Bill Bernstein Sheltered Sam 70/30 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 01 2023

PORTFOLIO • LIVE PERFORMANCE (USD currency)

1.14%

1 Day

Dec 01 2023

1.14%

Current Month

December 2023

The Bill Bernstein Sheltered Sam 70/30 Portfolio is a High Risk portfolio and can be implemented with 12 ETFs.

It's exposed for 67.9% on the Stock Market and for 2.1% on Commodities.

In the last 30 Years, the Bill Bernstein Sheltered Sam 70/30 Portfolio obtained a 7.69% compound annual return, with a 10.70% standard deviation.

Table of contents

Asset Allocation and ETFs

The Bill Bernstein Sheltered Sam 70/30 Portfolio has the following asset allocation:

          67.9% Stocks
        
          30% Fixed Income
        
          2.1% Commodities

The Bill Bernstein Sheltered Sam 70/30 Portfolio can be implemented with the following ETFs:

Weight (%)	Ticker	Currency	ETF Name	Investment Themes
17.50	VTV	USD	Vanguard Value	Equity, U.S., Large Cap, Value
14.00	VV	USD	Vanguard Large-Cap	Equity, U.S., Large Cap
10.50	IJS	USD	iShares S&P Small-Cap 600 Value	Equity, U.S., Small Cap, Value
7.00	VNQ	USD	Vanguard Real Estate	Real Estate, U.S.
4.90	EFV	USD	iShares MSCI EAFE Value	Equity, EAFE, Large Cap, Value
3.50	EEM	USD	iShares MSCI Emerging Markets	Equity, Emerging Markets, Large Cap
3.50	IJR	USD	iShares Core S&P Small-Cap	Equity, U.S., Small Cap
3.50	VGK	USD	Vanguard FTSE Europe	Equity, Developed Europe, Large Cap
3.50	VPL	USD	Vanguard FTSE Pacific	Equity, Developed Asia Pacific, Large Cap
18.00	SHY	USD	iShares 1-3 Year Treasury Bond	Bond, U.S., Short Term
12.00	TIP	USD	iShares TIPS Bond	Bond, U.S., All-Term
2.10	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 70/30 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.

December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.

BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO

Consolidated returns as of 30 November 2023

Live Update: Dec 01 2023

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			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 70/30 Portfolio			1.14		1.14	6.37	4.92	3.33	5.95	5.88	7.69	9.41
US Inflation Adjusted return						6.37	3.71	-0.01	1.81	2.98	5.04	6.43
*Components*
VTV	USD	Vanguard Value	0.89	Dec 01 2023	0.89	6.68	7.69	0.61	8.52	9.41	9.12	10.72
VV	USD	Vanguard Large-Cap	0.60	Dec 01 2023	0.60	9.48	10.62	14.57	12.47	11.69	10.07	11.31
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	11.60
VNQ	USD	Vanguard Real Estate	2.46	Dec 01 2023	2.46	12.08	4.30	-2.99	3.66	6.41	8.34	9.08
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	8.82
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	8.63
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	10.69
VGK	USD	Vanguard FTSE Europe	0.96	Dec 01 2023	0.96	9.76	4.62	12.15	7.14	4.12	6.96	9.73
VPL	USD	Vanguard FTSE Pacific	1.05	Dec 01 2023	1.05	7.02	4.05	7.24	3.95	3.91	3.12	6.04
SHY	USD	iShares 1-3 Year Treasury Bond	0.29	Dec 01 2023	0.29	1.05	1.53	2.96	1.04	0.77	3.00	4.33
TIP	USD	iShares TIPS Bond	0.51	Dec 01 2023	0.51	2.77	-1.03	-0.52	2.25	1.70	4.90	6.69
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	7.06

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 70/30 Portfolio granted a 2.34% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 70/30 Portfolio: Dividend Yield page.

Capital Growth as of Nov 30, 2023

An investment of 1$, since December 1993, now would be worth 9.24$, with a total return of 823.80% (7.69% annualized).

The Inflation Adjusted Capital now would be 4.38$, with a net total return of 337.77% (5.04% annualized).

An investment of 1$, since January 1985, now would be worth 33.09$, with a total return of 3208.56% (9.41% annualized).

The Inflation Adjusted Capital now would be 11.32$, with a net total return of 1032.35% (6.43% annualized).

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Portfolio Metrics as of Nov 30, 2023

Metrics of Bill Bernstein Sheltered Sam 70/30 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 70/30 PORTFOLIO

Advanced Metrics

Data Source: 1 January 1985 - 30 November 2023 (~39 years)

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	Metrics as of Nov 30, 2023
	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~39Y)
Investment Return (%)	6.37	0.33	4.92	3.33	4.66	5.95	5.88	6.88	7.69	9.41
Infl. Adjusted Return (%) details	6.37	0.12	3.71	-0.01	-1.03	1.81	2.98	4.19	5.04	6.43
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 (%)				-7.88	-17.80	-17.80	-17.80	-39.73	-39.73	-39.73
Start to Recovery (# months) details				4*	23*	23*	23*	39	39	39
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	23	23	23
End (yyyy mm)				-	-	-	-	2011 01	2011 01	2011 01
Longest Drawdown Depth (%)				-3.84	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest
Start to Recovery (# months) details				5	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest
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	23	23	23
End (yyyy mm)				2023 06	-	-	-	2011 01	2011 01	2011 01
Longest negative period (# months) details				11	31	31	33	63	63	63
Period Start (yyyy mm)				2022 12	2021 04	2021 04	2017 07	2003 12	2003 12	2003 12
Period End (yyyy mm)				2023 10	2023 10	2023 10	2020 03	2009 02	2009 02	2009 02
Annualized Return (%)				-3.11	-1.11	-1.11	-0.05	-0.13	-0.13	-0.13
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%)				-8.47	-22.78	-22.78	-22.78	-40.65	-40.65	-40.65
Start to Recovery (# months) details				4*	23*	23*	23*	62	62	62
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	46	46	46
End (yyyy mm)				-	-	-	-	2012 12	2012 12	2012 12
Longest Drawdown Depth (%)				-5.41	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest
Start to Recovery (# months) details				6	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest	same as deepest
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	46	46	46
End (yyyy mm)				2023 07	-	-	-	2012 12	2012 12	2012 12
Longest negative period (# months) details				12*	36*	54	69	69	118	118
Period Start (yyyy mm)				2022 12	2020 12	2019 05	2018 02	2018 02	1999 05	1999 05
Period End (yyyy mm)				2023 11	2023 11	2023 10	2023 10	2023 10	2009 02	2009 02
Annualized Return (%)				-0.01	-1.03	-0.13	-0.26	-0.26	-0.16	-0.16
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)				11.75	12.09	13.26	10.51	11.21	10.70	10.71
Sharpe Ratio				-0.13	0.23	0.32	0.46	0.50	0.51	0.51
Sortino Ratio				-0.21	0.31	0.43	0.61	0.65	0.66	0.65
Ulcer Index				3.31	7.02	6.46	4.94	8.19	7.15	6.60
Ratio: Return / Standard Deviation				0.28	0.39	0.45	0.56	0.61	0.72	0.88
Ratio: Return / Deepest Drawdown				0.42	0.26	0.33	0.33	0.17	0.19	0.24
% Positive Months details				50%	61%	63%	65%	66%	66%	68%
Positive Months				6	22	38	79	159	238	318
Negative Months				6	14	22	41	81	122	149
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized							5.88	11.30	11.30	14.06
Worst 10 Years Return (%) - Annualized							5.88	5.00	3.12	3.12
Best 10 Years Return (%) - Annualized							2.98	9.37	9.37	10.78
Worst 10 Years Return (%) - Annualized							2.98	2.50	0.53	0.53
ROLLING PERIOD RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized				44.00	20.83	17.13	11.30	9.01	7.69
Worst Rolling Return (%) - Annualized				-34.38	-9.61	-1.59	3.12	5.86	7.69
% Positive Periods				79%	90%	99%	100%	100%	100%
Best Rolling Return (%) - Annualized				40.98	18.03	14.79	9.37	6.55	5.04
Worst Rolling Return (%) - Annualized				-34.53	-11.57	-4.13	0.53	3.71	5.04
% Positive Periods				74%	85%	94%	100%	100%	100%
Over all the available data source (Jan 1985 - Nov 2023)
Best Rolling Return (%) - Annualized				44.00	20.83	18.61	14.06	12.43	10.53
Worst Rolling Return (%) - Annualized				-34.38	-9.61	-1.59	3.12	5.86	7.38
% Positive Periods				81%	92%	99%	100%	100%	100%
Best Rolling Return (%) - Annualized				40.98	18.03	14.79	10.78	9.15	7.61
Worst Rolling Return (%) - Annualized				-34.53	-11.57	-4.13	0.53	3.71	4.74
% Positive Periods				75%	88%	95%	100%	100%	100%
WITHDRAWAL RATES (WR)				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Safe WR (%)					34.41	21.95	12.10	7.74	7.22	10.31
Perpetual WR (%)					0.00	1.78	2.90	4.02	4.80	6.05

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

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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 70/30 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:

Chart Table

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-39.73%	Nov 2007	Feb 2009	16	Jan 2011	23	39	17.81
-17.80%	Jan 2022	Sep 2022	9	in progress	14	23	8.68
-17.14%	Jan 2020	Mar 2020	3	Nov 2020	8	11	7.51
-13.73%	Feb 2001	Sep 2002	20	Jul 2003	10	30	7.20
-13.47%	May 2011	Sep 2011	5	Mar 2012	6	11	5.71
-13.19%	May 1998	Aug 1998	4	Jan 1999	5	9	5.63
-9.24%	Sep 2018	Dec 2018	4	Apr 2019	4	8	4.03
-7.28%	Jun 2015	Jan 2016	8	Jun 2016	5	13	4.02
-6.31%	Feb 1994	Mar 1994	2	Apr 1995	13	15	4.11
-5.42%	Apr 2012	May 2012	2	Aug 2012	3	5	2.48
-4.34%	Sep 2000	Nov 2000	3	Dec 2000	1	4	2.15
-4.14%	May 2019	May 2019	1	Jun 2019	1	2	2.39
-4.11%	Apr 2004	Apr 2004	1	Sep 2004	5	6	2.09
-3.87%	Jun 2007	Jul 2007	2	Sep 2007	2	4	2.19
-3.68%	Feb 2018	Mar 2018	2	Jul 2018	4	6	2.51

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-40.65%	Nov 2007	Feb 2009	16	Dec 2012	46	62	16.10
-22.78%	Jan 2022	Sep 2022	9	in progress	14	23	14.46
-17.51%	Jan 2020	Mar 2020	3	Nov 2020	8	11	7.82
-17.16%	Feb 2001	Mar 2003	26	Oct 2003	7	33	9.00
-13.67%	May 1998	Aug 1998	4	Apr 1999	8	12	5.38
-9.31%	Feb 2018	Dec 2018	11	Sep 2019	9	20	3.66
-8.34%	Feb 1994	Nov 1994	10	May 1995	6	16	5.45
-8.19%	Mar 2015	Sep 2015	7	Jul 2016	10	17	4.28
-5.06%	Sep 2000	Nov 2000	3	Jan 2001	2	5	2.40
-4.50%	Jan 2005	Apr 2005	4	Jul 2005	3	7	2.18
-4.42%	Apr 2004	Apr 2004	1	Oct 2004	6	7	2.51
-4.03%	Jun 2007	Jul 2007	2	Sep 2007	2	4	2.26
-3.98%	Jul 1999	Sep 1999	3	Dec 1999	3	6	2.21
-3.83%	Jan 2000	Feb 2000	2	Aug 2000	6	8	2.02
-3.41%	Oct 1997	Oct 1997	1	Feb 1998	4	5	1.67

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-39.73%	Nov 2007	Feb 2009	16	Jan 2011	23	39	17.81
-18.62%	Sep 1987	Nov 1987	3	Jan 1989	14	17	8.81
-17.80%	Jan 2022	Sep 2022	9	in progress	14	23	8.68
-17.14%	Jan 2020	Mar 2020	3	Nov 2020	8	11	7.51
-13.73%	Feb 2001	Sep 2002	20	Jul 2003	10	30	7.20
-13.47%	May 2011	Sep 2011	5	Mar 2012	6	11	5.71
-13.19%	May 1998	Aug 1998	4	Jan 1999	5	9	5.63
-11.32%	Jan 1990	Sep 1990	9	Feb 1991	5	14	5.61
-9.24%	Sep 2018	Dec 2018	4	Apr 2019	4	8	4.03
-7.28%	Jun 2015	Jan 2016	8	Jun 2016	5	13	4.02
-6.31%	Feb 1994	Mar 1994	2	Apr 1995	13	15	4.11
-5.42%	Apr 2012	May 2012	2	Aug 2012	3	5	2.48
-4.34%	Sep 2000	Nov 2000	3	Dec 2000	1	4	2.15
-4.14%	May 2019	May 2019	1	Jun 2019	1	2	2.39
-4.11%	Apr 2004	Apr 2004	1	Sep 2004	5	6	2.09

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months	Ulcer Index
-40.65%	Nov 2007	Feb 2009	16	Dec 2012	46	62	16.10
-22.78%	Jan 2022	Sep 2022	9	in progress	14	23	14.46
-19.33%	Sep 1987	Nov 1987	3	May 1989	18	21	9.52
-17.51%	Jan 2020	Mar 2020	3	Nov 2020	8	11	7.82
-17.16%	Feb 2001	Mar 2003	26	Oct 2003	7	33	9.00
-15.73%	Jan 1990	Sep 1990	9	May 1991	8	17	8.06
-13.67%	May 1998	Aug 1998	4	Apr 1999	8	12	5.38
-9.31%	Feb 2018	Dec 2018	11	Sep 2019	9	20	3.66
-8.34%	Feb 1994	Nov 1994	10	May 1995	6	16	5.45
-8.19%	Mar 2015	Sep 2015	7	Jul 2016	10	17	4.28
-5.06%	Sep 2000	Nov 2000	3	Jan 2001	2	5	2.40
-4.50%	Jan 2005	Apr 2005	4	Jul 2005	3	7	2.18
-4.43%	Sep 1986	Sep 1986	1	Jan 1987	4	5	2.10
-4.42%	Apr 2004	Apr 2004	1	Oct 2004	6	7	2.51
-4.03%	Jun 2007	Jul 2007	2	Sep 2007	2	4	2.26

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 70/30 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:

Return Chart Capital Chart Table

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-34.38	03/2008 02/2009	0.65$	-1.94	0.98$	9.82	1.09$	17.82	1.17$	44.00	03/2009 02/2010	1.44$	3.33	20.92%
2Y	-19.21	03/2007 02/2009	0.65$	1.48	1.02$	9.19	1.19$	14.98	1.32$	30.81	03/2009 02/2011	1.71$	-0.81	12.76%
3Y	-9.61	03/2006 02/2009	0.73$	3.04	1.09$	8.38	1.27$	13.36	1.45$	20.83	03/2009 02/2012	1.76$	4.66	9.54%
5Y	-1.59	03/2004 02/2009	0.92$	3.90	1.21$	7.53	1.43$	11.92	1.75$	17.13	03/2009 02/2014	2.20$	5.95	0.66%
7Y	1.95	03/2002 02/2009	1.14$	5.52	1.45$	7.56	1.66$	9.39	1.87$	11.99	03/2009 02/2016	2.20$	6.30	0.00%
10Y	3.12	03/1999 02/2009	1.36$	5.64	1.73$	7.47	2.05$	9.70	2.52$	11.30	03/2009 02/2019	2.91$	5.88	0.00%
15Y	4.86	10/2007 09/2022	2.03$	6.34	2.51$	7.08	2.79$	8.02	3.18$	8.98	02/2003 01/2018	3.63$	8.36	0.00%
20Y	5.86	04/2000 03/2020	3.12$	6.87	3.77$	7.53	4.27$	8.36	4.98$	9.01	12/1994 11/2014	5.61$	6.88	0.00%
30Y	7.69	12/1993 11/2023	9.23$	7.69	9.23$	7.69	9.23$	7.69	9.23$	7.69	12/1993 11/2023	9.23$	7.69	0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-34.53	03/2008 02/2009	0.65$	-4.56	0.95$	7.25	1.07$	15.50	1.15$	40.98	03/2009 02/2010	1.40$	-0.01	25.79%
2Y	-20.88	03/2007 02/2009	0.62$	-0.96	0.98$	6.44	1.13$	12.48	1.26$	28.09	03/2009 02/2011	1.64$	-5.72	18.10%
3Y	-11.57	03/2006 02/2009	0.69$	0.22	1.00$	5.89	1.18$	10.56	1.35$	18.03	03/2009 02/2012	1.64$	-1.03	14.15%
5Y	-4.13	03/2004 02/2009	0.81$	1.22	1.06$	5.19	1.28$	9.12	1.54$	14.79	03/2009 02/2014	1.99$	1.81	5.65%
7Y	-0.59	03/2002 02/2009	0.95$	3.14	1.24$	5.22	1.42$	6.91	1.59$	10.22	03/2009 02/2016	1.97$	2.67	0.72%
10Y	0.53	03/1999 02/2009	1.05$	3.53	1.41$	5.15	1.65$	7.10	1.98$	9.37	03/2009 02/2019	2.44$	2.98	0.00%
15Y	2.42	10/2007 09/2022	1.43$	4.12	1.83$	4.78	2.01$	5.52	2.23$	6.74	02/2003 01/2018	2.66$	5.72	0.00%
20Y	3.71	04/2000 03/2020	2.07$	4.57	2.44$	5.15	2.72$	5.96	3.18$	6.55	12/1994 11/2014	3.55$	4.19	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

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-34.38	03/2008 02/2009	0.65$	-1.45	0.98$	10.93	1.10$	20.37	1.20$	44.00	03/2009 02/2010	1.44$	3.33	18.86%
2Y	-19.21	03/2007 02/2009	0.65$	2.89	1.05$	9.74	1.20$	16.17	1.34$	30.81	03/2009 02/2011	1.71$	-0.81	9.68%
3Y	-9.61	03/2006 02/2009	0.73$	4.37	1.13$	9.75	1.32$	13.96	1.47$	20.83	03/2009 02/2012	1.76$	4.66	7.18%
5Y	-1.59	03/2004 02/2009	0.92$	4.59	1.25$	9.10	1.54$	13.46	1.88$	18.61	01/1985 12/1989	2.34$	5.95	0.49%
7Y	1.95	03/2002 02/2009	1.14$	5.93	1.49$	8.28	1.74$	12.49	2.27$	16.41	10/1990 09/1997	2.89$	6.30	0.00%
10Y	3.12	03/1999 02/2009	1.36$	5.94	1.78$	8.52	2.26$	12.12	3.14$	14.06	12/1987 11/1997	3.72$	5.88	0.00%
15Y	4.86	10/2007 09/2022	2.03$	6.62	2.61$	7.75	3.06$	10.90	4.71$	14.17	01/1985 12/1999	7.30$	8.36	0.00%
20Y	5.86	04/2000 03/2020	3.12$	7.08	3.92$	8.39	5.01$	10.62	7.52$	12.43	01/1985 12/2004	10.41$	6.88	0.00%
30Y	7.38	11/1993 10/2023	8.47$	8.17	10.53$	8.86	12.77$	9.40	14.80$	10.53	01/1985 12/2014	20.15$	7.69	0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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Rolling Period	Worst Period			15th Percentile		50th Percentile		85th Percentile		Best Period			Latest	Negative Periods
Rolling Period	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$	Latest	Negative Periods
1Y	-34.53	03/2008 02/2009	0.65$	-4.07	0.95$	7.81	1.07$	16.78	1.16$	40.98	03/2009 02/2010	1.40$	-0.01	24.34%
2Y	-20.88	03/2007 02/2009	0.62$	0.44	1.00$	6.84	1.14$	12.92	1.27$	28.09	03/2009 02/2011	1.64$	-5.72	13.96%
3Y	-11.57	03/2006 02/2009	0.69$	1.74	1.05$	6.64	1.21$	10.78	1.35$	18.03	03/2009 02/2012	1.64$	-1.03	11.11%
5Y	-4.13	03/2004 02/2009	0.81$	1.72	1.08$	6.39	1.36$	10.22	1.62$	14.79	03/2009 02/2014	1.99$	1.81	4.17%
7Y	-0.59	03/2002 02/2009	0.95$	3.45	1.26$	5.91	1.49$	8.85	1.81$	13.22	10/1990 09/1997	2.38$	2.67	0.52%
10Y	0.53	03/1999 02/2009	1.05$	3.81	1.45$	6.13	1.81$	8.74	2.31$	10.78	10/1990 09/2000	2.78$	2.98	0.00%
15Y	2.42	10/2007 09/2022	1.43$	4.26	1.86$	5.28	2.16$	7.91	3.13$	10.66	01/1985 12/1999	4.56$	5.72	0.00%
20Y	3.71	04/2000 03/2020	2.07$	4.76	2.53$	5.74	3.05$	7.31	4.10$	9.15	01/1985 12/2004	5.76$	4.19	0.00%
30Y	4.74	11/1993 10/2023	4.01$	5.52	5.01$	6.20	6.08$	6.67	6.92$	7.61	01/1985 12/2014	9.03$	5.04	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 70/30 Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Bill Bernstein Sheltered Sam 70/30 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 Average Return (%) and Gain Frequency
Return (%)	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Average Gain Frequency	1.65 60%	-0.82 40%	-1.24 80%	1.57 80%	-0.27 60%	0.83 80%	2.34 100%	-0.41 40%	-2.77 20%	1.58 60%	3.97 80%	0.26 60%
Best	6.3 2019	3.1 2021	3.1 2021	6.9 2020	2.5 2020	4.6 2019	4.9 2022	3.4 2020	2.0 2019	5.9 2022	8.7 2020	4.0 2021
Worst	-2.9 2022	-5.5 2020	-11.2 2020	-4.7 2022	-4.1 2019	-6.1 2022	0.4 2021	-3.3 2022	-7.4 2022	-2.3 2023	-2.0 2021	-5.6 2018

Monthly Seasonality over the period Feb 1985 - 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	0.60 50%	0.07 60%	-0.05 70%	1.08 90%	0.20 80%	0.67 80%	1.72 90%	-0.31 40%	-1.67 30%	0.95 60%	2.68 80%	0.35 60%
Best	6.3 2019	3.3 2014	5.6 2016	6.9 2020	2.5 2020	4.6 2019	4.9 2022	3.4 2020	2.0 2019	5.9 2022	8.7 2020	4.0 2021
Worst	-3.2 2016	-5.5 2020	-11.2 2020	-4.7 2022	-4.1 2019	-6.1 2022	-1.4 2014	-4.3 2015	-7.4 2022	-5.0 2018	-2.0 2021	-5.6 2018

Monthly Seasonality over the period Feb 1985 - 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	1.03 67%	0.57 67%	0.97 74%	1.43 79%	0.86 69%	0.41 64%	1.12 69%	-0.01 59%	-0.36 54%	0.45 64%	1.39 69%	1.79 82%
Best	8.3 1987	6.1 1986	6.5 2009	9.3 2009	5.8 1990	4.6 2019	6.6 2009	5.9 1986	6.2 2010	8.1 2011	8.7 2020	8.1 1991
Worst	-8.4 2009	-8.6 2009	-11.2 2020	-4.7 2022	-5.8 2010	-6.1 2022	-6.7 2002	-10.2 1998	-7.4 2022	-15.1 1987	-5.5 2008	-5.6 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 70/30 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO

Monthly Returns Distribution

Data Source: 1 December 1993 - 30 November 2023 (30 Years)

Data Source: 1 January 1985 - 30 November 2023 (~39 years)

238 Positive Months (66%) - 122 Negative Months (34%)

318 Positive Months (68%) - 149 Negative Months (32%)

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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:

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

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	Author	Return▾	Dev.Std	Drawdown	Stocks	Bonds	Comm
Stocks/Bonds 60/40 Momentum		+9.34	9.56	-32.52	60	40	0
Simple Path to Wealth	JL Collins	+8.78	11.75	-38.53	75	25	0
Aim Bold Strategy	Aim Ways	+8.24	9.93	-30.09	45	40	15
Weird Portfolio	Value Stock Geek	+8.02	10.75	-32.97	60	20	20
Stocks/Bonds 60/40		+7.99	9.61	-30.55	60	40	0
Yale Endowment	David Swensen	+7.98	10.99	-39.48	70	30	0
Couch Potato	Scott Burns	+7.83	8.76	-27.04	50	50	0
Edge Select Moderately Aggressive	Merrill Lynch	+7.83	11.16	-38.23	69	31	0
Stocks/Bonds 40/60 Momentum		+7.75	6.99	-21.11	40	60	0
Six Ways from Sunday	Scott Burns	+7.71	10.91	-39.14	66.7	33.3	0
Sheltered Sam 70/30	Bill Bernstein	+7.69	10.70	-39.73	67.9	30	2.1

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.

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		30 Years Stats (%)			% Allocation
Portfolio	Author	Return▾	Dev.Std	Drawdown	Stocks	Bonds	Comm
Stocks/Bonds 60/40 Momentum		+9.34	9.56	-32.52	60	40	0
Simple Path to Wealth	JL Collins	+8.78	11.75	-38.53	75	25	0
Aim Bold Strategy	Aim Ways	+8.24	9.93	-30.09	45	40	15
Late Sixties and Beyond	Burton Malkiel	+8.13	11.69	-41.80	71	29	0
Talmud Portfolio	Roger Gibson	+8.01	10.81	-40.17	66.7	33.3	0

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