Bill Bernstein Sheltered Sam 10/90 Portfolio: ETF allocation and returns

Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023

PORTFOLIO • LIVE PERFORMANCE (USD currency)

0.49%

1 Day

Dec 01 2023

0.49%

Current Month

December 2023

The Bill Bernstein Sheltered Sam 10/90 Portfolio is a Low Risk portfolio and can be implemented with 12 ETFs.

It's exposed for 9.7% on the Stock Market and for 0.3% on Commodities.

In the last 30 Years, the Bill Bernstein Sheltered Sam 10/90 Portfolio obtained a 4.43% compound annual return, with a 3.39% standard deviation.

Table of contents

Asset Allocation and ETFs

The Bill Bernstein Sheltered Sam 10/90 Portfolio has the following asset allocation:

          9.7% Stocks
        
          90% Fixed Income
        
          0.3% Commodities

The Bill Bernstein Sheltered Sam 10/90 Portfolio can be implemented with the following ETFs:

Weight (%)	Ticker	Currency	ETF Name	Investment Themes
2.50	VTV	USD	Vanguard Value	Equity, U.S., Large Cap, Value
2.00	VV	USD	Vanguard Large-Cap	Equity, U.S., Large Cap
1.50	IJS	USD	iShares S&P Small-Cap 600 Value	Equity, U.S., Small Cap, Value
1.00	VNQ	USD	Vanguard Real Estate	Real Estate, U.S.
0.70	EFV	USD	iShares MSCI EAFE Value	Equity, EAFE, Large Cap, Value
0.50	EEM	USD	iShares MSCI Emerging Markets	Equity, Emerging Markets, Large Cap
0.50	IJR	USD	iShares Core S&P Small-Cap	Equity, U.S., Small Cap
0.50	VGK	USD	Vanguard FTSE Europe	Equity, Developed Europe, Large Cap
0.50	VPL	USD	Vanguard FTSE Pacific	Equity, Developed Asia Pacific, Large Cap
54.00	SHY	USD	iShares 1-3 Year Treasury Bond	Bond, U.S., Short Term
36.00	TIP	USD	iShares TIPS Bond	Bond, U.S., All-Term
0.30	GLTR	USD	Aberdeen Standard Physical Precious Metals Basket Shares	Commodity, Broad Precious Metals

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 10/90 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.

December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.

BILL BERNSTEIN SHELTERED SAM 10/90 PORTFOLIO

Consolidated returns as of 30 November 2023

Live Update: Dec 01 2023

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			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 10/90 Portfolio			0.49		0.49	2.39	1.13	1.86	2.24	1.88	4.43	5.96
US Inflation Adjusted return						2.39	-0.03	-1.44	-1.75	-0.91	1.87	3.09
*Components*
VTV	USD	Vanguard Value	0.89	Dec 01 2023	0.89	6.68	7.69	0.61	8.52	9.41	9.12	10.72
VV	USD	Vanguard Large-Cap	0.60	Dec 01 2023	0.60	9.48	10.62	14.57	12.47	11.69	10.07	11.31
IJS	USD	iShares S&P Small-Cap 600 Value	3.28	Dec 01 2023	3.28	9.07	4.59	-5.38	5.50	6.78	10.07	11.60
VNQ	USD	Vanguard Real Estate	2.46	Dec 01 2023	2.46	12.08	4.30	-2.99	3.66	6.41	8.34	9.08
EFV	USD	iShares MSCI EAFE Value	1.13	Dec 01 2023	1.13	6.94	9.04	12.93	4.80	2.65	5.54	8.82
EEM	USD	iShares MSCI Emerging Markets	0.43	Dec 01 2023	0.43	7.79	4.40	2.42	1.46	1.42	4.65	8.63
IJR	USD	iShares Core S&P Small-Cap	2.92	Dec 01 2023	2.92	8.27	5.00	-3.96	5.56	7.47	9.65	10.69
VGK	USD	Vanguard FTSE Europe	0.96	Dec 01 2023	0.96	9.76	4.62	12.15	7.14	4.12	6.96	9.73
VPL	USD	Vanguard FTSE Pacific	1.05	Dec 01 2023	1.05	7.02	4.05	7.24	3.95	3.91	3.12	6.04
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
GLTR	USD	Aberdeen Standard Physical Precious Metals Basket Shares	1.12	Dec 01 2023	1.12	3.57	1.50	5.42	8.91	2.99	6.01	7.06

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 10/90 Portfolio granted a 2.99% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 10/90 Portfolio: Dividend Yield page.

Capital Growth as of Nov 30, 2023

An investment of 1$, since December 1993, now would be worth 3.67$, with a total return of 267.45% (4.43% annualized).

The Inflation Adjusted Capital now would be 1.74$, with a net total return of 74.13% (1.87% annualized).

An investment of 1$, since January 1985, now would be worth 9.53$, with a total return of 853.24% (5.96% annualized).

The Inflation Adjusted Capital now would be 3.26$, with a net total return of 226.25% (3.09% annualized).

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Portfolio Metrics as of Nov 30, 2023

Metrics of Bill Bernstein Sheltered Sam 10/90 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 10/90 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 (%)	2.39	0.75	1.13	1.86	-0.32	2.24	1.88	3.09	4.43	5.96
Infl. Adjusted Return (%) details	2.39	0.53	-0.03	-1.44	-5.73	-1.75	-0.91	0.49	1.87	3.09
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 (%)				-2.32	-9.93	-9.93	-9.93	-9.93	-9.93	-9.93
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)				2023 11	-	-	-	-	-	-
Longest Drawdown Depth (%)				same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest
Start to Recovery (# months) details				same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest
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)				2023 11	-	-	-	-	-	-
Longest negative period (# months) details				11	36*	41	41	41	41	41
Period Start (yyyy mm)				2022 12	2020 12	2020 06	2020 06	2020 06	2020 06	2020 06
Period End (yyyy mm)				2023 10	2023 11	2023 10	2023 10	2023 10	2023 10	2023 10
Annualized Return (%)				-0.56	-0.32	0.00	0.00	0.00	0.00	0.00
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%)				-4.32	-18.86	-18.86	-18.86	-18.86	-18.86	-18.86
Start to Recovery (# months) details				10*	35*	35*	35*	35*	35*	35*
Start (yyyy mm)				2023 02	2021 01	2021 01	2021 01	2021 01	2021 01	2021 01
Start to Bottom (# months)				9	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	-4.21	-4.21	-4.21	-4.21
Start to Recovery (# months) details				same as deepest	same as deepest	same as deepest	55	55	55	55
Start (yyyy mm)				2023 02	2021 01	2021 01	2015 02	2015 02	2015 02	2015 02
Start to Bottom (# months)				9	34	34	45	45	45	45
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2018 10	2018 10	2018 10	2018 10
Bottom to End (# months)				1	1	1	10	10	10	10
End (yyyy mm)				-	-	-	2019 08	2019 08	2019 08	2019 08
Longest negative period (# months) details				12*	36*	60*	120*	192	192	192
Period Start (yyyy mm)				2022 12	2020 12	2018 12	2013 12	2007 11	2007 11	2007 11
Period End (yyyy mm)				2023 11	2023 11	2023 11	2023 11	2023 10	2023 10	2023 10
Annualized Return (%)				-1.44	-5.73	-1.75	-0.91	-0.02	-0.02	-0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)				4.30	4.63	4.04	3.18	3.28	3.39	3.82
Sharpe Ratio				-0.70	-0.48	0.14	0.26	0.55	0.65	0.52
Sortino Ratio				-1.11	-0.64	0.18	0.34	0.72	0.87	0.73
Ulcer Index				1.04	4.99	3.89	2.81	2.20	1.99	1.78
Ratio: Return / Standard Deviation				0.43	-0.07	0.56	0.59	0.94	1.31	1.56
Ratio: Return / Deepest Drawdown				0.80	-0.03	0.23	0.19	0.31	0.45	0.60
% Positive Months details				50%	55%	65%	62%	68%	71%	71%
Positive Months				6	20	39	75	165	256	336
Negative Months				6	16	21	45	75	104	131
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized							1.88	4.32	8.07	10.10
Worst 10 Years Return (%) - Annualized							1.88	1.45	1.45	1.45
Best 10 Years Return (%) - Annualized							-0.91	2.02	5.50	6.28
Worst 10 Years Return (%) - Annualized							-0.91	-1.13	-1.13	-1.13
ROLLING PERIOD RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized				17.42	10.66	8.37	8.07	6.02	4.43
Worst Rolling Return (%) - Annualized				-8.70	-0.58	1.16	1.45	2.99	4.43
% Positive Periods				87%	98%	100%	100%	100%	100%
Best Rolling Return (%) - Annualized				14.51	7.94	5.83	5.50	3.62	1.87
Worst Rolling Return (%) - Annualized				-15.62	-5.98	-2.27	-1.13	0.40	1.87
% Positive Periods				72%	87%	91%	91%	100%	100%
Over all the available data source (Jan 1985 - Nov 2023)
Best Rolling Return (%) - Annualized				27.18	13.72	11.90	10.10	8.93	7.21
Worst Rolling Return (%) - Annualized				-8.70	-0.58	1.16	1.45	2.99	4.32
% Positive Periods				89%	99%	100%	100%	100%	100%
Best Rolling Return (%) - Annualized				24.38	10.35	7.88	6.28	5.76	4.41
Worst Rolling Return (%) - Annualized				-15.62	-5.98	-2.27	-1.13	0.40	1.75
% Positive Periods				74%	90%	93%	94%	100%	100%
WITHDRAWAL RATES (WR)				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Safe WR (%)					31.33	20.45	10.16	5.79	5.19	6.50
Perpetual WR (%)					0.00	0.00	0.00	0.49	1.83	2.99

Terms and Definitions

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).

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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.

COMPONENTS MONTHLY CORRELATIONS

Monthly correlations as of 30 November 2023

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Asset	VTV	VV	IJS	VNQ	EFV	EEM	IJR	VGK	VPL	SHY	TIP	GLTR
VTV	-	0.88	0.85	0.90	0.90	0.83	0.85	0.88	0.84	0.31	0.65	0.29
VV	0.88	-	0.83	0.91	0.76	0.85	0.85	0.85	0.89	0.42	0.78	0.31
IJS	0.85	0.83	-	0.91	0.86	0.81	0.99	0.83	0.81	0.08	0.51	0.02
VNQ	0.90	0.91	0.91	-	0.88	0.87	0.90	0.93	0.91	0.40	0.74	0.31
EFV	0.90	0.76	0.86	0.88	-	0.87	0.82	0.94	0.87	0.33	0.65	0.28
EEM	0.83	0.85	0.81	0.87	0.87	-	0.79	0.87	0.99	0.54	0.77	0.50
IJR	0.85	0.85	0.99	0.90	0.82	0.79	-	0.79	0.80	0.06	0.49	-0.01
VGK	0.88	0.85	0.83	0.93	0.94	0.87	0.79	-	0.91	0.48	0.83	0.42
VPL	0.84	0.89	0.81	0.91	0.87	0.99	0.80	0.91	-	0.56	0.81	0.49
SHY	0.31	0.42	0.08	0.40	0.33	0.54	0.06	0.48	0.56	-	0.83	0.86
TIP	0.65	0.78	0.51	0.74	0.65	0.77	0.49	0.83	0.81	0.83	-	0.68
GLTR	0.29	0.31	0.02	0.31	0.28	0.50	-0.01	0.42	0.49	0.86	0.68	-

Asset	VTV	VV	IJS	VNQ	EFV	EEM	IJR	VGK	VPL	SHY	TIP	GLTR
VTV	-	0.92	0.91	0.82	0.90	0.72	0.92	0.90	0.84	-0.05	0.45	0.27
VV	0.92	-	0.85	0.87	0.81	0.73	0.89	0.89	0.86	0.10	0.61	0.33
IJS	0.91	0.85	-	0.78	0.87	0.75	0.99	0.84	0.83	-0.11	0.39	0.17
VNQ	0.82	0.87	0.78	-	0.75	0.68	0.81	0.83	0.78	0.10	0.66	0.33
EFV	0.90	0.81	0.87	0.75	-	0.81	0.85	0.95	0.91	0.03	0.41	0.29
EEM	0.72	0.73	0.75	0.68	0.81	-	0.75	0.82	0.87	0.20	0.47	0.46
IJR	0.92	0.89	0.99	0.81	0.85	0.75	-	0.85	0.85	-0.08	0.45	0.20
VGK	0.90	0.89	0.84	0.83	0.95	0.82	0.85	-	0.92	0.17	0.57	0.40
VPL	0.84	0.86	0.83	0.78	0.91	0.87	0.85	0.92	-	0.21	0.55	0.36
SHY	-0.05	0.10	-0.11	0.10	0.03	0.20	-0.08	0.17	0.21	-	0.62	0.33
TIP	0.45	0.61	0.39	0.66	0.41	0.47	0.45	0.57	0.55	0.62	-	0.47
GLTR	0.27	0.33	0.17	0.33	0.29	0.46	0.20	0.40	0.36	0.33	0.47	-

Asset	VTV	VV	IJS	VNQ	EFV	EEM	IJR	VGK	VPL	SHY	TIP	GLTR
VTV	-	0.93	0.88	0.70	0.86	0.68	0.88	0.85	0.80	-0.11	0.33	0.17
VV	0.93	-	0.83	0.74	0.80	0.70	0.86	0.85	0.83	0.03	0.48	0.23
IJS	0.88	0.83	-	0.68	0.77	0.64	0.99	0.74	0.74	-0.14	0.29	0.10
VNQ	0.70	0.74	0.68	-	0.59	0.54	0.70	0.66	0.63	0.16	0.63	0.28
EFV	0.86	0.80	0.77	0.59	-	0.79	0.76	0.95	0.89	-0.03	0.33	0.23
EEM	0.68	0.70	0.64	0.54	0.79	-	0.63	0.78	0.86	0.15	0.42	0.41
IJR	0.88	0.86	0.99	0.70	0.76	0.63	-	0.75	0.76	-0.11	0.33	0.11
VGK	0.85	0.85	0.74	0.66	0.95	0.78	0.75	-	0.87	0.10	0.46	0.30
VPL	0.80	0.83	0.74	0.63	0.89	0.86	0.76	0.87	-	0.12	0.45	0.29
SHY	-0.11	0.03	-0.14	0.16	-0.03	0.15	-0.11	0.10	0.12	-	0.62	0.33
TIP	0.33	0.48	0.29	0.63	0.33	0.42	0.33	0.46	0.45	0.62	-	0.48
GLTR	0.17	0.23	0.10	0.28	0.23	0.41	0.11	0.30	0.29	0.33	0.48	-

Asset	VTV	VV	IJS	VNQ	EFV	EEM	IJR	VGK	VPL	SHY	TIP	GLTR
VTV	-	0.95	0.85	0.64	0.82	0.71	0.80	0.83	0.68	-0.15	0.16	0.38
VV	0.95	-	0.82	0.62	0.78	0.73	0.82	0.84	0.70	-0.12	0.21	0.38
IJS	0.85	0.82	-	0.69	0.75	0.67	0.96	0.74	0.62	-0.17	0.13	0.38
VNQ	0.64	0.62	0.69	-	0.61	0.52	0.65	0.61	0.50	-0.02	0.33	0.39
EFV	0.82	0.78	0.75	0.61	-	0.78	0.73	0.94	0.84	-0.14	0.17	0.47
EEM	0.71	0.73	0.67	0.52	0.78	-	0.70	0.78	0.76	-0.09	0.19	0.62
IJR	0.80	0.82	0.96	0.65	0.73	0.70	-	0.74	0.65	-0.19	0.12	0.40
VGK	0.83	0.84	0.74	0.61	0.94	0.78	0.74	-	0.74	-0.10	0.21	0.45
VPL	0.68	0.70	0.62	0.50	0.84	0.76	0.65	0.74	-	-0.11	0.21	0.50
SHY	-0.15	-0.12	-0.17	-0.02	-0.14	-0.09	-0.19	-0.10	-0.11	-	0.62	0.04
TIP	0.16	0.21	0.13	0.33	0.17	0.19	0.12	0.21	0.21	0.62	-	0.29
GLTR	0.38	0.38	0.38	0.39	0.47	0.62	0.40	0.45	0.50	0.04	0.29	-

Asset	VTV	VV	IJS	VNQ	EFV	EEM	IJR	VGK	VPL	SHY	TIP	GLTR
VTV	-	0.95	0.86	0.64	0.83	0.68	0.82	0.79	0.55	-0.03	0.21	0.32
VV	0.95	-	0.83	0.61	0.81	0.69	0.84	0.79	0.57	-0.02	0.24	0.32
IJS	0.86	0.83	-	0.70	0.77	0.64	0.96	0.71	0.51	-0.10	0.14	0.33
VNQ	0.64	0.61	0.70	-	0.60	0.49	0.65	0.57	0.42	0.02	0.30	0.33
EFV	0.83	0.81	0.77	0.60	-	0.71	0.74	0.89	0.71	-0.02	0.21	0.41
EEM	0.68	0.69	0.64	0.49	0.71	-	0.66	0.68	0.59	0.02	0.21	0.44
IJR	0.82	0.84	0.96	0.65	0.74	0.66	-	0.70	0.52	-0.12	0.13	0.34
VGK	0.79	0.79	0.71	0.57	0.89	0.68	0.70	-	0.68	0.02	0.23	0.41
VPL	0.55	0.57	0.51	0.42	0.71	0.59	0.52	0.68	-	0.02	0.20	0.42
SHY	-0.03	-0.02	-0.10	0.02	-0.02	0.02	-0.12	0.02	0.02	-	0.71	-0.02
TIP	0.21	0.24	0.14	0.30	0.21	0.21	0.13	0.23	0.20	0.71	-	0.14
GLTR	0.32	0.32	0.33	0.33	0.41	0.44	0.34	0.41	0.42	-0.02	0.14	-

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 10/90 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)

Inflation Adjusted:

Chart Table

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-9.93%	Jan 2022	Sep 2022	9	in progress	14	23	6.19
-6.02%	Apr 2008	Feb 2009	11	Aug 2009	6	17	2.87
-5.37%	Feb 1994	Jun 1994	5	Mar 1995	9	14	3.85
-3.15%	May 2013	Aug 2013	4	May 2014	9	13	1.69
-2.82%	Apr 2004	Apr 2004	1	Sep 2004	5	6	1.56
-2.26%	Feb 1996	Apr 1996	3	Sep 1996	5	8	1.53
-1.97%	May 2015	Dec 2015	8	Mar 2016	3	11	1.21
-1.85%	Feb 1999	Feb 1999	1	Oct 1999	8	9	0.87
-1.63%	Sep 2018	Oct 2018	2	Jan 2019	3	5	0.97
-1.56%	Jul 2003	Jul 2003	1	Sep 2003	2	3	0.84
-1.45%	Mar 2020	Mar 2020	1	Apr 2020	1	2	0.84
-1.39%	Sep 2014	Sep 2014	1	Jan 2015	4	5	0.73
-1.31%	Dec 1996	Mar 1997	4	Apr 1997	1	5	0.62
-1.16%	Aug 2011	Sep 2011	2	Oct 2011	1	3	0.59
-1.11%	Nov 2001	Dec 2001	2	Feb 2002	2	4	0.70

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-18.86%	Jan 2021	Oct 2023	34	in progress	1	35	12.07
-7.78%	Mar 2008	Oct 2008	8	Sep 2009	11	19	3.66
-7.35%	Feb 1994	Nov 1994	10	May 1995	6	16	5.08
-4.21%	Feb 2015	Oct 2018	45	Aug 2019	10	55	2.16
-3.70%	May 2013	Aug 2013	4	Jan 2015	17	21	1.93
-3.57%	Feb 1996	May 1996	4	Oct 1996	5	9	2.54
-3.13%	Apr 2004	Apr 2004	1	Dec 2004	8	9	1.91
-3.13%	Jan 2005	Oct 2005	10	Oct 2006	12	22	1.66
-2.70%	Feb 1999	Aug 1999	7	Jul 2000	11	18	1.77
-2.17%	Dec 1996	Mar 1997	4	May 1997	2	6	0.99
-1.77%	Jun 2003	Jul 2003	2	Sep 2003	2	4	0.97
-1.59%	Aug 2011	Sep 2011	2	Oct 2011	1	3	0.83
-1.56%	Dec 2006	Jun 2007	7	Aug 2007	2	9	0.80
-1.55%	Nov 2010	Mar 2011	5	Jul 2011	4	9	0.90
-1.50%	Feb 2020	Mar 2020	2	Apr 2020	1	3	0.76

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-9.93%	Jan 2022	Sep 2022	9	in progress	14	23	6.19
-6.02%	Apr 2008	Feb 2009	11	Aug 2009	6	17	2.87
-5.37%	Feb 1994	Jun 1994	5	Mar 1995	9	14	3.85
-3.15%	May 2013	Aug 2013	4	May 2014	9	13	1.69
-2.82%	Apr 2004	Apr 2004	1	Sep 2004	5	6	1.56
-2.30%	Mar 1987	May 1987	3	Dec 1987	7	10	1.25
-2.26%	Feb 1996	Apr 1996	3	Sep 1996	5	8	1.53
-1.97%	May 2015	Dec 2015	8	Mar 2016	3	11	1.21
-1.94%	Jan 1990	Apr 1990	4	May 1990	1	5	1.23
-1.90%	Sep 1986	Sep 1986	1	Nov 1986	2	3	1.02
-1.85%	Feb 1999	Feb 1999	1	Oct 1999	8	9	0.87
-1.66%	Mar 1988	May 1988	3	Jun 1988	1	4	0.94
-1.64%	Aug 1990	Aug 1990	1	Nov 1990	3	4	0.99
-1.63%	Sep 2018	Oct 2018	2	Jan 2019	3	5	0.97
-1.56%	Jul 2003	Jul 2003	1	Sep 2003	2	3	0.84

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-18.86%	Jan 2021	Oct 2023	34	in progress	1	35	12.07
-7.78%	Mar 2008	Oct 2008	8	Sep 2009	11	19	3.66
-7.35%	Feb 1994	Nov 1994	10	May 1995	6	16	5.08
-4.75%	Mar 1987	Sep 1987	7	Feb 1988	5	12	2.99
-4.21%	Feb 2015	Oct 2018	45	Aug 2019	10	55	2.16
-4.07%	Jan 1990	Apr 1990	4	Dec 1990	8	12	2.29
-3.70%	May 2013	Aug 2013	4	Jan 2015	17	21	1.93
-3.57%	Feb 1996	May 1996	4	Oct 1996	5	9	2.54
-3.13%	Apr 2004	Apr 2004	1	Dec 2004	8	9	1.91
-3.13%	Jan 2005	Oct 2005	10	Oct 2006	12	22	1.66
-2.92%	Mar 1988	May 1988	3	Jan 1989	8	11	1.60
-2.70%	Feb 1999	Aug 1999	7	Jul 2000	11	18	1.77
-2.36%	Jan 1992	Mar 1992	3	Jun 1992	3	6	1.34
-2.34%	Sep 1986	Sep 1986	1	Jan 1987	4	5	1.10
-2.17%	Dec 1996	Mar 1997	4	May 1997	2	6	0.99

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 10/90 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)

Inflation Adjusted:

Return Chart Capital Chart Table

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-8.70	10/2021 09/2022	0.91$	0.39	1.00$	4.83	1.04$	8.67	1.08$	17.42	01/1995 12/1995	1.17$	1.86	12.61%
2Y	-3.70	11/2021 10/2023	0.92$	1.53	1.03$	4.84	1.09$	7.99	1.16$	11.82	12/1994 11/1996	1.25$	-2.54	4.75%
3Y	-0.58	11/2020 10/2023	0.98$	1.78	1.05$	4.76	1.14$	7.62	1.24$	10.66	01/1995 12/1997	1.35$	-0.32	1.23%
5Y	1.16	05/2013 04/2018	1.05$	2.04	1.10$	4.64	1.25$	7.38	1.42$	8.37	09/1996 08/2001	1.49$	2.24	0.00%
7Y	1.58	10/2016 09/2023	1.11$	2.22	1.16$	4.75	1.38$	7.03	1.60$	8.60	11/1994 10/2001	1.78$	2.02	0.00%
10Y	1.45	10/2012 09/2022	1.15$	2.81	1.31$	4.32	1.52$	6.69	1.91$	8.07	01/1995 12/2004	2.17$	1.88	0.00%
15Y	2.31	03/2008 02/2023	1.40$	3.38	1.64$	4.31	1.88$	6.20	2.46$	6.94	12/1994 11/2009	2.73$	2.84	0.00%
20Y	2.99	11/2003 10/2023	1.80$	3.68	2.05$	4.48	2.40$	5.52	2.92$	6.02	07/1994 06/2014	3.22$	3.09	0.00%
30Y	4.43	12/1993 11/2023	3.67$	4.43	3.67$	4.43	3.67$	4.43	3.67$	4.43	12/1993 11/2023	3.67$	4.43	0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-15.62	10/2021 09/2022	0.84$	-1.44	0.98$	2.44	1.02$	6.30	1.06$	14.51	01/1995 12/1995	1.14$	-1.44	27.51%
2Y	-8.70	11/2021 10/2023	0.83$	0.00	1.00$	2.27	1.04$	5.54	1.11$	8.64	12/1994 11/1996	1.18$	-7.37	14.84%
3Y	-5.98	10/2020 09/2023	0.83$	0.23	1.00$	2.36	1.07$	5.21	1.16$	7.94	01/1995 12/1997	1.25$	-5.73	12.62%
5Y	-2.27	10/2017 09/2022	0.89$	0.36	1.01$	2.34	1.12$	4.83	1.26$	5.83	12/1994 11/1999	1.32$	-1.75	8.64%
7Y	-1.88	10/2016 09/2023	0.87$	0.47	1.03$	2.26	1.16$	4.52	1.36$	5.97	12/1994 11/2001	1.50$	-1.46	7.58%
10Y	-1.13	11/2013 10/2023	0.89$	1.03	1.10$	1.96	1.21$	4.08	1.49$	5.50	01/1995 12/2004	1.70$	-0.91	8.30%
15Y	-0.06	03/2008 02/2023	0.99$	1.22	1.19$	2.22	1.39$	3.68	1.71$	4.35	12/1994 11/2009	1.89$	0.33	0.55%
20Y	0.40	11/2003 10/2023	1.08$	1.13	1.25$	2.30	1.57$	3.15	1.86$	3.62	12/1994 11/2014	2.03$	0.49	0.00%
30Y	1.87	12/1993 11/2023	1.74$	1.87	1.74$	1.87	1.74$	1.87	1.74$	1.87	12/1993 11/2023	1.74$	1.87	0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-8.70	10/2021 09/2022	0.91$	1.03	1.01$	5.59	1.05$	11.35	1.11$	27.18	04/1985 03/1986	1.27$	1.86	10.53%
2Y	-3.70	11/2021 10/2023	0.92$	1.82	1.03$	5.51	1.11$	9.62	1.20$	18.61	03/1985 02/1987	1.40$	-2.54	3.60%
3Y	-0.58	11/2020 10/2023	0.98$	2.23	1.06$	5.82	1.18$	8.93	1.29$	13.72	03/1985 02/1988	1.47$	-0.32	0.93%
5Y	1.16	05/2013 04/2018	1.05$	2.28	1.11$	5.84	1.32$	8.77	1.52$	11.90	09/1988 08/1993	1.75$	2.24	0.00%
7Y	1.58	10/2016 09/2023	1.11$	2.65	1.20$	6.20	1.52$	8.91	1.81$	11.75	01/1985 12/1991	2.17$	2.02	0.00%
10Y	1.45	10/2012 09/2022	1.15$	2.94	1.33$	5.95	1.78$	8.43	2.24$	10.10	03/1985 02/1995	2.61$	1.88	0.00%
15Y	2.31	03/2008 02/2023	1.40$	3.49	1.67$	6.04	2.40$	8.31	3.31$	9.28	04/1985 03/2000	3.78$	2.84	0.00%
20Y	2.99	11/2003 10/2023	1.80$	4.17	2.26$	5.80	3.08$	7.62	4.34$	8.93	01/1985 12/2004	5.53$	3.09	0.00%
30Y	4.32	11/1993 10/2023	3.55$	4.83	4.12$	5.78	5.39$	6.32	6.29$	7.21	03/1985 02/2015	8.08$	4.43	0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-15.62	10/2021 09/2022	0.84$	-1.29	0.98$	2.72	1.02$	8.19	1.08$	24.38	04/1985 03/1986	1.24$	-1.44	25.22%
2Y	-8.70	11/2021 10/2023	0.83$	0.17	1.00$	2.88	1.05$	6.50	1.13$	15.60	03/1985 02/1987	1.33$	-7.37	11.71%
3Y	-5.98	10/2020 09/2023	0.83$	0.56	1.01$	2.95	1.09$	5.94	1.18$	10.35	03/1985 02/1988	1.34$	-5.73	9.49%
5Y	-2.27	10/2017 09/2022	0.89$	0.56	1.02$	3.07	1.16$	5.44	1.30$	7.88	01/1985 12/1989	1.46$	-1.75	6.37%
7Y	-1.88	10/2016 09/2023	0.87$	0.90	1.06$	3.33	1.25$	5.57	1.46$	7.52	01/1985 12/1991	1.66$	-1.46	5.47%
10Y	-1.13	11/2013 10/2023	0.89$	1.19	1.12$	3.35	1.39$	5.34	1.68$	6.28	03/1985 02/1995	1.83$	-0.91	5.75%
15Y	-0.06	03/2008 02/2023	0.99$	1.41	1.23$	3.52	1.68$	5.10	2.10$	5.91	01/1985 12/1999	2.36$	0.33	0.35%
20Y	0.40	11/2003 10/2023	1.08$	2.02	1.49$	3.39	1.94$	4.44	2.38$	5.76	01/1985 12/2004	3.06$	0.49	0.00%
30Y	1.75	11/1993 10/2023	1.68$	2.27	1.96$	3.33	2.67$	3.58	2.87$	4.41	03/1985 02/2015	3.65$	1.87	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 10/90 Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Bill Bernstein Sheltered Sam 10/90 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.

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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	0.60 80%	-0.26 40%	0.12 60%	0.40 80%	0.09 80%	-0.02 80%	1.07 100%	-0.13 60%	-1.29 0%	0.31 60%	1.18 80%	0.22 60%
Best	1.9 2023	0.3 2019	1.9 2023	2.0 2020	0.7 2021	1.2 2019	2.3 2022	1.0 2019	-0.2 2019	1.2 2022	2.4 2023	0.9 2020
Worst	-1.5 2022	-1.4 2023	-1.5 2020	-1.7 2022	-1.1 2023	-2.2 2022	0.1 2019	-2.1 2022	-3.9 2022	-0.4 2023	0.0 2021	-0.8 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%	-0.09 50%	0.23 60%	0.34 80%	0.14 70%	0.10 70%	0.65 90%	-0.02 60%	-0.82 10%	0.16 60%	0.62 70%	0.03 50%
Best	1.9 2023	0.6 2014	1.9 2023	2.0 2020	1.0 2014	1.3 2016	2.3 2022	1.0 2019	0.4 2016	1.2 2022	2.4 2023	0.9 2020
Worst	-1.5 2022	-1.4 2023	-1.5 2020	-1.7 2022	-1.1 2023	-2.2 2022	-0.3 2014	-2.1 2022	-3.9 2022	-1.2 2018	-0.6 2016	-0.8 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	0.71 79%	0.28 69%	0.34 62%	0.43 74%	0.54 64%	0.54 77%	0.67 77%	0.44 69%	0.20 64%	0.47 79%	0.58 74%	0.69 74%
Best	3.0 1988	3.9 1986	3.8 1986	2.2 1989	4.7 1985	3.1 1986	2.9 1997	2.9 1986	2.3 1998	2.1 1996	2.5 1985	4.1 1991
Worst	-1.6 1990	-2.0 1994	-2.5 1994	-2.8 2004	-1.5 2013	-2.2 2022	-1.6 2003	-2.1 2022	-3.9 2022	-4.0 2008	-1.0 1988	-0.8 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 10/90 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BILL BERNSTEIN SHELTERED SAM 10/90 PORTFOLIO

Monthly Returns Distribution

Data Source: 1 December 1993 - 30 November 2023 (30 Years)

Data Source: 1 January 1985 - 30 November 2023 (~39 years)

256 Positive Months (71%) - 104 Negative Months (29%)

336 Positive Months (72%) - 131 Negative Months (28%)

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(Scroll down to see all data)

Investment Returns, up to December 2010, 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:

VTV - Vanguard Value, up to December 2004
VV - Vanguard Large-Cap, up to December 2004

IJS - iShares S&P Small-Cap 600 Value, up to December 2000
VNQ - Vanguard Real Estate, up to December 2004
EFV - iShares MSCI EAFE Value, up to December 2005

EEM - iShares MSCI Emerging Markets, up to December 2003
IJR - iShares Core S&P Small-Cap, up to December 2000
VGK - Vanguard FTSE Europe, up to December 2005

VPL - Vanguard FTSE Pacific, up to December 2005
SHY - iShares 1-3 Year Treasury Bond, up to December 2002
TIP - iShares TIPS Bond, up to December 2003

GLTR - Aberdeen Standard Physical Precious Metals Basket Shares, up to December 2010

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	Author	Return▾	Dev.Std	Drawdown	Stocks	Bonds	Comm
	Sheltered Sam 10/90	Bill Bernstein	+4.43	3.39	-9.93	9.7	90	0.3

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	Author	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	DFA	+5.36	4.79	-12.91	20.4	79.6	0

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