Data Source: from January 1976 to May 2023 (~47 years)
Consolidated Returns as of 31 May 2023
Live Update: Jun 02 2023
Consolidated Returns as of 31 May 2023
Live Update: Jun 02 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
2.22%
1 Day
Jun 02 2023
3.17%
Current Month
June 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 8.92% compound annual return, with a 15.16% standard deviation.
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 | ETF Name | Investment Themes |
|---|---|---|---|
| 25.00 |
VTV
|
Vanguard Value | Equity, U.S., Large Cap, Value |
| 20.00 |
VV
|
Vanguard Large-Cap | Equity, U.S., Large Cap |
| 15.00 |
IJS
|
iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value |
| 10.00 |
VNQ
|
Vanguard Real Estate | Real Estate, U.S. |
| 7.00 |
EFV
|
iShares MSCI EAFE Value | Equity, EAFE, Large Cap, Value |
| 5.00 |
IJR
|
iShares Core S&P Small-Cap | Equity, U.S., Small Cap |
| 5.00 |
EEM
|
iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap |
| 5.00 |
VGK
|
Vanguard FTSE Europe | Equity, Developed Europe, Large Cap |
| 5.00 |
VPL
|
Vanguard FTSE Pacific | Equity, Developed Asia Pacific, Large Cap |
| 3.00 |
GLTR
|
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 May 31, 2023
The Bill Bernstein Sheltered Sam 100/0 Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (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 31 May 2023
Live Update: Jun 02 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of May 31, 2023 | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Jun 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~47Y) |
||
| Bill Bernstein Sheltered Sam 100/0 Portfolio | 2.22 | 3.17 | -2.79 | -2.65 | -3.60 | 6.07 | 8.14 | 8.92 | 11.93 | ||
| US Inflation Adjusted return | -2.79 | -4.46 | -7.11 | 2.17 | 5.32 | 6.25 | 7.99 | ||||
| Components | |||||||||||
|
VTV
|
Vanguard Value | 1.97 | Jun 02 2023 | 2.64 | -4.12 | -6.58 | -3.93 | 8.08 | 9.73 | 9.03 | 9.87 |
|
VV
|
Vanguard Large-Cap | 1.46 | Jun 02 2023 | 2.50 | 0.73 | 3.57 | 2.95 | 10.80 | 11.85 | 9.84 | 8.93 |
|
IJS
|
iShares S&P Small-Cap 600 Value | 4.49 | Jun 02 2023 | 5.32 | -3.66 | -9.53 | -8.86 | 3.20 | 8.10 | 10.13 | 12.72 |
|
VNQ
|
Vanguard Real Estate | 2.44 | Jun 02 2023 | 2.45 | -3.96 | -6.98 | -15.87 | 4.07 | 5.34 | 8.35 | 6.94 |
|
EFV
|
iShares MSCI EAFE Value | 1.61 | Jun 02 2023 | 3.17 | -5.22 | 3.57 | 0.31 | 1.52 | 3.09 | 5.45 | 9.87 |
|
IJR
|
iShares Core S&P Small-Cap | 4.12 | Jun 02 2023 | 5.01 | -1.67 | -8.53 | -7.27 | 3.75 | 8.89 | 9.76 | 11.34 |
|
EEM
|
iShares MSCI Emerging Markets | 1.72 | Jun 02 2023 | 3.53 | -2.40 | -1.90 | -8.29 | -1.39 | 1.39 | 5.57 | 7.36 |
|
VGK
|
Vanguard FTSE Europe | 1.18 | Jun 02 2023 | 2.37 | -5.12 | 7.20 | 4.26 | 4.15 | 5.05 | 7.11 | 8.65 |
|
VPL
|
Vanguard FTSE Pacific | 1.82 | Jun 02 2023 | 3.85 | -1.16 | 3.07 | -0.43 | 1.34 | 4.54 | 2.62 | 8.21 |
|
GLTR
|
Aberdeen Standard Physical Precious Metals Basket Shares | -1.07 | Jun 02 2023 | 0.14 | -3.62 | 3.86 | 1.74 | 7.14 | 1.81 | 5.98 | 8.47 |
Returns over 1 year are annualized | Available data source: since Jan 1976
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Apr 2023.
Waiting for updates, inflation of May 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.79%
, 5Y: 3.81%
, 10Y: 2.68%
, 30Y: 2.51%
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.
Portfolio Metrics as of May 31, 2023
Metrics of Bill Bernstein Sheltered Sam 100/0 Portfolio, updated as of 31 May 2023.
Portfolio metrics are calculated based on monthly returns, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
BILL BERNSTEIN SHELTERED SAM 100/0 PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1976 - 31 May 2023 (~47 years)
Swipe left to see all data
| Metrics as of May 31, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~47Y) |
|
| Portfolio Return (%) | -2.79 | -2.24 | -2.65 | -3.60 | 11.37 | 6.07 | 8.14 | 8.96 | 8.92 | 11.93 |
| US Inflation (%) | 0.00 | 0.84 | 1.90 | 3.79 | 5.77 | 3.81 | 2.68 | 2.55 | 2.51 | 3.65 |
| Infl. Adjusted Return (%) | -2.79 | -3.05 | -4.46 | -7.11 | 5.29 | 2.17 | 5.32 | 6.25 | 6.25 | 7.99 |
| Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||||
| RISK INDICATORS | ||||||||||
| Standard Deviation (%) | 20.46 | 16.61 | 18.14 | 14.48 | 15.82 | 15.16 | 14.82 | |||
| Sharpe Ratio | -0.33 | 0.62 | 0.26 | 0.51 | 0.49 | 0.44 | 0.54 | |||
| Sortino Ratio | -0.49 | 0.88 | 0.35 | 0.68 | 0.64 | 0.57 | 0.70 | |||
| MAXIMUM DRAWDOWN | ||||||||||
| Drawdown Depth (%) | -14.86 | -21.73 | -25.40 | -25.40 | -54.91 | -54.91 | -54.91 | |||
| Start (yyyy mm) | 2022 06 | 2022 01 | 2020 01 | 2020 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Bottom (yyyy mm) | 2022 09 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Start to Bottom (# months) | 4 | 9 | 3 | 3 | 16 | 16 | 16 | |||
| Start to Recovery (# months) in progress |
8
|
> 17
|
11
|
11
|
62
|
62
|
62
|
|||
| ROLLING PERIOD RETURNS - Annualized | ||||||||||
| Best Return (%) | 64.80 | 35.58 | 31.56 | 21.52 | 17.56 | 14.92 | ||||
| Worst Return (%) | -47.55 | -16.64 | -4.85 | 1.21 | 6.03 | 8.79 | ||||
| % Positive Periods | 79% | 92% | 97% | 100% | 100% | 100% | ||||
| MONTHS | ||||||||||
| Positive | 0 | 1 | 2 | 5 | 21 | 37 | 80 | 162 | 238 | 379 |
| Negative | 1 | 2 | 4 | 7 | 15 | 23 | 40 | 78 | 122 | 190 |
| % Positive | 0% | 33% | 33% | 42% | 58% | 62% | 67% | 68% | 66% | 67% |
| WITHDRAWAL RATES (WR) | ||||||||||
| Safe WR (%) | 43.21 | 22.40 | 14.45 | 9.99 | 8.51 | 10.73 | ||||
| Perpetual WR (%) | 5.03 | 2.13 | 5.05 | 5.88 | 5.89 | 7.40 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- 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).
- Maximum Drawdown: 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.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative 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).
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.
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 31 May 2023
Swipe left to see all data
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
IJR
|
EEM
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.89
|
0.89
|
0.82
|
0.87
|
0.88
|
0.58
|
0.89
|
0.78
|
0.29
|
|
VV
|
0.89
|
-
|
0.86
|
0.91
|
0.80
|
0.89
|
0.64
|
0.87
|
0.86
|
0.32
|
|
IJS
|
0.89
|
0.86
|
-
|
0.87
|
0.78
|
0.99
|
0.50
|
0.79
|
0.70
|
0.03
|
|
VNQ
|
0.82
|
0.91
|
0.87
|
-
|
0.86
|
0.88
|
0.76
|
0.89
|
0.90
|
0.36
|
|
EFV
|
0.87
|
0.80
|
0.78
|
0.86
|
-
|
0.76
|
0.81
|
0.98
|
0.92
|
0.53
|
|
IJR
|
0.88
|
0.89
|
0.99
|
0.88
|
0.76
|
-
|
0.50
|
0.79
|
0.72
|
0.03
|
|
EEM
|
0.58
|
0.64
|
0.50
|
0.76
|
0.81
|
0.50
|
-
|
0.79
|
0.93
|
0.67
|
|
VGK
|
0.89
|
0.87
|
0.79
|
0.89
|
0.98
|
0.79
|
0.79
|
-
|
0.93
|
0.55
|
|
VPL
|
0.78
|
0.86
|
0.70
|
0.90
|
0.92
|
0.72
|
0.93
|
0.93
|
-
|
0.64
|
|
GLTR
|
0.29
|
0.32
|
0.03
|
0.36
|
0.53
|
0.03
|
0.67
|
0.55
|
0.64
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
IJR
|
EEM
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.92
|
0.90
|
0.81
|
0.89
|
0.91
|
0.70
|
0.89
|
0.83
|
0.25
|
|
VV
|
0.92
|
-
|
0.85
|
0.84
|
0.80
|
0.89
|
0.71
|
0.88
|
0.85
|
0.31
|
|
IJS
|
0.90
|
0.85
|
-
|
0.76
|
0.85
|
0.99
|
0.72
|
0.82
|
0.81
|
0.15
|
|
VNQ
|
0.81
|
0.84
|
0.76
|
-
|
0.72
|
0.79
|
0.64
|
0.79
|
0.73
|
0.30
|
|
EFV
|
0.89
|
0.80
|
0.85
|
0.72
|
-
|
0.83
|
0.81
|
0.96
|
0.90
|
0.30
|
|
IJR
|
0.91
|
0.89
|
0.99
|
0.79
|
0.83
|
-
|
0.73
|
0.84
|
0.83
|
0.18
|
|
EEM
|
0.70
|
0.71
|
0.72
|
0.64
|
0.81
|
0.73
|
-
|
0.81
|
0.86
|
0.45
|
|
VGK
|
0.89
|
0.88
|
0.82
|
0.79
|
0.96
|
0.84
|
0.81
|
-
|
0.91
|
0.39
|
|
VPL
|
0.83
|
0.85
|
0.81
|
0.73
|
0.90
|
0.83
|
0.86
|
0.91
|
-
|
0.35
|
|
GLTR
|
0.25
|
0.31
|
0.15
|
0.30
|
0.30
|
0.18
|
0.45
|
0.39
|
0.35
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
IJR
|
EEM
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.93
|
0.88
|
0.68
|
0.85
|
0.88
|
0.66
|
0.84
|
0.78
|
0.15
|
|
VV
|
0.93
|
-
|
0.82
|
0.72
|
0.79
|
0.86
|
0.69
|
0.85
|
0.81
|
0.21
|
|
IJS
|
0.88
|
0.82
|
-
|
0.65
|
0.76
|
0.99
|
0.62
|
0.73
|
0.73
|
0.07
|
|
VNQ
|
0.68
|
0.72
|
0.65
|
-
|
0.57
|
0.67
|
0.52
|
0.63
|
0.61
|
0.25
|
|
EFV
|
0.85
|
0.79
|
0.76
|
0.57
|
-
|
0.75
|
0.79
|
0.96
|
0.88
|
0.22
|
|
IJR
|
0.88
|
0.86
|
0.99
|
0.67
|
0.75
|
-
|
0.62
|
0.74
|
0.74
|
0.08
|
|
EEM
|
0.66
|
0.69
|
0.62
|
0.52
|
0.79
|
0.62
|
-
|
0.77
|
0.86
|
0.39
|
|
VGK
|
0.84
|
0.85
|
0.73
|
0.63
|
0.96
|
0.74
|
0.77
|
-
|
0.86
|
0.29
|
|
VPL
|
0.78
|
0.81
|
0.73
|
0.61
|
0.88
|
0.74
|
0.86
|
0.86
|
-
|
0.25
|
|
GLTR
|
0.15
|
0.21
|
0.07
|
0.25
|
0.22
|
0.08
|
0.39
|
0.29
|
0.25
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
IJR
|
EEM
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.95
|
0.85
|
0.64
|
0.81
|
0.80
|
0.70
|
0.83
|
0.67
|
0.37
|
|
VV
|
0.95
|
-
|
0.82
|
0.61
|
0.78
|
0.82
|
0.72
|
0.84
|
0.69
|
0.38
|
|
IJS
|
0.85
|
0.82
|
-
|
0.68
|
0.75
|
0.96
|
0.67
|
0.74
|
0.61
|
0.38
|
|
VNQ
|
0.64
|
0.61
|
0.68
|
-
|
0.61
|
0.64
|
0.51
|
0.59
|
0.49
|
0.38
|
|
EFV
|
0.81
|
0.78
|
0.75
|
0.61
|
-
|
0.72
|
0.77
|
0.94
|
0.84
|
0.47
|
|
IJR
|
0.80
|
0.82
|
0.96
|
0.64
|
0.72
|
-
|
0.69
|
0.74
|
0.64
|
0.40
|
|
EEM
|
0.70
|
0.72
|
0.67
|
0.51
|
0.77
|
0.69
|
-
|
0.77
|
0.75
|
0.61
|
|
VGK
|
0.83
|
0.84
|
0.74
|
0.59
|
0.94
|
0.74
|
0.77
|
-
|
0.73
|
0.44
|
|
VPL
|
0.67
|
0.69
|
0.61
|
0.49
|
0.84
|
0.64
|
0.75
|
0.73
|
-
|
0.49
|
|
GLTR
|
0.37
|
0.38
|
0.38
|
0.38
|
0.47
|
0.40
|
0.61
|
0.44
|
0.49
|
-
|
| Asset |
VTV
|
VV
|
IJS
|
VNQ
|
EFV
|
IJR
|
EEM
|
VGK
|
VPL
|
GLTR
|
|---|---|---|---|---|---|---|---|---|---|---|
|
VTV
|
-
|
0.95
|
0.86
|
0.64
|
0.84
|
0.82
|
0.69
|
0.80
|
0.60
|
0.29
|
|
VV
|
0.95
|
-
|
0.83
|
0.61
|
0.83
|
0.84
|
0.71
|
0.81
|
0.62
|
0.29
|
|
IJS
|
0.86
|
0.83
|
-
|
0.70
|
0.77
|
0.96
|
0.64
|
0.71
|
0.54
|
0.29
|
|
VNQ
|
0.64
|
0.61
|
0.70
|
-
|
0.60
|
0.66
|
0.49
|
0.57
|
0.44
|
0.30
|
|
EFV
|
0.84
|
0.83
|
0.77
|
0.60
|
-
|
0.75
|
0.73
|
0.90
|
0.74
|
0.37
|
|
IJR
|
0.82
|
0.84
|
0.96
|
0.66
|
0.75
|
-
|
0.66
|
0.72
|
0.56
|
0.30
|
|
EEM
|
0.69
|
0.71
|
0.64
|
0.49
|
0.73
|
0.66
|
-
|
0.71
|
0.62
|
0.40
|
|
VGK
|
0.80
|
0.81
|
0.71
|
0.57
|
0.90
|
0.72
|
0.71
|
-
|
0.71
|
0.37
|
|
VPL
|
0.60
|
0.62
|
0.54
|
0.44
|
0.74
|
0.56
|
0.62
|
0.71
|
-
|
0.38
|
|
GLTR
|
0.29
|
0.29
|
0.29
|
0.30
|
0.37
|
0.30
|
0.40
|
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.
Readings that may interest you
Capital Growth as of May 31, 2023
An investment of 1000$, since June 1993,
now would be worth 12981.11$, with a total return of 1198.11% (8.92% annualized).
The Inflation Adjusted Capital now would be 6170.42$, with a net total return of 517.04% (6.25% annualized).
The Inflation Adjusted Capital now would be 6170.42$, with a net total return of 517.04% (6.25% annualized).
An investment of 1000$, since January 1976,
now would be worth 208986.77$, with a total return of 20798.68% (11.93% annualized).
The Inflation Adjusted Capital now would be 38233.95$, with a net total return of 3723.40% (7.99% annualized).
The Inflation Adjusted Capital now would be 38233.95$, with a net total return of 3723.40% (7.99% annualized).
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
Updated to May 2023
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -54.91% | Nov 2007 | Feb 2009 | 16 | Dec 2012 | 46 | 62 |
| -25.69% | Feb 2001 | Sep 2002 | 20 | Oct 2003 | 13 | 33 |
| -25.40% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 |
| -21.73% | Jan 2022 | Sep 2022 | 9 | in progress | 8 | 17 |
| -19.86% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 |
| -13.05% | Sep 2018 | Dec 2018 | 4 | Jul 2019 | 7 | 11 |
| -10.21% | Jun 2015 | Feb 2016 | 9 | Jul 2016 | 5 | 14 |
| -7.66% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
| -7.23% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 |
| -6.09% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 |
| -5.22% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 |
| -4.88% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 |
| -4.83% | Oct 1997 | Oct 1997 | 1 | Feb 1998 | 4 | 5 |
| -4.76% | Jun 1996 | Jul 1996 | 2 | Sep 1996 | 2 | 4 |
| -4.74% | Apr 2004 | Apr 2004 | 1 | Jun 2004 | 2 | 3 |
| -4.45% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 |
| -4.34% | Mar 2005 | Apr 2005 | 2 | Jun 2005 | 2 | 4 |
| -3.93% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
| -3.80% | May 2006 | May 2006 | 1 | Sep 2006 | 4 | 5 |
| -3.76% | Sep 2014 | Sep 2014 | 1 | Nov 2014 | 2 | 3 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -54.91% | Nov 2007 | Feb 2009 | 16 | Dec 2012 | 46 | 62 |
| -25.69% | Feb 2001 | Sep 2002 | 20 | Oct 2003 | 13 | 33 |
| -25.44% | Sep 1987 | Nov 1987 | 3 | Jan 1989 | 14 | 17 |
| -25.40% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 |
| -21.73% | Jan 2022 | Sep 2022 | 9 | in progress | 8 | 17 |
| -19.86% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 |
| -17.87% | Jan 1990 | Sep 1990 | 9 | Mar 1991 | 6 | 15 |
| -14.00% | Jul 1981 | Jul 1982 | 13 | Oct 1982 | 3 | 16 |
| -13.05% | Sep 2018 | Dec 2018 | 4 | Jul 2019 | 7 | 11 |
| -12.26% | Feb 1980 | Mar 1980 | 2 | Jun 1980 | 3 | 5 |
| -10.21% | Jun 2015 | Feb 2016 | 9 | Jul 2016 | 5 | 14 |
| -9.70% | Oct 1978 | Oct 1978 | 1 | Mar 1979 | 5 | 6 |
| -8.19% | Oct 1979 | Oct 1979 | 1 | Dec 1979 | 2 | 3 |
| -7.66% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
| -7.23% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 |
| -6.32% | Feb 1984 | Jul 1984 | 6 | Aug 1984 | 1 | 7 |
| -6.09% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 |
| -5.31% | Dec 1980 | Jan 1981 | 2 | Mar 1981 | 2 | 4 |
| -5.22% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 |
| -4.93% | Sep 1986 | Sep 1986 | 1 | Nov 1986 | 2 | 3 |
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
Data Source: from January 1976 to May 2023
Swipe left to see all data
| Rolling Period |
Annualized Return (%) | Negative Periods |
|||
|---|---|---|---|---|---|
| Average | Latest | Best | Worst | ||
| 1 Year |
13.01 | -3.60 |
64.80 Mar 2009 - Feb 2010 |
-47.55 Mar 2008 - Feb 2009 |
20.97% |
| 2 Years |
12.54 | -3.40 |
43.95 Mar 2009 - Feb 2011 |
-29.60 Mar 2007 - Feb 2009 |
9.16% |
| 3 Years |
12.32 | 11.37 |
35.58 Aug 1984 - Jul 1987 |
-16.64 Mar 2006 - Feb 2009 |
8.24% |
| 5 Years |
12.08 | 6.07 |
31.56 Aug 1982 - Jul 1987 |
-4.85 Mar 2004 - Feb 2009 |
2.75% |
| 7 Years |
12.02 | 8.39 |
24.56 Aug 1982 - Jul 1989 |
-0.40 Mar 2002 - Feb 2009 |
0.41% |
| 10 Years |
11.91 | 8.14 |
21.52 Sep 1977 - Aug 1987 |
1.21 Mar 1999 - Feb 2009 |
0.00% |
| 15 Years |
11.39 | 6.83 |
19.18 Aug 1982 - Jul 1997 |
5.08 Mar 1994 - Feb 2009 |
0.00% |
| 20 Years |
11.41 | 8.96 |
17.56 Apr 1978 - Mar 1998 |
6.03 Apr 2000 - Mar 2020 |
0.00% |
| 30 Years |
11.41 | 8.92 |
14.92 Jun 1977 - May 2007 |
8.79 Apr 1990 - Mar 2020 |
0.00% |
Annualized rolling and average 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.
Previous vs subsequent Returns
Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?
In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.
Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area
BILL BERNSTEIN SHELTERED SAM 100/0 PORTFOLIO
Previous vs Next Returns - 10 Years annualized
Updated to May 2023
The annualized return of the last 10 years has been 8.14% (updated at May 31, 2023).
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.
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 |
2.18
60% |
-1.13
40% |
-2.04
60% |
2.28
80% |
-0.36
60% |
0.08
60% |
2.84
100% |
0.43
60% |
-2.71
20% |
1.53
60% |
4.27
80% |
0.23
60% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
102.18
|
101.02
|
98.96
|
101.22
|
100.85
|
100.93
|
103.79
|
104.24
|
101.41
|
102.96
|
107.35
|
107.60
|
| 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 |
-6.8 2018 |
-2.8 2021 |
-8.3 2018 |
Monthly Seasonality over the period Jun 2018 - May 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 |
0.61
50% |
0.14
50% |
-0.23
60% |
1.52
90% |
0.27
80% |
0.17
60% |
2.38
90% |
-0.42
50% |
-1.22
40% |
2.10
70% |
3.12
90% |
0.45
70% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.61
|
100.76
|
100.53
|
102.06
|
102.34
|
102.51
|
104.96
|
104.51
|
103.24
|
105.41
|
108.70
|
109.19
|
| 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 |
4.5 2013 |
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 Jun 2013 - May 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 |
1.39
63% |
0.49
60% |
1.22
71% |
2.11
81% |
0.82
67% |
0.58
60% |
1.14
62% |
0.50
60% |
-0.37
60% |
0.39
62% |
2.02
74% |
2.11
81% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.39
|
101.89
|
103.14
|
105.32
|
106.18
|
106.80
|
108.03
|
108.56
|
108.16
|
108.58
|
110.78
|
113.12
|
| 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 Jan 1976 - May 2023
Monthly/Yearly Returns
Bill Bernstein Sheltered Sam 100/0 Portfolio data source starts from January 1976: let's focus on monthly and yearly returns.
We are providing two different views:
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1976 - May 2023
379 Positive Months (67%) - 190 Negative Months (33%)
MONTHLY RETURNS TABLE
Jan 1976 - May 2023
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2023 |
+1.39 | -0.81 | 7.3 | -3.3 | -0.2 | 0.8 | -2.8 | |||||||
| 2022 |
-12.59 | -17.89 | -3.6 | -1.3 | 2.1 | -6.2 | 0.9 | -8.1 | 6.3 | -4.0 | -9.2 | 8.6 | 7.1 | -4.0 |
| 2021 |
+23.26 | +15.16 | 0.9 | 4.7 | 4.4 | 3.6 | 2.4 | 0.0 | 0.0 | 1.9 | -3.7 | 4.7 | -2.8 | 5.4 |
| 2020 |
+7.92 | +6.47 | -2.4 | -8.3 | -16.7 | 10.2 | 3.8 | 2.0 | 4.4 | 4.8 | -3.3 | -1.2 | 12.8 | 5.1 |
| 2019 |
+25.10 | +22.31 | 8.7 | 2.6 | 0.2 | 3.0 | -6.1 | 6.3 | 0.5 | -2.1 | 3.1 | 2.3 | 2.1 | 2.9 |
| 2018 |
-8.54 | -10.26 | 3.6 | -4.7 | -0.6 | 0.7 | 1.6 | 0.2 | 3.0 | 1.5 | -0.4 | -6.8 | 2.2 | -8.3 |
| 2017 |
+18.07 | +15.63 | 1.4 | 2.7 | 0.2 | 0.8 | 0.5 | 1.4 | 2.0 | -0.3 | 3.0 | 1.5 | 2.6 | 1.1 |
| 2016 |
+14.96 | +12.63 | -5.0 | 0.0 | 7.8 | 1.3 | 0.5 | 1.3 | 4.1 | 0.1 | 0.3 | -2.4 | 4.1 | 2.6 |
| 2015 |
-2.58 | -3.28 | -1.6 | 4.3 | -0.6 | 0.5 | 0.5 | -2.1 | 0.5 | -5.9 | -2.6 | 7.0 | 0.1 | -2.0 |
| 2014 |
+8.93 | +8.11 | -3.2 | 4.7 | 1.1 | 0.5 | 1.5 | 2.4 | -1.9 | 2.9 | -3.8 | 3.3 | 1.2 | 0.1 |
| 2013 |
+25.60 | +23.74 | 4.9 | 0.5 | 3.1 | 2.3 | 0.4 | -1.7 | 5.0 | -3.1 | 4.5 | 4.0 | 1.8 | 1.6 |
| 2012 |
+16.72 | +14.73 | 5.9 | 3.2 | 2.2 | -1.0 | -7.2 | 5.0 | 0.6 | 2.5 | 2.5 | -0.9 | 0.7 | 2.8 |
| 2011 |
-1.94 | -4.76 | 1.6 | 4.0 | 0.2 | 3.9 | -1.7 | -1.9 | -1.8 | -6.4 | -9.6 | 11.8 | -0.9 | 0.7 |
| 2010 |
+18.03 | +16.29 | -3.8 | 3.0 | 7.1 | 2.4 | -8.3 | -5.2 | 8.0 | -4.4 | 8.9 | 3.8 | -0.7 | 7.7 |
| 2009 |
+28.40 | +25.00 | -11.9 | -12.3 | 8.5 | 14.6 | 7.2 | -0.8 | 9.3 | 4.8 | 4.5 | -3.5 | 5.5 | 3.2 |
| 2008 |
-36.97 | -37.02 | -5.1 | -2.2 | 0.3 | 4.8 | 1.6 | -8.7 | -0.9 | 0.6 | -7.7 | -20.7 | -9.8 | 5.8 |
| 2007 |
+2.63 | -1.39 | 2.1 | -1.3 | 1.4 | 3.2 | 3.4 | -2.0 | -4.2 | 1.4 | 4.1 | 2.6 | -5.7 | -1.7 |
| 2006 |
+22.83 | +19.78 | 5.9 | 0.0 | 3.2 | 1.9 | -3.8 | 0.8 | 0.6 | 2.3 | 1.3 | 4.4 | 2.9 | 1.6 |
| 2005 |
+11.09 | +7.42 | -2.9 | 3.7 | -2.4 | -2.0 | 3.2 | 2.2 | 4.5 | -0.3 | 2.4 | -2.9 | 4.0 | 1.5 |
| 2004 |
+19.02 | +15.27 | 1.9 | 2.1 | 0.8 | -4.7 | 1.8 | 3.1 | -2.8 | 1.7 | 2.4 | 2.3 | 6.2 | 3.4 |
| 2003 |
+37.23 | +34.70 | -2.8 | -2.2 | -0.3 | 8.2 | 7.1 | 2.3 | 3.2 | 3.1 | 0.2 | 6.3 | 2.4 | 5.2 |
| 2002 |
-13.43 | -15.44 | -0.9 | 0.0 | 5.9 | -1.0 | 0.3 | -5.1 | -10.5 | 0.7 | -9.0 | 4.0 | 5.6 | -3.0 |
| 2001 |
-5.06 | -6.51 | 3.8 | -5.8 | -5.1 | 7.0 | 1.1 | -0.9 | -1.9 | -2.5 | -9.8 | 1.5 | 6.2 | 2.8 |
| 2000 |
+2.19 | -1.16 | -4.3 | -0.6 | 5.7 | -1.6 | -1.1 | 2.1 | 0.3 | 4.3 | -2.0 | -1.0 | -4.8 | 6.1 |
| 1999 |
+17.38 | +14.31 | 0.7 | -3.4 | 3.4 | 7.8 | -1.7 | 4.6 | -1.6 | -1.6 | -1.3 | 2.4 | 1.7 | 5.7 |
| 1998 |
+8.80 | +7.07 | 0.2 | 6.2 | 4.3 | 0.6 | -2.9 | 0.3 | -2.8 | -15.4 | 5.2 | 7.0 | 4.8 | 3.2 |
| 1997 |
+20.21 | +18.19 | 2.3 | 1.0 | -2.8 | 1.8 | 6.5 | 4.4 | 5.3 | -3.9 | 6.1 | -4.8 | 1.4 | 2.0 |
| 1996 |
+19.51 | +15.67 | 2.7 | 1.0 | 1.6 | 2.0 | 1.8 | -0.6 | -4.2 | 2.9 | 3.4 | 1.4 | 5.7 | 0.5 |
| 1995 |
+25.90 | +22.78 | -0.7 | 2.8 | 2.7 | 2.9 | 2.9 | 1.5 | 4.0 | 0.2 | 2.5 | -2.4 | 3.9 | 3.1 |
| 1994 |
-1.11 | -3.68 | 4.3 | -2.6 | -4.7 | 2.0 | 0.5 | -1.9 | 2.6 | 3.7 | -2.5 | 0.9 | -4.4 | 1.6 |
| 1993 |
+25.63 | +22.27 | 3.1 | 2.5 | 5.0 | 0.2 | 2.0 | 1.2 | 2.1 | 3.4 | 0.0 | 2.5 | -3.1 | 4.6 |
| 1992 |
+9.73 | +6.64 | 1.8 | 1.0 | -1.8 | 2.3 | 2.6 | -2.5 | 2.8 | -1.6 | 0.6 | -0.4 | 2.8 | 2.0 |
| 1991 |
+31.84 | +27.92 | 5.1 | 7.5 | 2.3 | 1.1 | 3.9 | -4.6 | 3.8 | 2.1 | 0.2 | 1.9 | -4.3 | 10.0 |
| 1990 |
-11.83 | -16.91 | -5.9 | 0.2 | 0.6 | -3.3 | 7.4 | -0.6 | 0.2 | -9.9 | -7.1 | 0.3 | 4.8 | 2.1 |
| 1989 |
+26.34 | +20.72 | 5.8 | -0.7 | 1.1 | 4.2 | 2.8 | -0.3 | 6.5 | 2.5 | 0.9 | -3.6 | 2.1 | 2.8 |
| 1988 |
+20.88 | +15.77 | 4.9 | 5.0 | -0.5 | 1.5 | 0.0 | 4.9 | 0.0 | -2.7 | 3.0 | 2.2 | -0.7 | 1.8 |
| 1987 |
+3.74 | -0.67 | 11.5 | 3.7 | 2.8 | 0.1 | -0.2 | 3.3 | 4.6 | 3.2 | -1.4 | -21.1 | -4.1 | 5.1 |
| 1986 |
+26.09 | +24.72 | 2.2 | 7.3 | 6.1 | 0.1 | 3.1 | 2.6 | -3.5 | 7.3 | -4.9 | 3.1 | 2.1 | -1.3 |
| 1985 |
+35.09 | +30.14 | 7.8 | 2.2 | 1.3 | 0.7 | 5.3 | 2.0 | 0.4 | -0.2 | -2.9 | 4.4 | 6.0 | 4.0 |
| 1984 |
+7.75 | +3.66 | 0.8 | -2.7 | 1.2 | 0.5 | -4.7 | 1.6 | -2.2 | 10.1 | 1.5 | 0.2 | -0.2 | 2.2 |
| 1983 |
+26.03 | +21.43 | 4.2 | 2.3 | 4.5 | 7.6 | 0.9 | 2.8 | -1.9 | 1.0 | 1.3 | -1.3 | 2.8 | -0.3 |
| 1982 |
+18.67 | +14.30 | -2.1 | -4.0 | -0.9 | 3.7 | -3.1 | -2.4 | -2.2 | 11.2 | 1.5 | 11.3 | 4.5 | 1.2 |
| 1981 |
-0.04 | -8.23 | -2.5 | 1.7 | 4.5 | -0.7 | 0.8 | 0.1 | -0.8 | -4.8 | -5.0 | 5.2 | 4.4 | -2.2 |
| 1980 |
+28.25 | +13.98 | 7.2 | 0.0 | -12.2 | 4.7 | 5.8 | 4.2 | 5.9 | 1.9 | 1.9 | 2.5 | 7.9 | -2.9 |
| 1979 |
+25.49 | +10.77 | 5.2 | -2.1 | 6.2 | 0.8 | -1.1 | 5.1 | 2.2 | 6.8 | 0.4 | -8.2 | 5.5 | 3.3 |
| 1978 |
+14.91 | +5.41 | -3.9 | 0.4 | 4.2 | 6.9 | 2.1 | -0.6 | 5.5 | 4.9 | 0.3 | -9.7 | 2.6 | 2.4 |
| 1977 |
+7.35 | +0.61 | -1.2 | -0.5 | 0.0 | 1.6 | -0.4 | 5.0 | -0.6 | -1.1 | 0.9 | -2.3 | 4.5 | 1.4 |
| 1976 |
+29.03 | +23.04 | 12.9 | 1.7 | 1.9 | -0.7 | -1.8 | 4.4 | -0.4 | -0.1 | 2.4 | -1.7 | 1.6 | 6.5 |
Portofolio Returns, up to December 2010, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, it has been used:
- VTV - Vanguard Value: simulated historical serie, up to December 2004
- VV - Vanguard Large-Cap: simulated historical serie, up to December 2004
- IJS - iShares S&P Small-Cap 600 Value: simulated historical serie, up to December 2000
- VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
- EFV - iShares MSCI EAFE Value: simulated historical serie, up to December 2005
- IJR - iShares Core S&P Small-Cap: simulated historical serie, up to December 2000
- EEM - iShares MSCI Emerging Markets: simulated historical serie, up to December 2003
- VGK - Vanguard FTSE Europe: simulated historical serie, up to December 2005
- VPL - Vanguard FTSE Pacific: simulated historical serie, up to December 2005
- GLTR - Aberdeen Standard Physical Precious Metals Basket Shares: simulated historical serie, up to December 2010
Portfolio efficiency
Compared to the Bill Bernstein Sheltered Sam 100/0 Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
Swipe left to see all data
30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| US Stocks Momentum | +11.80 | 15.15 | -53.85 | 100 | 0 | 0 | ||
| Stocks/Bonds 80/20 Momentum | +10.63 | 12.22 | -43.61 | 80 | 20 | 0 | ||
| US Stocks | +9.70 | 15.36 | -50.84 | 100 | 0 | 0 | ||
| US Stocks Minimum Volatility | +9.47 | 13.67 | -43.27 | 100 | 0 | 0 | ||
| Warren Buffett Portfolio | +9.33 | 13.50 | -45.52 | 90 | 10 | 0 | ||
| Stocks/Bonds 60/40 Momentum | +9.28 | 9.43 | -32.52 | 60 | 40 | 0 | ||
| Sheltered Sam 100/0 | +8.92 | 15.16 | -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.
Swipe left to see all data
30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Technology | +13.50 | 23.92 | -81.08 | 100 | 0 | 0 | ||
| US Stocks Momentum | +11.80 | 15.15 | -53.85 | 100 | 0 | 0 | ||
| Stocks/Bonds 80/20 Momentum | +10.63 | 12.22 | -43.61 | 80 | 20 | 0 | ||
| US Stocks | +9.70 | 15.36 | -50.84 | 100 | 0 | 0 | ||
| US Stocks Value | +9.50 | 15.19 | -55.41 | 100 | 0 | 0 | ||
