Bill Bernstein Sheltered Sam 60/40 Portfolio: ETF allocation and returns

Data Source: from January 1985 to May 2024 (~39 years)
Consolidated Returns as of 31 May 2024
Live Update: Jun 21 2024
Currency: USD
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.15%
1 Day
Jun 21 2024
0.19%
Current Month
June 2024

The Bill Bernstein Sheltered Sam 60/40 Portfolio can be implemented with 12 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.

The asset allocation is the following: 58.2% on the Stock Market, 40% on Fixed Income, 1.8% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 40% allocation to bonds, leading to its classification as high risk.

In the last 30 Years, the Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.47% compound annual return, with a 9.24% standard deviation. It suffered a maximum drawdown of -34.12% that required 38 months to be recovered.

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Asset Allocation and ETFs

The Bill Bernstein Sheltered Sam 60/40 Portfolio has the following asset allocation:

58.2% Stocks
40% Fixed Income
1.8% Commodities

The Bill Bernstein Sheltered Sam 60/40 Portfolio can be implemented with the following ETFs:

Weight
(%)
ETF
Ticker
ETF
Currency
ETF Name Investment Themes (Orig.Currency)
15.00
VTV
USD Vanguard Value Equity, U.S., Large Cap, Value (USD)
12.00
VV
USD Vanguard Large-Cap Equity, U.S., Large Cap (USD)
9.00
IJS
USD iShares S&P Small-Cap 600 Value Equity, U.S., Small Cap, Value (USD)
6.00
VNQ
USD Vanguard Real Estate Real Estate, U.S. (USD)
4.20
EFV
USD iShares MSCI EAFE Value Equity, EAFE, Large Cap, Value (USD)
3.00
EEM
USD iShares MSCI Emerging Markets Equity, Emerging Markets, Large Cap (USD)
3.00
IJR
USD iShares Core S&P Small-Cap Equity, U.S., Small Cap (USD)
3.00
VGK
USD Vanguard FTSE Europe Equity, Developed Europe, Large Cap (USD)
3.00
VPL
USD Vanguard FTSE Pacific Equity, Developed Asia Pacific, Large Cap (USD)
24.00
SHY
USD iShares 1-3 Year Treasury Bond Bond, U.S., Short Term (USD)
16.00
TIP
USD iShares TIPS Bond Bond, U.S., All-Term (USD)
1.80
GLTR
USD Aberdeen Standard Physical Precious Metals Basket Shares Commodity, Broad Precious Metals (USD)

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, 2024

The Bill Bernstein Sheltered Sam 60/40 Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: June 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Consolidated returns as of 31 May 2024
Live Update: Jun 21 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
Bill Bernstein Sheltered Sam 60/40 Portfolio -0.15 0.19 2.98 8.28 12.93 6.84 5.60 7.47 8.99
US Inflation Adjusted return 2.97 6.48 9.37 2.56 2.69 4.80 6.03
Components
VTV
USD Vanguard Value -0.23 Jun 21 2024 0.47 3.00 14.01 22.77 12.00 10.07 9.53 10.94
VV
USD Vanguard Large-Cap -0.18 Jun 21 2024 3.70 4.92 16.09 28.41 15.63 12.55 10.61 11.58
IJS
USD iShares S&P Small-Cap 600 Value 0.21 Jun 21 2024 -3.80 4.56 10.88 15.95 9.41 7.69 10.36 11.74
VNQ
USD Vanguard Real Estate 0.25 Jun 21 2024 0.88 4.56 3.98 8.46 2.88 5.20 8.66 9.07
EFV
USD iShares MSCI EAFE Value -0.83 Jun 21 2024 -3.99 5.24 13.49 23.75 7.85 3.31 5.59 9.05
EEM
USD iShares MSCI Emerging Markets -0.35 Jun 21 2024 2.81 1.95 7.63 12.37 2.85 2.03 4.81 8.72
IJR
USD iShares Core S&P Small-Cap 0.14 Jun 21 2024 -3.49 5.04 14.58 20.30 10.05 8.95 10.11 10.93
VGK
USD Vanguard FTSE Europe -0.81 Jun 21 2024 -2.53 6.45 14.81 20.11 9.40 4.72 7.25 9.98
VPL
USD Vanguard FTSE Pacific -0.53 Jun 21 2024 -1.57 2.55 9.44 13.87 6.20 4.83 2.70 6.20
SHY
USD iShares 1-3 Year Treasury Bond 0.04 Jun 21 2024 0.53 0.72 1.66 3.21 0.85 0.91 3.09 4.32
TIP
USD iShares TIPS Bond -0.15 Jun 21 2024 1.01 1.78 2.42 1.36 1.58 1.56 5.24 6.66
GLTR
USD Aberdeen Standard Physical Precious Metals Basket Shares -1.89 Jun 21 2024 -0.90 5.24 14.04 15.75 10.54 4.41 6.19 7.33
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to May 2024. Current inflation (annualized) is 1Y: 3.25% , 5Y: 4.17% , 10Y: 2.83% , 30Y: 2.54%
Want to explore other portfolios? Select your currency...

In 2023, the Bill Bernstein Sheltered Sam 60/40 Portfolio granted a 2.75% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 60/40 Portfolio: Dividend Yield page.

Capital Growth as of May 31, 2024

An investment of 1$, since June 1994, now would be worth 8.67$, with a total return of 767.03% (7.47% annualized).

The Inflation Adjusted Capital now would be 4.08$, with a net total return of 308.29% (4.80% annualized).
An investment of 1$, since January 1985, now would be worth 29.81$, with a total return of 2881.13% (8.99% annualized).

The Inflation Adjusted Capital now would be 10.04$, with a net total return of 904.10% (6.03% annualized).

Portfolio Metrics as of May 31, 2024

Metrics of Bill Bernstein Sheltered Sam 60/40 Portfolio, updated as of 31 May 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 2.98 2.45 8.28 12.93 2.10 6.84 5.60 6.48 7.47 8.99
Infl. Adjusted Return (%)
2.97 1.74 6.48 9.37 -3.01 2.56 2.69 3.80 4.80 6.03
US Inflation (%) 0.01 0.70 1.69 3.25 5.28 4.17 2.83 2.58 2.54 2.80
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -6.95 -16.48 -16.48 -16.48 -34.12 -34.12 -34.12
Start to Recovery (# months)
5 27 27 27 38 38 38
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) 2 18 18 18 22 22 22
End (yyyy mm) 2023 12 2024 03 2024 03 2024 03 2010 12 2010 12 2010 12
Longest Drawdown Depth (%)
same

same

same

same

same

same

same
Start to Recovery (# months)
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) 2 18 18 18 22 22 22
End (yyyy mm) 2023 12 2024 03 2024 03 2024 03 2010 12 2010 12 2010 12
Longest negative period (# months)
5 30 32 32 57 62 62
Period Start (yyyy mm) 2023 06 2021 06 2021 03 2021 03 2004 06 2004 01 2004 01
Period End (yyyy mm) 2023 10 2023 11 2023 10 2023 10 2009 02 2009 02 2009 02
Annualized Return (%) -3.18 -0.68 -0.18 -0.18 -0.32 -0.05 -0.05
Deepest Drawdown Depth (%) -7.83 -21.43 -21.43 -21.43 -35.21 -35.21 -35.21
Start to Recovery (# months)
5 33* 33* 33* 42 42 42
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 13 13 13 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 20 20 20 26 26 26
End (yyyy mm) 2023 12 - - - 2011 04 2011 04 2011 04
Longest Drawdown Depth (%)
same

same

same

same

same

same

same
Start to Recovery (# months)
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 13 13 13 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 20 20 20 26 26 26
End (yyyy mm) 2023 12 - - - 2011 04 2011 04 2011 04
Longest negative period (# months)
5 36* 52 71 71 102 102
Period Start (yyyy mm) 2023 06 2021 06 2019 07 2017 12 2017 12 2000 09 2000 09
Period End (yyyy mm) 2023 10 2024 05 2023 10 2023 10 2023 10 2009 02 2009 02
Annualized Return (%) -6.30 -3.01 -0.71 -0.11 -0.11 -0.25 -0.25
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 10.21 11.04 11.29 9.31 9.70 9.24 9.32
Sharpe Ratio 0.74 -0.06 0.43 0.46 0.52 0.56 0.54
Sortino Ratio 1.02 -0.09 0.57 0.62 0.68 0.73 0.69
Ulcer Index 2.63 6.68 5.86 4.48 6.78 5.85 5.41
Ratio: Return / Standard Deviation 1.27 0.19 0.61 0.60 0.67 0.81 0.97
Ratio: Return / Deepest Drawdown 1.86 0.13 0.41 0.34 0.19 0.22 0.26
Positive Months (%)
58.33 55.55 63.33 65.83 66.25 66.66 68.49
Positive Months 7 20 38 79 159 240 324
Negative Months 5 16 22 41 81 120 149
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.60 9.97 10.63 13.39
Worst 10 Years Return (%) - Annualized 4.77 3.64 3.64
Best 10 Years Return (%) - Annualized 2.69 8.07 8.07 9.92
Worst 10 Years Return (%) - Annualized 1.93 1.02 1.02
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 37.75 18.49 15.08 10.63 8.60 7.47
Worst Rolling Return (%) - Annualized -29.82 -7.40 -0.65 3.64 5.71
Positive Periods (%) 81.9 92.9 99.6 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 34.85 15.72 12.76 8.07 6.13 4.80
Worst Rolling Return (%) - Annualized -29.83 -9.37 -3.21 1.02 3.45
Positive Periods (%) 76.2 84.6 97.3 100.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
3.75 5.69 6.92 8.03 2.24 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 4.86 7.61 9.64 17.31 8.44 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
5.57 8.84 11.38 24.79 15.70 0.00 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 6.73 10.84 14.21 27.86 21.74 0.84 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 83.17 28.28 17.97 10.29 7.02 7.16
Perpetual Withdrawal Rate (%) --- --- --- 1.20 3.57 5.41
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1985 - May 2024)
Best Rolling Return (%) - Annualized 37.75 19.30 17.49 13.39 11.89 10.05
Worst Rolling Return (%) - Annualized -29.82 -7.40 -0.65 3.64 5.71 6.94
Positive Periods (%) 83.5 94.7 99.7 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 34.85 15.87 13.33 9.92 8.60 7.13
Worst Rolling Return (%) - Annualized -29.83 -9.37 -3.21 1.02 3.45 4.31
Positive Periods (%) 76.6 88.1 98.0 100.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
3.67 5.39 6.29 5.36 0.91 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 4.78 7.32 9.03 14.48 6.44 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
5.50 8.56 10.78 22.96 13.11 0.00 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 6.67 10.58 13.64 26.25 19.70 0.00 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 83.17 28.28 17.97 10.29 7.02 6.63
Perpetual Withdrawal Rate (%) --- --- --- 1.20 3.57 4.86
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
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.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 May 2024
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Terms and Definitions
Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate 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 60/40 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Inflation Adjusted:
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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 60/40 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the Bill Bernstein Sheltered Sam 60/40 Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Bill Bernstein Sheltered Sam 60/40 Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Bill Bernstein Sheltered Sam 60/40 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
240 Positive Months (67%) - 120 Negative Months (33%)
324 Positive Months (68%) - 149 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to December 2010, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • Vanguard Value (VTV), up to December 2004
  • Vanguard Large-Cap (VV), up to December 2004
  • iShares S&P Small-Cap 600 Value (IJS), up to December 2000
  • Vanguard Real Estate (VNQ), up to December 2004
  • iShares MSCI EAFE Value (EFV), up to December 2005
  • iShares MSCI Emerging Markets (EEM), up to December 2003
  • iShares Core S&P Small-Cap (IJR), up to December 2000
  • Vanguard FTSE Europe (VGK), up to December 2005
  • Vanguard FTSE Pacific (VPL), up to December 2005
  • iShares 1-3 Year Treasury Bond (SHY), up to December 2002
  • iShares TIPS Bond (TIP), up to December 2003
  • Aberdeen Standard Physical Precious Metals Basket Shares (GLTR), 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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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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