Bill Bernstein Sheltered Sam 20/80 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 11 2023, 10:00AM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.10%
1 Day
Dec 11 2023, 10:00AM Eastern Time
0.40%
Current Month
December 2023

The Bill Bernstein Sheltered Sam 20/80 Portfolio is a Low Risk portfolio and can be implemented with 12 ETFs.

It's exposed for 19.4% on the Stock Market and for 0.6% on Commodities.

In the last 30 Years, the Bill Bernstein Sheltered Sam 20/80 Portfolio obtained a 5.04% compound annual return, with a 4.14% standard deviation.

Table of contents

Asset Allocation and ETFs

The Bill Bernstein Sheltered Sam 20/80 Portfolio has the following asset allocation:

19.4% Stocks
80% Fixed Income
0.6% Commodities

The Bill Bernstein Sheltered Sam 20/80 Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
5.00
VTV
USD Vanguard Value Equity, U.S., Large Cap, Value
4.00
VV
USD Vanguard Large-Cap Equity, U.S., Large Cap
3.00
IJS
USD iShares S&P Small-Cap 600 Value Equity, U.S., Small Cap, Value
2.00
VNQ
USD Vanguard Real Estate Real Estate, U.S.
1.40
EFV
USD iShares MSCI EAFE Value Equity, EAFE, Large Cap, Value
1.00
EEM
USD iShares MSCI Emerging Markets Equity, Emerging Markets, Large Cap
1.00
IJR
USD iShares Core S&P Small-Cap Equity, U.S., Small Cap
1.00
VGK
USD Vanguard FTSE Europe Equity, Developed Europe, Large Cap
1.00
VPL
USD Vanguard FTSE Pacific Equity, Developed Asia Pacific, Large Cap
48.00
SHY
USD iShares 1-3 Year Treasury Bond Bond, U.S., Short Term
32.00
TIP
USD iShares TIPS Bond Bond, U.S., All-Term
0.60
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 20/80 Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
BILL BERNSTEIN SHELTERED SAM 20/80 PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 11 2023, 10:00AM Eastern Time
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
(~39Y)
Bill Bernstein Sheltered Sam 20/80 Portfolio -0.10 0.40 3.05 1.76 2.12 2.90 2.57 5.04 6.60
US Inflation Adjusted return 3.05 0.59 -1.19 -1.13 -0.24 2.46 3.70
Components
VTV
USD Vanguard Value 0.49 10:00AM, Dec 11 2023 1.12 6.68 7.69 0.61 8.52 9.41 9.12 10.72
VV
USD Vanguard Large-Cap 0.08 09:59AM, Dec 11 2023 0.86 9.48 10.62 14.57 12.47 11.69 10.07 11.31
IJS
USD iShares S&P Small-Cap 600 Value -0.05 09:59AM, Dec 11 2023 4.70 9.07 4.59 -5.38 5.50 6.78 10.07 11.60
VNQ
USD Vanguard Real Estate -0.13 10:00AM, Dec 11 2023 2.20 12.08 4.30 -2.99 3.66 6.41 8.34 9.08
EFV
USD iShares MSCI EAFE Value -0.02 10:00AM, Dec 11 2023 1.17 6.94 9.04 12.93 4.80 2.65 5.54 8.82
EEM
USD iShares MSCI Emerging Markets 0.21 09:59AM, Dec 11 2023 -1.19 7.79 4.40 2.42 1.46 1.42 4.65 8.63
IJR
USD iShares Core S&P Small-Cap -0.02 10:00AM, Dec 11 2023 4.24 8.27 5.00 -3.96 5.56 7.47 9.65 10.69
VGK
USD Vanguard FTSE Europe 0.00 09:59AM, Dec 11 2023 1.23 9.76 4.62 12.15 7.14 4.12 6.96 9.73
VPL
USD Vanguard FTSE Pacific 0.06 09:57AM, Dec 11 2023 0.32 7.02 4.05 7.24 3.95 3.91 3.12 6.04
SHY
USD iShares 1-3 Year Treasury Bond -0.05 09:59AM, Dec 11 2023 0.05 1.05 1.53 2.96 1.04 0.77 3.00 4.33
TIP
USD iShares TIPS Bond -0.31 10:00AM, Dec 11 2023 0.22 2.77 -1.03 -0.52 2.25 1.70 4.90 6.69
GLTR
USD Aberdeen Standard Physical Precious Metals Basket Shares -0.54 09:51AM, Dec 11 2023 -4.54 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 20/80 Portfolio granted a 2.88% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 20/80 Portfolio: Dividend Yield page.

Capital Growth as of Nov 30, 2023

An investment of 1$, since December 1993, now would be worth 4.37$, with a total return of 337.20% (5.04% annualized).

The Inflation Adjusted Capital now would be 2.07$, with a net total return of 107.18% (2.46% annualized).
An investment of 1$, since January 1985, now would be worth 12.01$, with a total return of 1100.79% (6.60% annualized).

The Inflation Adjusted Capital now would be 4.11$, with a net total return of 310.97% (3.70% annualized).
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Portfolio Metrics as of Nov 30, 2023

Metrics of Bill Bernstein Sheltered Sam 20/80 Portfolio, updated as of 30 November 2023.

Metrics are calculated based on monthly returns, assuming:
BILL BERNSTEIN SHELTERED SAM 20/80 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 (%) 3.05 0.67 1.76 2.12 0.53 2.90 2.57 3.79 5.04 6.60
Infl. Adjusted Return (%) details 3.05 0.46 0.59 -1.19 -4.93 -1.13 -0.24 1.17 2.46 3.70
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 (%) -3.04 -11.24 -11.24 -11.24 -11.24 -11.24 -11.24
Start to Recovery (# months) details 4* 23* 23* 23* 23* 23* 23*
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 3 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) - - - - - - -
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
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 3 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) - - - - - - -
Longest negative period (# months) details 11 35 35 35 35 35 35
Period Start (yyyy mm) 2022 12 2020 12 2020 12 2020 12 2020 12 2020 12 2020 12
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -0.99 -0.49 -0.49 -0.49 -0.49 -0.49 -0.49
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -4.91 -17.92 -17.92 -17.92 -17.92 -17.92 -17.92
Start to Recovery (# months) details 10* 30* 30* 30* 30* 30* 30*
Start (yyyy mm) 2023 02 2021 06 2021 06 2021 06 2021 06 2021 06 2021 06
Start to Bottom (# months) 9 29 29 29 29 29 29
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
same as
deepest
same as
deepest
same as
deepest
same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 02 2021 06 2021 06 2021 06 2021 06 2021 06 2021 06
Start to Bottom (# months) 9 29 29 29 29 29 29
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 negative period (# months) details 12* 36* 60* 120* 150 150 150
Period Start (yyyy mm) 2022 12 2020 12 2018 12 2013 12 2011 05 2011 05 2011 05
Period End (yyyy mm) 2023 11 2023 11 2023 11 2023 11 2023 10 2023 10 2023 10
Annualized Return (%) -1.19 -4.93 -1.13 -0.24 0.00 0.00 0.00
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 5.36 5.69 5.25 4.11 4.21 4.14 4.50
Sharpe Ratio -0.51 -0.24 0.23 0.37 0.60 0.68 0.58
Sortino Ratio -0.80 -0.33 0.31 0.49 0.77 0.89 0.79
Ulcer Index 1.27 5.29 4.16 3.03 2.66 2.33 2.10
Ratio: Return / Standard Deviation 0.39 0.09 0.55 0.63 0.90 1.22 1.47
Ratio: Return / Deepest Drawdown 0.70 0.05 0.26 0.23 0.34 0.45 0.59
% Positive Months details 50% 58% 65% 64% 68% 68% 69%
Positive Months 6 21 39 77 164 247 324
Negative Months 6 15 21 43 76 113 143
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 2.57 5.03 8.63 10.67
Worst 10 Years Return (%) - Annualized 2.27 2.27 2.27
Best 10 Years Return (%) - Annualized -0.24 2.86 6.05 6.86
Worst 10 Years Return (%) - Annualized -0.50 -0.50 -0.50
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 18.36 11.90 9.35 8.63 6.60 5.04
Worst Rolling Return (%) - Annualized -10.83 0.42 1.84 2.27 3.67
% Positive Periods 89% 100% 100% 100% 100% 100%
Best Rolling Return (%) - Annualized 15.43 9.15 6.81 6.05 4.19 2.46
Worst Rolling Return (%) - Annualized -16.25 -5.02 -1.85 -0.50 1.06
% Positive Periods 80% 92% 93% 95% 100% 100%
Over all the available data source (Jan 1985 - Nov 2023)
Best Rolling Return (%) - Annualized 28.71 14.65 12.97 10.67 9.56 7.83
Worst Rolling Return (%) - Annualized -10.83 0.42 1.84 2.27 3.67 4.89
% Positive Periods 91% 100% 100% 100% 100% 100%
Best Rolling Return (%) - Annualized 25.87 11.28 8.97 6.86 6.37 4.99
Worst Rolling Return (%) - Annualized -16.25 -5.02 -1.85 -0.50 1.06 2.31
% Positive Periods 81% 94% 95% 97% 100% 100%
WITHDRAWAL RATES (WR)
1Y 3Y 5Y 10Y 20Y 30Y MAX
Safe WR (%) 31.85 20.73 10.49 6.15 5.55 7.12
Perpetual WR (%) 0.00 0.00 0.00 1.16 2.40 3.57
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
Swipe left to see all data
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 20/80 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:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-11.24% Jan 2022 Sep 2022 9 in progress 14 23 6.57
-11.12% Jun 2008 Feb 2009 9 Sep 2009 7 16 5.60
-5.52% Feb 1994 Jun 1994 5 Mar 1995 9 14 3.89
-3.84% Feb 2020 Mar 2020 2 Jun 2020 3 5 1.69
-3.04% Apr 2004 Apr 2004 1 Sep 2004 5 6 1.63
-2.85% May 2013 Jun 2013 2 Nov 2013 5 7 1.60
-2.74% Aug 2011 Sep 2011 2 Dec 2011 3 5 1.18
-2.69% May 2015 Sep 2015 5 Apr 2016 7 12 1.60
-2.63% Sep 2018 Dec 2018 4 Feb 2019 2 6 1.45
-2.01% Feb 1999 Feb 1999 1 Apr 1999 2 3 1.13
-1.97% Jul 1998 Aug 1998 2 Sep 1998 1 3 1.00
-1.86% May 2010 Jun 2010 2 Sep 2010 3 5 1.00
-1.67% Sep 2014 Sep 2014 1 Jan 2015 4 5 0.78
-1.47% Feb 1996 Apr 1996 3 Sep 1996 5 8 0.99
-1.41% Aug 1997 Aug 1997 1 Sep 1997 1 2 0.81
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-17.92% Jun 2021 Oct 2023 29 in progress 1 30 12.02
-11.04% Mar 2008 Feb 2009 12 Nov 2009 9 21 5.52
-7.52% Feb 1994 Nov 1994 10 May 1995 6 16 5.13
-3.98% Feb 2015 Sep 2015 8 Jul 2016 10 18 2.27
-3.89% Feb 2020 Mar 2020 2 May 2020 2 4 1.83
-3.59% Jan 2018 Oct 2018 10 Jun 2019 8 18 1.83
-3.35% Apr 2004 Apr 2004 1 Nov 2004 7 8 2.04
-3.27% May 2013 Aug 2013 4 Feb 2014 6 10 1.68
-3.15% Aug 2011 Sep 2011 2 Dec 2011 3 5 1.38
-2.72% Jan 2005 Oct 2005 10 Dec 2005 2 12 1.39
-2.70% Feb 1996 Jul 1996 6 Oct 1996 3 9 1.97
-2.21% Jul 1998 Aug 1998 2 Sep 1998 1 3 1.13
-2.20% Feb 2006 May 2006 4 Sep 2006 4 8 1.17
-2.13% Feb 1999 Feb 1999 1 Mar 2000 13 14 1.18
-1.90% Dec 1996 Mar 1997 4 May 1997 2 6 0.79
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-11.24% Jan 2022 Sep 2022 9 in progress 14 23 6.57
-11.12% Jun 2008 Feb 2009 9 Sep 2009 7 16 5.60
-5.52% Feb 1994 Jun 1994 5 Mar 1995 9 14 3.89
-4.40% Sep 1987 Nov 1987 3 Jan 1988 2 5 2.67
-3.84% Feb 2020 Mar 2020 2 Jun 2020 3 5 1.69
-3.05% Aug 1990 Sep 1990 2 Nov 1990 2 4 1.95
-3.04% Apr 2004 Apr 2004 1 Sep 2004 5 6 1.63
-2.85% May 2013 Jun 2013 2 Nov 2013 5 7 1.60
-2.74% Aug 2011 Sep 2011 2 Dec 2011 3 5 1.18
-2.69% May 2015 Sep 2015 5 Apr 2016 7 12 1.60
-2.65% Jan 1990 Apr 1990 4 May 1990 1 5 1.67
-2.63% Sep 2018 Dec 2018 4 Feb 2019 2 6 1.45
-2.27% Sep 1986 Sep 1986 1 Nov 1986 2 3 1.22
-2.01% Feb 1999 Feb 1999 1 Apr 1999 2 3 1.13
-1.97% Jul 1998 Aug 1998 2 Sep 1998 1 3 1.00
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-17.92% Jun 2021 Oct 2023 29 in progress 1 30 12.02
-11.04% Mar 2008 Feb 2009 12 Nov 2009 9 21 5.52
-7.52% Feb 1994 Nov 1994 10 May 1995 6 16 5.13
-6.24% Mar 1987 Nov 1987 9 Oct 1988 11 20 2.61
-5.34% Jan 1990 Sep 1990 9 Jan 1991 4 13 3.11
-3.98% Feb 2015 Sep 2015 8 Jul 2016 10 18 2.27
-3.89% Feb 2020 Mar 2020 2 May 2020 2 4 1.83
-3.59% Jan 2018 Oct 2018 10 Jun 2019 8 18 1.83
-3.35% Apr 2004 Apr 2004 1 Nov 2004 7 8 2.04
-3.27% May 2013 Aug 2013 4 Feb 2014 6 10 1.68
-3.15% Aug 2011 Sep 2011 2 Dec 2011 3 5 1.38
-2.72% Jan 2005 Oct 2005 10 Dec 2005 2 12 1.39
-2.71% Sep 1986 Sep 1986 1 Jan 1987 4 5 1.28
-2.70% Feb 1996 Jul 1996 6 Oct 1996 3 9 1.97
-2.21% Jul 1998 Aug 1998 2 Sep 1998 1 3 1.13

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 20/80 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:
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 -10.83 03/2008
02/2009 		0.89$ 1.48 1.01$ 5.39 1.05$ 9.12 1.09$ 18.36 01/1995
12/1995 		1.18$ 2.12 10.89%
2Y -3.87 11/2021
10/2023 		0.92$ 2.05 1.04$ 5.61 1.11$ 8.61 1.17$ 13.10 12/1994
11/1996 		1.27$ -2.22 5.34%
3Y 0.42 11/2020
10/2023 		1.01$ 2.53 1.07$ 5.67 1.18$ 7.66 1.24$ 11.90 01/1995
12/1997 		1.40$ 0.53 0.00%
5Y 1.84 10/2017
09/2022 		1.09$ 2.81 1.14$ 4.81 1.26$ 7.70 1.44$ 9.35 12/1994
11/1999 		1.56$ 2.90 0.00%
7Y 2.32 11/2016
10/2023 		1.17$ 3.12 1.23$ 4.96 1.40$ 7.31 1.63$ 9.01 12/1994
11/2001 		1.82$ 2.76 0.00%
10Y 2.27 10/2012
09/2022 		1.25$ 3.55 1.41$ 5.03 1.63$ 7.26 2.01$ 8.63 01/1995
12/2004 		2.28$ 2.57 0.00%
15Y 2.98 10/2007
09/2022 		1.55$ 3.98 1.79$ 4.86 2.03$ 6.51 2.57$ 7.30 12/1994
11/2009 		2.87$ 3.78 0.00%
20Y 3.67 11/2003
10/2023 		2.05$ 4.41 2.36$ 4.97 2.63$ 6.10 3.26$ 6.60 07/1994
06/2014 		3.58$ 3.79 0.00%
30Y 5.04 12/1993
11/2023 		4.37$ 5.04 4.37$ 5.04 4.37$ 5.04 4.37$ 5.04 12/1993
11/2023 		4.37$ 5.04 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 -16.25 10/2021
09/2022 		0.83$ -0.52 0.99$ 3.13 1.03$ 6.54 1.06$ 15.43 01/1995
12/1995 		1.15$ -1.19 19.20%
2Y -8.86 11/2021
10/2023 		0.83$ 0.46 1.00$ 2.80 1.05$ 5.97 1.12$ 9.88 12/1994
11/1996 		1.20$ -7.07 9.79%
3Y -5.02 11/2020
10/2023 		0.85$ 0.95 1.02$ 3.01 1.09$ 5.15 1.16$ 9.15 01/1995
12/1997 		1.30$ -4.93 7.08%
5Y -1.85 10/2017
09/2022 		0.91$ 1.16 1.05$ 2.68 1.14$ 5.13 1.28$ 6.81 12/1994
11/1999 		1.39$ -1.13 6.64%
7Y -1.17 10/2016
09/2023 		0.92$ 1.41 1.10$ 2.64 1.19$ 4.75 1.38$ 6.40 12/1994
11/2001 		1.54$ -0.74 6.14%
10Y -0.50 11/2013
10/2023 		0.95$ 1.82 1.19$ 2.60 1.29$ 4.63 1.57$ 6.05 01/1995
12/2004 		1.79$ -0.24 4.15%
15Y 0.58 10/2007
09/2022 		1.09$ 1.86 1.31$ 2.74 1.50$ 4.02 1.80$ 4.70 12/1994
11/2009 		1.99$ 1.25 0.00%
20Y 1.06 11/2003
10/2023 		1.23$ 1.87 1.44$ 2.78 1.73$ 3.67 2.05$ 4.19 12/1994
11/2014 		2.27$ 1.17 0.00%
30Y 2.46 12/1993
11/2023 		2.07$ 2.46 2.07$ 2.46 2.07$ 2.46 2.07$ 2.46 12/1993
11/2023 		2.07$ 2.46 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 -10.83 03/2008
02/2009 		0.89$ 2.12 1.02$ 6.19 1.06$ 12.23 1.12$ 28.71 04/1985
03/1986 		1.28$ 2.12 8.77%
2Y -3.87 11/2021
10/2023 		0.92$ 2.57 1.05$ 6.40 1.13$ 9.97 1.20$ 20.29 03/1985
02/1987 		1.44$ -2.22 4.05%
3Y 0.42 11/2020
10/2023 		1.01$ 3.12 1.09$ 6.65 1.21$ 9.66 1.31$ 14.65 10/1990
09/1993 		1.50$ 0.53 0.00%
5Y 1.84 10/2017
09/2022 		1.09$ 2.98 1.15$ 6.62 1.37$ 9.28 1.55$ 12.97 01/1985
12/1989 		1.84$ 2.90 0.00%
7Y 2.32 11/2016
10/2023 		1.17$ 3.52 1.27$ 6.62 1.56$ 9.48 1.88$ 12.48 01/1985
12/1991 		2.27$ 2.76 0.00%
10Y 2.27 10/2012
09/2022 		1.25$ 3.77 1.44$ 6.07 1.80$ 9.14 2.39$ 10.67 03/1985
02/1995 		2.75$ 2.57 0.00%
15Y 2.98 10/2007
09/2022 		1.55$ 4.10 1.82$ 6.31 2.50$ 8.64 3.46$ 10.11 01/1985
12/1999 		4.24$ 3.78 0.00%
20Y 3.67 11/2003
10/2023 		2.05$ 4.81 2.55$ 6.34 3.41$ 8.20 4.83$ 9.56 01/1985
12/2004 		6.21$ 3.79 0.00%
30Y 4.89 11/1993
10/2023 		4.19$ 5.45 4.91$ 6.33 6.30$ 6.85 7.30$ 7.83 01/1985
12/2014 		9.59$ 5.04 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 -16.25 10/2021
09/2022 		0.83$ -0.53 0.99$ 3.44 1.03$ 9.05 1.09$ 25.87 04/1985
03/1986 		1.25$ -1.19 18.64%
2Y -8.86 11/2021
10/2023 		0.83$ 0.71 1.01$ 3.34 1.06$ 7.05 1.14$ 17.23 03/1985
02/1987 		1.37$ -7.07 7.43%
3Y -5.02 11/2020
10/2023 		0.85$ 1.21 1.03$ 3.63 1.11$ 6.29 1.20$ 11.28 10/1990
09/1993 		1.37$ -4.93 5.32%
5Y -1.85 10/2017
09/2022 		0.91$ 1.40 1.07$ 4.01 1.21$ 6.10 1.34$ 8.97 01/1985
12/1989 		1.53$ -1.13 4.90%
7Y -1.17 10/2016
09/2023 		0.92$ 1.75 1.12$ 3.76 1.29$ 6.07 1.51$ 8.23 01/1985
12/1991 		1.73$ -0.74 4.43%
10Y -0.50 11/2013
10/2023 		0.95$ 1.98 1.21$ 3.55 1.41$ 5.89 1.77$ 6.86 10/1985
09/1995 		1.94$ -0.24 2.87%
15Y 0.58 10/2007
09/2022 		1.09$ 2.08 1.36$ 3.80 1.74$ 5.52 2.23$ 6.72 01/1985
12/1999 		2.65$ 1.25 0.00%
20Y 1.06 11/2003
10/2023 		1.23$ 2.60 1.67$ 3.95 2.16$ 4.97 2.63$ 6.37 01/1985
12/2004 		3.43$ 1.17 0.00%
30Y 2.31 11/1993
10/2023 		1.98$ 2.87 2.33$ 3.89 3.13$ 4.12 3.35$ 4.99 03/1985
02/2015 		4.30$ 2.46 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 20/80 Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Bill Bernstein Sheltered Sam 20/80 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.
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
0.77
80%
-0.35
40%
-0.09
60%
0.58
80%
0.02
60%
0.12
80%
1.28
100%
-0.18
60%
-1.53
20%
0.51
60%
1.62
80%
0.24
60%
Best 2.5
2023 		0.5
2019 		1.7
2023 		2.7
2020 		0.9
2021 		1.8
2019 		2.7
2022 		1.1
2020 		0.2
2019 		1.9
2022 		3.0
2023 		1.4
2020
Worst -1.7
2022 		-1.6
2023 		-3.0
2020 		-2.2
2022 		-1.3
2023 		-2.8
2022 		0.2
2019 		-2.3
2022 		-4.4
2022 		-0.7
2023 		-0.4
2021 		-1.1
2018
Monthly Seasonality over the period Feb 1985 - Nov 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
0.58
80%
-0.06
60%
0.19
60%
0.45
80%
0.15
60%
0.20
70%
0.83
90%
-0.07
60%
-0.96
30%
0.28
60%
0.95
70%
0.09
50%
Best 2.5
2023 		1.1
2014 		2.1
2016 		2.7
2020 		1.0
2014 		1.8
2019 		2.7
2022 		1.1
2020 		0.4
2016 		1.9
2022 		3.0
2023 		1.4
2020
Worst -1.7
2022 		-1.6
2023 		-3.0
2020 		-2.2
2022 		-1.3
2023 		-2.8
2022 		-0.5
2014 		-2.3
2022 		-4.4
2022 		-1.8
2018 		-0.4
2021 		-1.1
2018
Monthly Seasonality over the period Feb 1985 - Nov 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
0.76
79%
0.33
72%
0.45
69%
0.59
77%
0.59
62%
0.52
67%
0.75
69%
0.37
67%
0.11
56%
0.45
69%
0.71
72%
0.88
74%
Best 3.2
1988 		4.2
1986 		4.1
1986 		2.7
2020 		4.8
1985 		3.1
1986 		3.2
1997 		3.4
1986 		2.6
1998 		2.8
2011 		3.0
2023 		4.8
1991
Worst -2.6
2009 		-3.0
2009 		-3.0
2020 		-3.0
2004 		-1.5
2010 		-2.8
2022 		-1.0
2003 		-2.5
1990 		-4.4
2022 		-5.6
2008 		-1.2
1993 		-1.1
2018
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 20/80 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BILL BERNSTEIN SHELTERED SAM 20/80 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
247 Positive Months (69%) - 113 Negative Months (31%)
324 Positive Months (69%) - 143 Negative Months (31%)
Swipe left to see all data
(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.
You can see details about extended Data Sources here.

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.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Sheltered Sam 20/80 Bill Bernstein +5.04 4.14 -11.24 19.4 80 0.6

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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