10-year Treasury vs Bill Bernstein Sheltered Sam 20/80 Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
October 1994
4.48$
Final Capital
September 2024
5.12%
Yearly Return
6.79
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Bill Bernstein Sheltered Sam 20/80 Portfolio
1.00$
Initial Capital
October 1994
4.84$
Final Capital
September 2024
5.40%
Yearly Return
4.09
Std Deviation
-11.24%
Max Drawdown
31 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1985
12.41$
Final Capital
September 2024
6.54%
Yearly Return
7.22
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Bill Bernstein Sheltered Sam 20/80 Portfolio
1.00$
Initial Capital
January 1985
13.14$
Final Capital
September 2024
6.69%
Yearly Return
4.49
Std Deviation
-11.24%
Max Drawdown
31 months
Recovery Period

The 10-year Treasury Portfolio obtained a 5.12% compound annual return, with a 6.79% standard deviation, in the last 30 Years.

The Bill Bernstein Sheltered Sam 20/80 Portfolio obtained a 5.40% compound annual return, with a 4.09% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M)
1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 6.54
Sheltered Sam 20/80
Bill Bernstein
6.55 1.26 5.26 11.93 3.57 3.29 5.40 6.69
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

10-year Treasury Portfolio: an investment of 1$, since October 1994, now would be worth 4.48$, with a total return of 347.83% (5.12% annualized).

Bill Bernstein Sheltered Sam 20/80 Portfolio: an investment of 1$, since October 1994, now would be worth 4.84$, with a total return of 384.30% (5.40% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1985, now would be worth 12.41$, with a total return of 1140.72% (6.54% annualized).

Bill Bernstein Sheltered Sam 20/80 Portfolio: an investment of 1$, since January 1985, now would be worth 13.14$, with a total return of 1213.88% (6.69% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)
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10-year Treasury Sheltered Sam 20/80
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 19.4%
Fixed Income 100% 80%
Commodities 0% 0.6%
PERFORMANCES
Annualized Return (%) 10.84 11.93
Infl. Adjusted Return (%) 8.23 9.30
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -1.62
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -0.73
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.80 4.57
Sharpe Ratio 0.70 1.44
Sortino Ratio 0.95 1.96
Ulcer Index 1.75 0.49
Ratio: Return / Standard Deviation 1.39 2.61
Ratio: Return / Deepest Drawdown 2.43 7.39
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Sheltered Sam 20/80
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 19.4%
Fixed Income 100% 80%
Commodities 0% 0.6%
PERFORMANCES
Annualized Return (%) -0.82 3.57
Infl. Adjusted Return (%) -4.80 -0.59
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Negative Period (months) 60* 36
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 5.39
Sharpe Ratio -0.39 0.26
Sortino Ratio -0.57 0.33
Ulcer Index 12.84 4.25
Ratio: Return / Standard Deviation -0.11 0.66
Ratio: Return / Deepest Drawdown -0.04 0.32
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Sheltered Sam 20/80
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 19.4%
Fixed Income 100% 80%
Commodities 0% 0.6%
PERFORMANCES
Annualized Return (%) 1.41 3.29
Infl. Adjusted Return (%) -1.41 0.43
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Negative Period (months) 111 36
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 4.25
Sharpe Ratio -0.01 0.42
Sortino Ratio -0.02 0.56
Ulcer Index 9.51 3.09
Ratio: Return / Standard Deviation 0.21 0.78
Ratio: Return / Deepest Drawdown 0.06 0.29
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Sheltered Sam 20/80
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 19.4%
Fixed Income 100% 80%
Commodities 0% 0.6%
PERFORMANCES
Annualized Return (%) 5.12 5.40
Infl. Adjusted Return (%) 2.54 2.81
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Negative Period (months) 126 36
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 4.09
Sharpe Ratio 0.42 0.76
Sortino Ratio 0.60 1.00
Ulcer Index 6.05 2.22
Ratio: Return / Standard Deviation 0.75 1.32
Ratio: Return / Deepest Drawdown 0.22 0.48
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Sheltered Sam 20/80
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 19.4%
Fixed Income 100% 80%
Commodities 0% 0.6%
PERFORMANCES
Annualized Return (%) 6.54 6.69
Infl. Adjusted Return (%) 3.65 3.80
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Drawdown Depth (%) -23.19 -11.24
Start to Recovery (months) 50* 31
Longest Negative Period (months) 126 36
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 4.49
Sharpe Ratio 0.47 0.79
Sortino Ratio 0.68 1.08
Ulcer Index 5.55 2.10
Ratio: Return / Standard Deviation 0.91 1.49
Ratio: Return / Deepest Drawdown 0.28 0.60
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)

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10-year Treasury Sheltered Sam 20/80
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-23.19 50* Aug 2020
In progress
-11.24 31 Jan 2022
Jul 2024
-11.12 16 Jun 2008
Sep 2009
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011
-4.25 12 Feb 2015
Jan 2016
-4.15 8 Apr 2008
Nov 2008
-4.13 5 Oct 2002
Feb 2003

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10-year Treasury Sheltered Sam 20/80
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-23.19 50* Aug 2020
In progress
-11.24 31 Jan 2022
Jul 2024
-11.12 16 Jun 2008
Sep 2009
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-5.68 7 Jun 2003
Dec 2003
-5.52 14 Feb 1994
Mar 1995
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1985 - 30 September 2024 (~40 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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10-year Treasury Sheltered Sam 20/80
Year Return Drawdown Return Drawdown
2024
4.16% -4.45% 6.55% -1.62%
2023
3.65% -8.82% 6.07% -3.05%
2022
-15.19% -16.91% -8.57% -11.24%
2021
-3.33% -5.73% 6.12% -1.13%
2020
10.01% -2.02% 6.51% -3.84%
2019
8.03% -2.59% 9.31% -0.46%
2018
0.99% -3.19% -1.46% -2.63%
2017
2.55% -1.90% 4.67% -0.02%
2016
1.00% -6.50% 4.89% -0.76%
2015
1.51% -4.25% -0.87% -2.69%
2014
9.07% -1.05% 3.15% -1.67%
2013
-6.09% -7.60% 2.51% -2.85%
2012
3.66% -2.67% 5.52% -0.90%
2011
15.64% -1.29% 4.55% -2.74%
2010
9.37% -4.30% 6.66% -1.86%
2009
-6.59% -6.65% 8.71% -5.55%
2008
17.91% -4.15% -4.20% -8.77%
2007
10.37% -1.85% 7.87% -0.26%
2006
2.52% -2.87% 6.52% -0.66%
2005
2.64% -3.19% 3.75% -1.08%
2004
4.12% -4.85% 6.77% -3.04%
2003
5.29% -5.68% 11.07% -1.00%
2002
15.45% -4.13% 6.48% -0.84%
2001
5.40% -5.21% 5.17% -0.79%
2000
17.28% -1.12% 10.33% -0.80%
1999
-7.83% -8.11% 2.93% -2.01%
1998
14.64% -1.61% 8.26% -1.97%
1997
11.97% -2.02% 11.23% -1.41%
1996
0.00% -6.90% 6.44% -1.47%
1995
25.55% -1.23% 18.36% 0.00%
1994
-7.19% -9.56% -2.45% -5.52%
1993
12.97% -2.55% 13.19% -1.20%
1992
7.23% -4.02% 7.98% -1.39%
1991
18.91% -0.54% 17.84% -1.06%
1990
7.70% -4.48% 5.02% -3.05%
1989
17.84% -2.30% 15.82% -0.71%
1988
6.90% -4.60% 8.98% -1.35%
1987
-2.64% -10.87% 2.97% -4.40%
1986
21.35% -3.93% 16.07% -2.27%
1985
29.85% -3.33% 21.99% -0.96%