Bill Bernstein Sheltered Sam 10/90 Portfolio: Rebalancing Strategy

Data Source: from January 1985 to September 2024
Consolidated Returns as of 30 September 2024

Managing the Bill Bernstein Sheltered Sam 10/90 Portfolio with a yearly rebalancing, you would have obtained a 5.76% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 4.73%.

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 Sep 30, 2024

Implementing different rebalancing strategies, the Bill Bernstein Sheltered Sam 10/90 Portfolio guaranteed the following returns.

According to the available data source, we 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 10/90 PORTFOLIO RETURNS
Period: January 1985 - September 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Sep 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~40Y)
No Rebalancing 16.63 (0) 5.27 (0) 4.52 (0) 5.76 (0) 6.81 (0)
Yearly Rebalancing 9.85 (1) 2.62 (5) 2.49 (10) 4.77 (30) 6.03 (40)
Half Yearly Rebalancing 9.79 (2) 2.65 (10) 2.49 (20) 4.73 (60) 6.00 (80)
Quarterly Rebalancing 9.83 (4) 2.72 (20) 2.53 (40) 4.76 (120) 6.03 (159)
5% Tolerance per asset 9.91 (0) 2.74 (1) 2.58 (2) 4.72 (4) 6.00 (6)
10% Tolerance per asset 10.22 (0) 2.83 (1) 2.69 (1) 4.80 (2) 6.09 (3)

In order to have complete information about the portfolio, please refer to the Bill Bernstein Sheltered Sam 10/90 Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of Bill Bernstein Sheltered Sam 10/90 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 10/90 PORTFOLIO PERFORMANCES
Period: January 1985 - September 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 6.81 (0) 5.30 1.29 -15.17 0.45
Yearly Rebalancing 6.03 (40) 3.81 1.58 -9.93 0.61
Half Yearly Rebalancing 6.00 (80) 3.82 1.57 -10.03 0.60
Quarterly Rebalancing 6.03 (159) 3.83 1.58 -10.04 0.60
5% Tolerance per asset 6.00 (6) 3.92 1.53 -10.11 0.59
10% Tolerance per asset 6.09 (3) 3.99 1.53 -10.29 0.59
(*) Since Jan 1985 (~40 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Bill Bernstein Sheltered Sam 10/90 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 10/90 PORTFOLIO DRAWDOWNS
Period: January 1985 - September 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-15.17
Jan 2022 - Jul 2024
-9.93
Jan 2022 - Aug 2024
-10.03
Jan 2022 - Aug 2024
-10.04
Jan 2022 - Aug 2024
-10.11
Jan 2022 - Aug 2024
-10.29
Jan 2022 - Aug 2024
-12.86
Jun 2008 - Nov 2009
-6.02
Apr 2008 - Aug 2009
-6.25
Apr 2008 - Aug 2009
-6.47
Apr 2008 - Aug 2009
-7.48
Apr 2008 - Sep 2009
-5.80
Apr 2008 - Aug 2009
-8.20
Feb 2020 - Jul 2020
-5.37
Feb 1994 - Mar 1995
-5.37
Feb 1994 - Mar 1995
-5.39
Feb 1994 - Mar 1995
-5.34
Feb 1994 - Mar 1995
-5.36
Feb 1994 - Mar 1995
-6.07
Feb 1994 - Apr 1995
-3.15
May 2013 - May 2014
-3.18
May 2013 - May 2014
-3.22
May 2013 - May 2014
-3.44
May 2013 - May 2014
-3.66
May 2013 - May 2014
-5.39
Sep 2018 - Apr 2019
-2.82
Apr 2004 - Sep 2004
-2.82
Apr 2004 - Sep 2004
-2.77
Apr 2004 - Aug 2004
-2.83
Apr 2004 - Sep 2004
-2.99
Apr 2004 - Aug 2004
5 Worst Drawdowns - Average
-9.54 -5.46 -5.53 -5.58 -5.84 -5.62
10 Worst Drawdowns - Average
-6.42 -3.77 -3.80 -3.83 -4.01 -4.06

For a deeper insight, please refer to the Bill Bernstein Sheltered Sam 10/90 Portfolio: ETF allocation and returns page.