17.91 | 20 | 80 | 0 | ||
| All Country World 20/80 | +5.64 | 5.63 | -17.97 | 20 | 80 | 0 | ||
| Stocks/Bonds 20/80 | +5.54 | 4.90 | -16.57 | 20 | 80 | 0 | ||
| Dimensional Retirement Income Fund | +5.36 | 4.79 | -12.91 | 20.4 | 79.6 | 0 | ||
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