Data Source: from January 1976 to November 2023 (~48 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)
1.46%
1 Day
Dec 01 2023
1.46%
Current Month
December 2023
The Bill Bernstein Sheltered Sam 100/0 Portfolio is a Very High Risk portfolio and can be implemented with 10 ETFs.
It's exposed for 97% on the Stock Market and for 3% on Commodities.
In the last 30 Years, the Bill Bernstein Sheltered Sam 100/0 Portfolio obtained a 8.95% compound annual return, with a 15.30% standard deviation.
Table of contents
Asset Allocation and ETFs
The Bill Bernstein Sheltered Sam 100/0 Portfolio has the following asset allocation:
97% Stocks
0% Fixed Income
3% Commodities
The Bill Bernstein Sheltered Sam 100/0 Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 25.00 |
VTV
|
USD | Vanguard Value | Equity, U.S., Large Cap, Value |
| 20.00 |
VV
|
USD | Vanguard Large-Cap | Equity, U.S., Large Cap |
| 15.00 |
IJS
|
USD | iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value |
| 10.00 |
VNQ
|
USD | Vanguard Real Estate | Real Estate, U.S. |
| 7.00 |
EFV
|
USD | iShares MSCI EAFE Value | Equity, EAFE, Large Cap, Value |
| 5.00 |
EEM
|
USD | iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap |
| 5.00 |
IJR
|
USD | iShares Core S&P Small-Cap | Equity, U.S., Small Cap |
| 5.00 |
VGK
|
USD | Vanguard FTSE Europe | Equity, Developed Europe, Large Cap |
| 5.00 |
VPL
|
USD | Vanguard FTSE Pacific | Equity, Developed Asia Pacific, Large Cap |
| 3.00 |
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 100/0 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 100/0 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
(~48Y) |
|||
| Bill Bernstein Sheltered Sam 100/0 Portfolio | 1.46 | 1.46 | 8.36 | 6.82 | 3.99 | 7.63 | 7.75 | 8.95 | 11.95 | |||
| US Inflation Adjusted return | 8.36 | 5.59 | 0.62 | 3.42 | 4.80 | 6.27 | 8.02 | |||||
| Components | ||||||||||||
|
VTV
|
USD | Vanguard Value | 0.89 | Dec 01 2023 | 0.89 | 6.68 | 7.69 | 0.61 | 8.52 | 9.41 | 9.12 | 11.71 |
|
VV
|
USD | Vanguard Large-Cap | 0.60 | Dec 01 2023 | 0.60 | 9.48 | 10.62 | 14.57 | 12.47 | 11.69 | 10.07 | 11.45 |
|
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 | 14.41 |
|
VNQ
|
USD | Vanguard Real Estate | 2.46 | Dec 01 2023 | 2.46 | 12.08 | 4.30 | -2.99 | 3.66 | 6.41 | 8.34 | 11.72 |
|
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 | 9.46 |
|
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 | 7.38 |
|
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 | 12.90 |
|
VGK
|
USD | Vanguard FTSE Europe | 0.96 | Dec 01 2023 | 0.96 | 9.76 | 4.62 | 12.15 | 7.14 | 4.12 | 6.96 | 9.27 |
|
VPL
|
USD | Vanguard FTSE Pacific | 1.05 | Dec 01 2023 | 1.05 | 7.02 | 4.05 | 7.24 | 3.95 | 3.91 | 3.12 | 7.81 |
|
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 | 7.46 |
Returns over 1 year are annualized | Available data source: since Jan 1976
(*) 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 100/0 Portfolio granted a 2.02% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 100/0 Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993,
now would be worth 13.09$, with a total return of 1208.54% (8.95% annualized).
The Inflation Adjusted Capital now would be 6.20$, with a net total return of 520.10% (6.27% annualized).
The Inflation Adjusted Capital now would be 6.20$, with a net total return of 520.10% (6.27% annualized).
An investment of 1$, since January 1976,
now would be worth 223.24$, with a total return of 22224.01% (11.95% annualized).
The Inflation Adjusted Capital now would be 40.27$, with a net total return of 3926.97% (8.02% annualized).
The Inflation Adjusted Capital now would be 40.27$, with a net total return of 3926.97% (8.02% annualized).
Readings that may interest you
Portfolio Metrics as of Nov 30, 2023
Metrics of Bill Bernstein Sheltered Sam 100/0 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 100/0 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1976 - 30 November 2023 (~48 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~48Y) |
|
| Investment Return (%) | 8.36 | 0.13 | 6.82 | 3.99 | 7.04 | 7.63 | 7.75 | 8.38 | 8.95 | 11.95 |
| Infl. Adjusted Return (%) details | 8.36 | -0.08 | 5.59 | 0.62 | 1.23 | 3.42 | 4.80 | 5.64 | 6.27 | 8.02 |
| US Inflation (%) | 0.00 | 0.21 | 1.17 | 3.35 | 5.74 | 4.07 | 2.82 | 2.59 | 2.52 | 3.64 |
| 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 (%) | -10.56 | -21.73 | -25.40 | -25.40 | -54.91 | -54.91 | -54.91 | |||
| Start to Recovery (# months) details | 4* | 23* | 11 | 11 | 62 | 62 | 62 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2020 01 | 2020 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 3 | 3 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 8 | 8 | 46 | 46 | 46 | |||
| End (yyyy mm) | - | - | 2020 11 | 2020 11 | 2012 12 | 2012 12 | 2012 12 | |||
| Longest Drawdown Depth (%) | -5.49 |
same as deepest |
-21.73 | -21.73 |
same as deepest |
same as deepest |
same as deepest |
|||
| Start to Recovery (# months) details | 5 | 23* | 23* | |||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 46 | 46 | 46 | |||
| End (yyyy mm) | 2023 06 | - | - | - | 2012 12 | 2012 12 | 2012 12 | |||
| Longest negative period (# months) details | 11 | 31 | 31 | 38 | 68 | 116 | 116 | |||
| Period Start (yyyy mm) | 2022 12 | 2021 04 | 2021 04 | 2017 02 | 2006 02 | 1999 07 | 1999 07 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2020 03 | 2011 09 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -4.40 | -0.92 | -0.92 | -0.21 | -0.01 | -0.17 | -0.17 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -11.14 | -26.48 | -26.48 | -26.48 | -55.61 | -55.61 | -55.61 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 66 | 66 | 66 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 50 | 50 | 50 | |||
| End (yyyy mm) | - | - | - | - | 2013 04 | 2013 04 | 2013 04 | |||
| Longest Drawdown Depth (%) | -7.03 |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
|||
| Start to Recovery (# months) details | 6 | |||||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 2 | 14 | 14 | 14 | 50 | 50 | 50 | |||
| End (yyyy mm) | 2023 07 | - | - | - | 2013 04 | 2013 04 | 2013 04 | |||
| Longest negative period (# months) details | 11 | 35 | 46 | 57 | 81 | 141 | 141 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2020 01 | 2018 01 | 2005 01 | 1997 06 | 1997 06 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2022 09 | 2011 09 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -7.77 | -1.49 | -0.77 | -0.22 | -0.21 | -0.05 | -0.05 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 15.78 | 16.21 | 18.63 | 14.79 | 15.99 | 15.30 | 14.86 | |||
| Sharpe Ratio | -0.06 | 0.32 | 0.32 | 0.45 | 0.44 | 0.44 | 0.54 | |||
| Sortino Ratio | -0.09 | 0.44 | 0.43 | 0.61 | 0.58 | 0.57 | 0.70 | |||
| Ulcer Index | 4.52 | 8.15 | 8.37 | 6.47 | 12.74 | 11.42 | 9.62 | |||
| Ratio: Return / Standard Deviation | 0.25 | 0.43 | 0.41 | 0.52 | 0.52 | 0.58 | 0.80 | |||
| Ratio: Return / Deepest Drawdown | 0.38 | 0.32 | 0.30 | 0.31 | 0.15 | 0.16 | 0.22 | |||
| % Positive Months details | 41% | 55% | 60% | 65% | 66% | 65% | 66% | |||
| Positive Months | 5 | 20 | 36 | 79 | 159 | 237 | 382 | |||
| Negative Months | 7 | 16 | 24 | 41 | 81 | 123 | 193 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 7.75 | 15.28 | 15.28 | 21.52 | ||||||
| Worst 10 Years Return (%) - Annualized | 5.12 | 1.21 | 1.21 | |||||||
| Best 10 Years Return (%) - Annualized | 4.80 | 13.28 | 13.28 | 15.35 | ||||||
| Worst 10 Years Return (%) - Annualized | 3.27 | -1.33 | -1.33 | |||||||
|
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 64.80 | 28.12 | 23.40 | 15.28 | 10.01 | 8.95 | ||||
| Worst Rolling Return (%) - Annualized | -47.55 | -16.64 | -4.85 | 1.21 | 6.03 | |||||
| % Positive Periods | 74% | 86% | 95% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 61.35 | 25.15 | 20.93 | 13.28 | 7.55 | 6.27 | ||||
| Worst Rolling Return (%) - Annualized | -47.67 | -18.44 | -7.30 | -1.33 | 3.88 | |||||
| % Positive Periods | 69% | 84% | 86% | 98% | 100% | 100% | ||||
| Over all the available data source (Jan 1976 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 64.80 | 35.58 | 31.56 | 21.52 | 17.56 | 14.92 | ||||
| Worst Rolling Return (%) - Annualized | -47.55 | -16.64 | -4.85 | 1.21 | 6.03 | 8.55 | ||||
| % Positive Periods | 79% | 91% | 97% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 61.35 | 31.61 | 27.56 | 15.35 | 12.31 | 10.33 | ||||
| Worst Rolling Return (%) - Annualized | -47.67 | -18.44 | -7.30 | -1.33 | 3.88 | 5.87 | ||||
| % Positive Periods | 74% | 89% | 92% | 99% | 100% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 35.92 | 22.55 | 13.05 | 8.41 | 8.03 | 10.73 | ||||
| Perpetual WR (%) | 1.21 | 3.30 | 4.58 | 5.34 | 5.90 | 7.42 | ||||
- 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.
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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.
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 |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
EEM
|
IJR
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.88
|
0.85
|
0.90
|
0.90
|
0.83
|
0.85
|
0.88
|
0.84
|
0.29
|
|
VV
|
0.88
|
-
|
0.83
|
0.91
|
0.76
|
0.85
|
0.85
|
0.85
|
0.89
|
0.31
|
|
IJS
|
0.85
|
0.83
|
-
|
0.91
|
0.86
|
0.81
|
0.99
|
0.83
|
0.81
|
0.02
|
|
VNQ
|
0.90
|
0.91
|
0.91
|
-
|
0.88
|
0.87
|
0.90
|
0.93
|
0.91
|
0.31
|
|
EFV
|
0.90
|
0.76
|
0.86
|
0.88
|
-
|
0.87
|
0.82
|
0.94
|
0.87
|
0.28
|
|
EEM
|
0.83
|
0.85
|
0.81
|
0.87
|
0.87
|
-
|
0.79
|
0.87
|
0.99
|
0.50
|
|
IJR
|
0.85
|
0.85
|
0.99
|
0.90
|
0.82
|
0.79
|
-
|
0.79
|
0.80
|
-0.01
|
|
VGK
|
0.88
|
0.85
|
0.83
|
0.93
|
0.94
|
0.87
|
0.79
|
-
|
0.91
|
0.42
|
|
VPL
|
0.84
|
0.89
|
0.81
|
0.91
|
0.87
|
0.99
|
0.80
|
0.91
|
-
|
0.49
|
|
GLTR
|
0.29
|
0.31
|
0.02
|
0.31
|
0.28
|
0.50
|
-0.01
|
0.42
|
0.49
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
EEM
|
IJR
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.92
|
0.91
|
0.82
|
0.90
|
0.72
|
0.92
|
0.90
|
0.84
|
0.27
|
|
VV
|
0.92
|
-
|
0.85
|
0.87
|
0.81
|
0.73
|
0.89
|
0.89
|
0.86
|
0.33
|
|
IJS
|
0.91
|
0.85
|
-
|
0.78
|
0.87
|
0.75
|
0.99
|
0.84
|
0.83
|
0.17
|
|
VNQ
|
0.82
|
0.87
|
0.78
|
-
|
0.75
|
0.68
|
0.81
|
0.83
|
0.78
|
0.33
|
|
EFV
|
0.90
|
0.81
|
0.87
|
0.75
|
-
|
0.81
|
0.85
|
0.95
|
0.91
|
0.29
|
|
EEM
|
0.72
|
0.73
|
0.75
|
0.68
|
0.81
|
-
|
0.75
|
0.82
|
0.87
|
0.46
|
|
IJR
|
0.92
|
0.89
|
0.99
|
0.81
|
0.85
|
0.75
|
-
|
0.85
|
0.85
|
0.20
|
|
VGK
|
0.90
|
0.89
|
0.84
|
0.83
|
0.95
|
0.82
|
0.85
|
-
|
0.92
|
0.40
|
|
VPL
|
0.84
|
0.86
|
0.83
|
0.78
|
0.91
|
0.87
|
0.85
|
0.92
|
-
|
0.36
|
|
GLTR
|
0.27
|
0.33
|
0.17
|
0.33
|
0.29
|
0.46
|
0.20
|
0.40
|
0.36
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
EEM
|
IJR
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.93
|
0.88
|
0.70
|
0.86
|
0.68
|
0.88
|
0.85
|
0.80
|
0.17
|
|
VV
|
0.93
|
-
|
0.83
|
0.74
|
0.80
|
0.70
|
0.86
|
0.85
|
0.83
|
0.23
|
|
IJS
|
0.88
|
0.83
|
-
|
0.68
|
0.77
|
0.64
|
0.99
|
0.74
|
0.74
|
0.10
|
|
VNQ
|
0.70
|
0.74
|
0.68
|
-
|
0.59
|
0.54
|
0.70
|
0.66
|
0.63
|
0.28
|
|
EFV
|
0.86
|
0.80
|
0.77
|
0.59
|
-
|
0.79
|
0.76
|
0.95
|
0.89
|
0.23
|
|
EEM
|
0.68
|
0.70
|
0.64
|
0.54
|
0.79
|
-
|
0.63
|
0.78
|
0.86
|
0.41
|
|
IJR
|
0.88
|
0.86
|
0.99
|
0.70
|
0.76
|
0.63
|
-
|
0.75
|
0.76
|
0.11
|
|
VGK
|
0.85
|
0.85
|
0.74
|
0.66
|
0.95
|
0.78
|
0.75
|
-
|
0.87
|
0.30
|
|
VPL
|
0.80
|
0.83
|
0.74
|
0.63
|
0.89
|
0.86
|
0.76
|
0.87
|
-
|
0.29
|
|
GLTR
|
0.17
|
0.23
|
0.10
|
0.28
|
0.23
|
0.41
|
0.11
|
0.30
|
0.29
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
EEM
|
IJR
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.95
|
0.85
|
0.64
|
0.82
|
0.71
|
0.80
|
0.83
|
0.68
|
0.38
|
|
VV
|
0.95
|
-
|
0.82
|
0.62
|
0.78
|
0.73
|
0.82
|
0.84
|
0.70
|
0.38
|
|
IJS
|
0.85
|
0.82
|
-
|
0.69
|
0.75
|
0.67
|
0.96
|
0.74
|
0.62
|
0.38
|
|
VNQ
|
0.64
|
0.62
|
0.69
|
-
|
0.61
|
0.52
|
0.65
|
0.61
|
0.50
|
0.39
|
|
EFV
|
0.82
|
0.78
|
0.75
|
0.61
|
-
|
0.78
|
0.73
|
0.94
|
0.84
|
0.47
|
|
EEM
|
0.71
|
0.73
|
0.67
|
0.52
|
0.78
|
-
|
0.70
|
0.78
|
0.76
|
0.62
|
|
IJR
|
0.80
|
0.82
|
0.96
|
0.65
|
0.73
|
0.70
|
-
|
0.74
|
0.65
|
0.40
|
|
VGK
|
0.83
|
0.84
|
0.74
|
0.61
|
0.94
|
0.78
|
0.74
|
-
|
0.74
|
0.45
|
|
VPL
|
0.68
|
0.70
|
0.62
|
0.50
|
0.84
|
0.76
|
0.65
|
0.74
|
-
|
0.50
|
|
GLTR
|
0.38
|
0.38
|
0.38
|
0.39
|
0.47
|
0.62
|
0.40
|
0.45
|
0.50
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
EEM
|
IJR
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.95
|
0.86
|
0.64
|
0.84
|
0.69
|
0.83
|
0.80
|
0.60
|
0.29
|
|
VV
|
0.95
|
-
|
0.83
|
0.61
|
0.83
|
0.71
|
0.84
|
0.82
|
0.62
|
0.29
|
|
IJS
|
0.86
|
0.83
|
-
|
0.71
|
0.77
|
0.64
|
0.96
|
0.72
|
0.55
|
0.29
|
|
VNQ
|
0.64
|
0.61
|
0.71
|
-
|
0.61
|
0.50
|
0.67
|
0.58
|
0.44
|
0.30
|
|
EFV
|
0.84
|
0.83
|
0.77
|
0.61
|
-
|
0.73
|
0.76
|
0.90
|
0.75
|
0.37
|
|
EEM
|
0.69
|
0.71
|
0.64
|
0.50
|
0.73
|
-
|
0.66
|
0.71
|
0.62
|
0.40
|
|
IJR
|
0.83
|
0.84
|
0.96
|
0.67
|
0.76
|
0.66
|
-
|
0.72
|
0.56
|
0.30
|
|
VGK
|
0.80
|
0.82
|
0.72
|
0.58
|
0.90
|
0.71
|
0.72
|
-
|
0.71
|
0.37
|
|
VPL
|
0.60
|
0.62
|
0.55
|
0.44
|
0.75
|
0.62
|
0.56
|
0.71
|
-
|
0.38
|
|
GLTR
|
0.29
|
0.29
|
0.29
|
0.30
|
0.37
|
0.40
|
0.30
|
0.37
|
0.38
|
-
|
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 100/0 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1976 - 30 November 2023 (~48 years)
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -54.91% | Nov 2007 | Feb 2009 | 16 | Dec 2012 | 46 | 62 | 23.19 |
| -25.69% | Feb 2001 | Sep 2002 | 20 | Oct 2003 | 13 | 33 | 13.89 |
| -25.40% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 11.92 |
| -21.73% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 10.07 |
| -19.86% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 8.09 |
| -13.05% | Sep 2018 | Dec 2018 | 4 | Jul 2019 | 7 | 11 | 5.28 |
| -10.21% | Jun 2015 | Feb 2016 | 9 | Jul 2016 | 5 | 14 | 5.42 |
| -7.66% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 3.55 |
| -7.23% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 | 4.38 |
| -6.09% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 | 3.28 |
| -5.22% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 3.54 |
| -4.88% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 | 3.24 |
| -4.83% | Oct 1997 | Oct 1997 | 1 | Feb 1998 | 4 | 5 | 2.57 |
| -4.76% | Jun 1996 | Jul 1996 | 2 | Sep 1996 | 2 | 4 | 2.32 |
| -4.74% | Apr 2004 | Apr 2004 | 1 | Jun 2004 | 2 | 3 | 2.81 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -55.61% | Nov 2007 | Feb 2009 | 16 | Apr 2013 | 50 | 66 | 25.05 |
| -28.67% | Feb 2001 | Mar 2003 | 26 | Dec 2003 | 9 | 35 | 15.64 |
| -26.48% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 15.61 |
| -25.73% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 12.25 |
| -20.30% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 8.56 |
| -12.93% | Feb 2018 | Dec 2018 | 11 | Oct 2019 | 10 | 21 | 4.92 |
| -10.77% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 5.56 |
| -8.82% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.69 |
| -8.35% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 4.02 |
| -6.25% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 | 3.36 |
| -5.79% | Jan 2005 | Apr 2005 | 4 | Jul 2005 | 3 | 7 | 2.76 |
| -5.72% | Jan 2000 | Feb 2000 | 2 | Aug 2000 | 6 | 8 | 3.21 |
| -5.42% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 2.95 |
| -5.07% | Oct 1997 | Oct 1997 | 1 | Feb 1998 | 4 | 5 | 2.71 |
| -5.05% | Apr 2004 | Apr 2004 | 1 | Oct 2004 | 6 | 7 | 2.77 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -54.91% | Nov 2007 | Feb 2009 | 16 | Dec 2012 | 46 | 62 | 23.19 |
| -25.69% | Feb 2001 | Sep 2002 | 20 | Oct 2003 | 13 | 33 | 13.89 |
| -25.44% | Sep 1987 | Nov 1987 | 3 | Jan 1989 | 14 | 17 | 13.08 |
| -25.40% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 11.92 |
| -21.73% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 10.07 |
| -19.86% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 8.09 |
| -17.87% | Jan 1990 | Sep 1990 | 9 | Mar 1991 | 6 | 15 | 9.07 |
| -14.00% | Jul 1981 | Jul 1982 | 13 | Oct 1982 | 3 | 16 | 7.40 |
| -13.05% | Sep 2018 | Dec 2018 | 4 | Jul 2019 | 7 | 11 | 5.28 |
| -12.26% | Feb 1980 | Mar 1980 | 2 | Jun 1980 | 3 | 5 | 6.12 |
| -10.21% | Jun 2015 | Feb 2016 | 9 | Jul 2016 | 5 | 14 | 5.42 |
| -9.70% | Oct 1978 | Oct 1978 | 1 | Mar 1979 | 5 | 6 | 5.06 |
| -8.19% | Oct 1979 | Oct 1979 | 1 | Dec 1979 | 2 | 3 | 4.39 |
| -7.66% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 3.55 |
| -7.23% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 | 4.38 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -55.61% | Nov 2007 | Feb 2009 | 16 | Apr 2013 | 50 | 66 | 25.05 |
| -28.67% | Feb 2001 | Mar 2003 | 26 | Dec 2003 | 9 | 35 | 15.64 |
| -26.48% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 15.61 |
| -26.08% | Sep 1987 | Nov 1987 | 3 | Jul 1989 | 20 | 23 | 12.97 |
| -25.73% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 12.25 |
| -23.95% | Dec 1980 | Jul 1982 | 20 | Dec 1982 | 5 | 25 | 12.39 |
| -22.22% | Jan 1990 | Oct 1990 | 10 | Oct 1991 | 12 | 22 | 10.32 |
| -20.30% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 8.56 |
| -14.78% | Feb 1980 | Mar 1980 | 2 | Jul 1980 | 4 | 6 | 7.92 |
| -12.93% | Feb 2018 | Dec 2018 | 11 | Oct 2019 | 10 | 21 | 4.92 |
| -10.93% | Sep 1978 | Oct 1978 | 2 | Jul 1979 | 9 | 11 | 5.26 |
| -10.77% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 5.56 |
| -9.53% | Sep 1979 | Oct 1979 | 2 | Jan 1980 | 3 | 5 | 4.69 |
| -8.82% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.69 |
| -8.48% | Dec 1983 | Jul 1984 | 8 | Aug 1984 | 1 | 9 | 4.31 |
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 100/0 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1976 - 30 November 2023 (~48 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 | -47.55 |
03/2008 02/2009 |
0.52$ | -5.45 | 0.94$ | 12.02 | 1.12$ | 24.13 | 1.24$ | 64.80 |
03/2009 02/2010 |
1.64$ | 3.99 | 25.79% |
| 2Y | -29.60 |
03/2007 02/2009 |
0.49$ | -0.49 | 0.99$ | 10.83 | 1.22$ | 19.85 | 1.43$ | 43.95 |
03/2009 02/2011 |
2.07$ | -0.09 | 16.02% |
| 3Y | -16.64 |
03/2006 02/2009 |
0.57$ | 1.84 | 1.05$ | 10.55 | 1.35$ | 17.15 | 1.60$ | 28.12 |
03/2009 02/2012 |
2.10$ | 7.04 | 13.23% |
| 5Y | -4.85 |
03/2004 02/2009 |
0.77$ | 2.57 | 1.13$ | 8.29 | 1.48$ | 14.56 | 1.97$ | 23.40 |
03/2009 02/2014 |
2.86$ | 7.63 | 4.65% |
| 7Y | -0.40 |
03/2002 02/2009 |
0.97$ | 5.23 | 1.42$ | 8.62 | 1.78$ | 11.08 | 2.08$ | 16.10 |
03/2009 02/2016 |
2.84$ | 8.28 | 0.72% |
| 10Y | 1.21 |
03/1999 02/2009 |
1.12$ | 5.61 | 1.72$ | 8.87 | 2.33$ | 11.11 | 2.86$ | 15.28 |
03/2009 02/2019 |
4.14$ | 7.75 | 0.00% |
| 15Y | 5.08 |
03/1994 02/2009 |
2.10$ | 6.80 | 2.68$ | 7.77 | 3.07$ | 8.64 | 3.46$ | 11.06 |
02/2003 01/2018 |
4.82$ | 11.00 | 0.00% |
| 20Y | 6.03 |
04/2000 03/2020 |
3.22$ | 7.63 | 4.34$ | 8.51 | 5.11$ | 9.55 | 6.20$ | 10.01 |
12/1994 11/2014 |
6.73$ | 8.38 | 0.00% |
| 30Y | 8.95 |
12/1993 11/2023 |
13.08$ | 8.95 | 13.08$ | 8.95 | 13.08$ | 8.95 | 13.08$ | 8.95 |
12/1993 11/2023 |
13.08$ | 8.95 | 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 | -47.67 |
03/2008 02/2009 |
0.52$ | -8.51 | 0.91$ | 9.62 | 1.09$ | 21.76 | 1.21$ | 61.35 |
03/2009 02/2010 |
1.61$ | 0.62 | 30.09% |
| 2Y | -31.06 |
03/2007 02/2009 |
0.47$ | -3.58 | 0.92$ | 8.12 | 1.16$ | 17.03 | 1.36$ | 40.96 |
03/2009 02/2011 |
1.98$ | -5.04 | 21.96% |
| 3Y | -18.44 |
03/2006 02/2009 |
0.54$ | -0.20 | 0.99$ | 7.80 | 1.25$ | 14.46 | 1.49$ | 25.15 |
03/2009 02/2012 |
1.96$ | 1.23 | 15.69% |
| 5Y | -7.30 |
03/2004 02/2009 |
0.68$ | 0.23 | 1.01$ | 6.20 | 1.35$ | 11.89 | 1.75$ | 20.93 |
03/2009 02/2014 |
2.58$ | 3.42 | 13.29% |
| 7Y | -2.88 |
03/2002 02/2009 |
0.81$ | 3.07 | 1.23$ | 5.84 | 1.48$ | 9.19 | 1.84$ | 14.28 |
03/2009 02/2016 |
2.54$ | 4.59 | 1.44% |
| 10Y | -1.33 |
03/1999 02/2009 |
0.87$ | 3.69 | 1.43$ | 6.41 | 1.86$ | 8.49 | 2.25$ | 13.28 |
03/2009 02/2019 |
3.47$ | 4.80 | 1.66% |
| 15Y | 2.53 |
03/1994 02/2009 |
1.45$ | 4.38 | 1.90$ | 5.36 | 2.18$ | 6.28 | 2.49$ | 8.78 |
02/2003 01/2018 |
3.53$ | 8.29 | 0.00% |
| 20Y | 3.88 |
04/2000 03/2020 |
2.14$ | 5.36 | 2.84$ | 6.11 | 3.27$ | 7.06 | 3.91$ | 7.55 |
03/1995 02/2015 |
4.29$ | 5.64 | 0.00% |
| 30Y | 6.27 |
12/1993 11/2023 |
6.20$ | 6.27 | 6.20$ | 6.27 | 6.20$ | 6.27 | 6.20$ | 6.27 |
12/1993 11/2023 |
6.20$ | 6.27 | 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 | -47.55 |
03/2008 02/2009 |
0.52$ | -2.58 | 0.97$ | 13.97 | 1.13$ | 27.06 | 1.27$ | 64.80 |
03/2009 02/2010 |
1.64$ | 3.99 | 20.74% |
| 2Y | -29.60 |
03/2007 02/2009 |
0.49$ | 3.35 | 1.06$ | 13.16 | 1.28$ | 21.59 | 1.47$ | 43.95 |
03/2009 02/2011 |
2.07$ | -0.09 | 9.96% |
| 3Y | -16.64 |
03/2006 02/2009 |
0.57$ | 5.64 | 1.17$ | 12.83 | 1.43$ | 20.29 | 1.74$ | 35.58 |
08/1984 07/1987 |
2.49$ | 7.04 | 8.15% |
| 5Y | -4.85 |
03/2004 02/2009 |
0.77$ | 5.22 | 1.28$ | 12.54 | 1.80$ | 17.79 | 2.26$ | 31.56 |
08/1982 07/1987 |
3.94$ | 7.63 | 2.71% |
| 7Y | -0.40 |
03/2002 02/2009 |
0.97$ | 6.82 | 1.58$ | 11.35 | 2.12$ | 17.44 | 3.08$ | 24.56 |
08/1982 07/1989 |
4.65$ | 8.28 | 0.41% |
| 10Y | 1.21 |
03/1999 02/2009 |
1.12$ | 7.05 | 1.97$ | 11.17 | 2.88$ | 17.14 | 4.86$ | 21.52 |
09/1977 08/1987 |
7.01$ | 7.75 | 0.00% |
| 15Y | 5.08 |
03/1994 02/2009 |
2.10$ | 7.40 | 2.91$ | 10.81 | 4.66$ | 16.49 | 9.86$ | 19.18 |
08/1982 07/1997 |
13.90$ | 11.00 | 0.00% |
| 20Y | 6.03 |
04/2000 03/2020 |
3.22$ | 8.26 | 4.88$ | 9.93 | 6.63$ | 15.72 | 18.54$ | 17.56 |
04/1978 03/1998 |
25.42$ | 8.38 | 0.00% |
| 30Y | 8.55 |
11/1993 10/2023 |
11.70$ | 9.66 | 15.89$ | 11.46 | 25.91$ | 13.29 | 42.24$ | 14.92 |
06/1977 05/2007 |
64.83$ | 8.95 | 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 | -47.67 |
03/2008 02/2009 |
0.52$ | -6.28 | 0.93$ | 9.60 | 1.09$ | 23.14 | 1.23$ | 61.35 |
03/2009 02/2010 |
1.61$ | 0.62 | 25.71% |
| 2Y | -31.06 |
03/2007 02/2009 |
0.47$ | -0.27 | 0.99$ | 8.52 | 1.17$ | 17.36 | 1.37$ | 40.96 |
03/2009 02/2011 |
1.98$ | -5.04 | 16.12% |
| 3Y | -18.44 |
03/2006 02/2009 |
0.54$ | 1.86 | 1.05$ | 8.63 | 1.28$ | 15.75 | 1.55$ | 31.61 |
08/1984 07/1987 |
2.27$ | 1.23 | 10.56% |
| 5Y | -7.30 |
03/2004 02/2009 |
0.68$ | 2.29 | 1.11$ | 8.64 | 1.51$ | 14.03 | 1.92$ | 27.56 |
08/1982 07/1987 |
3.37$ | 3.42 | 7.75% |
| 7Y | -2.88 |
03/2002 02/2009 |
0.81$ | 4.40 | 1.35$ | 8.52 | 1.77$ | 12.59 | 2.29$ | 20.30 |
08/1982 07/1989 |
3.64$ | 4.59 | 0.81% |
| 10Y | -1.33 |
03/1999 02/2009 |
0.87$ | 4.57 | 1.56$ | 8.59 | 2.27$ | 12.12 | 3.14$ | 15.35 |
08/1982 07/1992 |
4.17$ | 4.80 | 0.88% |
| 15Y | 2.53 |
03/1994 02/2009 |
1.45$ | 4.98 | 2.07$ | 7.86 | 3.11$ | 11.47 | 5.09$ | 15.29 |
08/1982 07/1997 |
8.44$ | 8.29 | 0.00% |
| 20Y | 3.88 |
04/2000 03/2020 |
2.14$ | 5.81 | 3.09$ | 7.33 | 4.11$ | 11.00 | 8.06$ | 12.31 |
04/1980 03/2000 |
10.20$ | 5.64 | 0.00% |
| 30Y | 5.87 |
11/1993 10/2023 |
5.54$ | 6.96 | 7.53$ | 8.03 | 10.14$ | 9.23 | 14.14$ | 10.33 |
11/1977 10/2007 |
19.08$ | 6.27 | 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 100/0 Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Bill Bernstein Sheltered Sam 100/0 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 |
2.18
60% |
-1.13
40% |
-2.04
60% |
2.28
80% |
-0.36
60% |
1.25
60% |
3.03
100% |
-0.51
40% |
-3.52
20% |
2.24
60% |
5.50
80% |
0.23
60% |
| Best |
8.7 2019 |
4.7 2021 |
4.4 2021 |
10.2 2020 |
3.8 2020 |
6.3 2019 |
6.3 2022 |
4.8 2020 |
3.1 2019 |
8.6 2022 |
12.8 2020 |
5.4 2021 |
| Worst |
-3.6 2022 |
-8.3 2020 |
-16.7 2020 |
-6.2 2022 |
-6.1 2019 |
-8.1 2022 |
0.0 2021 |
-4.0 2022 |
-9.2 2022 |
-3.2 2023 |
-2.8 2021 |
-8.3 2018 |
Monthly Seasonality over the period Feb 1976 - 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 |
0.61
50% |
0.14
50% |
-0.23
60% |
1.52
90% |
0.27
80% |
0.94
70% |
2.28
90% |
-0.44
50% |
-2.11
30% |
1.38
60% |
3.77
90% |
0.45
70% |
| Best |
8.7 2019 |
4.7 2014 |
7.8 2016 |
10.2 2020 |
3.8 2020 |
6.3 2019 |
6.3 2022 |
4.8 2020 |
3.1 2019 |
8.6 2022 |
12.8 2020 |
5.4 2021 |
| Worst |
-5.0 2016 |
-8.3 2020 |
-16.7 2020 |
-6.2 2022 |
-6.1 2019 |
-8.1 2022 |
-1.9 2014 |
-5.9 2015 |
-9.2 2022 |
-6.8 2018 |
-2.8 2021 |
-8.3 2018 |
Monthly Seasonality over the period Feb 1976 - 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 |
1.39
63% |
0.49
60% |
1.22
71% |
2.11
81% |
0.82
67% |
0.70
60% |
1.20
63% |
0.42
58% |
-0.45
58% |
0.31
60% |
2.15
75% |
2.11
81% |
| Best |
12.9 1976 |
7.5 1991 |
8.5 2009 |
14.6 2009 |
7.4 1990 |
6.3 2019 |
9.3 2009 |
11.2 1982 |
8.9 2010 |
11.8 2011 |
12.8 2020 |
10.0 1991 |
| Worst |
-11.9 2009 |
-12.3 2009 |
-16.7 2020 |
-6.2 2022 |
-8.3 2010 |
-8.7 2008 |
-10.5 2002 |
-15.4 1998 |
-9.8 2001 |
-21.1 1987 |
-9.8 2008 |
-8.3 2018 |
Monthly Seasonality over the period Feb 1976 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Bill Bernstein Sheltered Sam 100/0 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
BILL BERNSTEIN SHELTERED SAM 100/0 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1976 - 30 November 2023 (~48 years)
237 Positive Months (66%) - 123 Negative Months (34%)
382 Positive Months (66%) - 193 Negative Months (34%)
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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:
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
- GLTR - Aberdeen Standard Physical Precious Metals Basket Shares, up to December 2010
Portfolio efficiency
The following portfolios 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 | ||
| US Stocks Momentum | +12.01 | 15.28 | -53.85 | 100 | 0 | 0 | ||
| Stocks/Bonds 80/20 Momentum | +10.76 | 12.35 | -43.61 | 80 | 20 | 0 | ||
| US Stocks | +9.90 | 15.52 | -50.84 | 100 | 0 | 0 | ||
| US Stocks Minimum Volatility | +9.58 | 13.72 | -43.27 | 100 | 0 | 0 | ||
| Warren Buffett Portfolio | +9.54 | 13.65 | -45.52 | 90 | 10 | 0 | ||
| Stocks/Bonds 60/40 Momentum | +9.34 | 9.56 | -32.52 | 60 | 40 | 0 | ||
| Stocks/Bonds 80/20 | +9.02 | 12.49 | -41.09 | 80 | 20 | 0 | ||
| Sheltered Sam 100/0 | +8.95 | 15.30 | -54.91 | 97 | 0 | 3 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Technology | +13.75 | 24.01 | -81.08 | 100 | 0 | 0 | ||
| US Stocks Momentum | +12.01 | 15.28 | -53.85 | 100 | 0 | 0 | ||
| Stocks/Bonds 80/20 Momentum | +10.76 | 12.35 | -43.61 | 80 | 20 | 0 | ||
| US Stocks | +9.90 | 15.52 | -50.84 | 100 | 0 | 0 | ||
| US Stocks Value | +9.71 | 15.36 | -55.41 | 100 | 0 | 0 | ||
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