Bill Bernstein Sheltered Sam 100/0 Portfolio: Rebalancing Strategy

Data Source: from January 1976 to September 2024
Consolidated Returns as of 30 September 2024

Managing the Bill Bernstein Sheltered Sam 100/0 Portfolio with a yearly rebalancing, you would have obtained a 9.74% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 9.46%.

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 100/0 Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1976.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
BILL BERNSTEIN SHELTERED SAM 100/0 PORTFOLIO RETURNS
Period: January 1976 - 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
(~49Y)
No Rebalancing 27.57 (0) 10.30 (0) 9.52 (0) 9.74 (0) 12.29 (0)
Yearly Rebalancing 29.09 (1) 10.76 (5) 9.40 (10) 9.51 (30) 12.21 (49)
Half Yearly Rebalancing 29.27 (2) 10.77 (10) 9.43 (20) 9.46 (60) 12.09 (98)
Quarterly Rebalancing 29.25 (4) 10.79 (20) 9.43 (40) 9.43 (120) 12.03 (195)
5% Tolerance per asset 28.95 (0) 10.83 (1) 9.69 (2) 9.79 (6) 12.40 (10)
10% Tolerance per asset 29.56 (0) 10.44 (0) 9.14 (0) 9.41 (1) 12.05 (2)

In order to have complete information about the portfolio, please refer to the Bill Bernstein Sheltered Sam 100/0 Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of Bill Bernstein Sheltered Sam 100/0 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 100/0 PORTFOLIO PERFORMANCES
Period: January 1976 - 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 12.29 (0) 15.56 0.79 -55.25 0.22
Yearly Rebalancing 12.21 (49) 14.80 0.82 -54.91 0.22
Half Yearly Rebalancing 12.09 (98) 14.81 0.82 -54.69 0.22
Quarterly Rebalancing 12.03 (195) 14.82 0.81 -54.62 0.22
5% Tolerance per asset 12.40 (10) 14.85 0.83 -54.64 0.23
10% Tolerance per asset 12.05 (2) 15.07 0.80 -56.52 0.21
(*) Since Jan 1976 (~49 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Bill Bernstein Sheltered Sam 100/0 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 100/0 PORTFOLIO DRAWDOWNS
Period: January 1976 - September 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-55.25
Jun 2007 - Sep 2012
-54.91
Nov 2007 - Dec 2012
-54.69
Nov 2007 - Dec 2012
-54.62
Nov 2007 - Dec 2012
-54.64
Nov 2007 - Dec 2012
-56.52
Nov 2007 - Jan 2013
-30.03
Jan 2020 - Dec 2020
-25.69
Feb 2001 - Oct 2003
-26.14
Feb 2001 - Oct 2003
-26.27
Feb 2001 - Oct 2003
-25.03
Jan 2020 - Nov 2020
-26.51
Feb 2001 - Oct 2003
-24.84
Sep 1987 - Jan 1989
-25.44
Sep 1987 - Jan 1989
-25.89
Sep 1987 - Mar 1989
-25.79
Sep 1987 - Mar 1989
-24.87
Sep 1987 - Jan 1989
-25.52
Jan 2020 - Nov 2020
-24.70
Feb 2001 - Oct 2003
-25.40
Jan 2020 - Nov 2020
-25.40
Jan 2020 - Nov 2020
-25.40
Jan 2020 - Nov 2020
-24.53
Feb 2001 - Oct 2003
-24.85
Sep 1987 - Jan 1989
-21.38
Oct 1989 - May 1991
-21.73
Jan 2022 - Dec 2023
-21.76
Jan 2022 - Dec 2023
-21.82
Jan 2022 - Dec 2023
-21.81
Jan 2022 - Dec 2023
-22.01
Jan 2022 - Feb 2024
5 Worst Drawdowns - Average
-31.24 -30.64 -30.78 -30.78 -30.17 -31.08
10 Worst Drawdowns - Average
-24.12 -23.02 -23.12 -23.13 -22.78 -23.37

For a deeper insight, please refer to the Bill Bernstein Sheltered Sam 100/0 Portfolio: ETF allocation and returns page.