10-year Treasury vs Bill Bernstein Sheltered Sam 30/70 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 30/70 Portfolio
1.00$
Initial Capital
October 1994
5.75$
Final Capital
September 2024
6.01%
Yearly Return
5.18
Std Deviation
-16.58%
Max Drawdown
18 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 30/70 Portfolio
1.00$
Initial Capital
January 1985
16.65$
Final Capital
September 2024
7.33%
Yearly Return
5.49
Std Deviation
-16.58%
Max Drawdown
18 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 30/70 Portfolio obtained a 6.01% compound annual return, with a 5.18% 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 30/70
Bill Bernstein 		7.65 1.35 5.78 14.03 4.50 4.09 6.01 7.33
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 30/70 Portfolio: an investment of 1$, since October 1994, now would be worth 5.75$, with a total return of 475.47% (6.01% 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 30/70 Portfolio: an investment of 1$, since January 1985, now would be worth 16.65$, with a total return of 1565.09% (7.33% 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 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 10.84 14.03
Infl. Adjusted Return (%) 8.43 11.55
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -1.95
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -1.05
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.80 5.55
Sharpe Ratio 0.70 1.56
Sortino Ratio 0.95 2.13
Ulcer Index 1.75 0.62
Ratio: Return / Standard Deviation 1.39 2.53
Ratio: Return / Deepest Drawdown 2.43 7.20
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) -0.82 4.50
Infl. Adjusted Return (%) -4.76 0.34
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 50* 31
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 50* 31
Longest Negative Period (months) 60* 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 6.74
Sharpe Ratio -0.39 0.34
Sortino Ratio -0.57 0.45
Ulcer Index 12.84 4.53
Ratio: Return / Standard Deviation -0.11 0.67
Ratio: Return / Deepest Drawdown -0.04 0.36
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 1.41 4.09
Infl. Adjusted Return (%) -1.39 1.22
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 50* 31
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 50* 31
Longest Negative Period (months) 111 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 5.39
Sharpe Ratio -0.01 0.48
Sortino Ratio -0.02 0.64
Ulcer Index 9.51 3.34
Ratio: Return / Standard Deviation 0.21 0.76
Ratio: Return / Deepest Drawdown 0.06 0.33
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 5.12 6.01
Infl. Adjusted Return (%) 2.55 3.41
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.58
Start to Recovery (months) 50* 18
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 50* 31
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 5.18
Sharpe Ratio 0.42 0.72
Sortino Ratio 0.60 0.94
Ulcer Index 6.05 2.80
Ratio: Return / Standard Deviation 0.75 1.16
Ratio: Return / Deepest Drawdown 0.22 0.36
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 6.54 7.33
Infl. Adjusted Return (%) 3.66 4.43
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.58
Start to Recovery (months) 50* 18
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 50* 31
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 5.49
Sharpe Ratio 0.47 0.76
Sortino Ratio 0.68 1.02
Ulcer Index 5.55 2.63
Ratio: Return / Standard Deviation 0.91 1.34
Ratio: Return / Deepest Drawdown 0.28 0.44
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 30/70
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-16.58 18 Jun 2008
Nov 2009
-12.55 31 Jan 2022
Jul 2024
-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
-6.24 6 Feb 2020
Jul 2020
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011
-4.37 9 May 2011
Jan 2012
-4.25 12 Feb 2015
Jan 2016

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10-year Treasury Sheltered Sam 30/70
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-16.58 18 Jun 2008
Nov 2009
-12.55 31 Jan 2022
Jul 2024
-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
-7.59 10 Sep 1987
Jun 1988
-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
-6.24 6 Feb 2020
Jul 2020
-5.68 7 Jun 2003
Dec 2003
-5.67 15 Feb 1994
Apr 1995

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 30/70
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 7.65% -1.95%
2023
 3.65% -8.82% 7.25% -4.05%
2022
 -15.19% -16.91% -9.07% -12.55%
2021
 -3.33% -5.73% 8.27% -1.49%
2020
 10.01% -2.02% 6.68% -6.24%
2019
 8.03% -2.59% 11.29% -1.23%
2018
 0.99% -3.19% -2.35% -3.98%
2017
 2.55% -1.90% 6.35% 0.00%
2016
 1.00% -6.50% 6.14% -0.94%
2015
 1.51% -4.25% -1.08% -3.54%
2014
 9.07% -1.05% 3.87% -1.94%
2013
 -6.09% -7.60% 5.39% -2.64%
2012
 3.66% -2.67% 6.92% -1.73%
2011
 15.64% -1.29% 3.74% -4.37%
2010
 9.37% -4.30% 8.08% -3.32%
2009
 -6.59% -6.65% 11.17% -7.71%
2008
 17.91% -4.15% -8.30% -12.57%
2007
 10.37% -1.85% 7.21% -0.78%
2006
 2.52% -2.87% 8.56% -1.09%
2005
 2.64% -3.19% 4.67% -1.32%
2004
 4.12% -4.85% 8.30% -3.26%
2003
 5.29% -5.68% 14.34% -0.69%
2002
 15.45% -4.13% 3.99% -2.62%
2001
 5.40% -5.21% 3.89% -2.11%
2000
 17.28% -1.12% 9.31% -1.23%
1999
 -7.83% -8.11% 4.74% -2.18%
1998
 14.64% -1.61% 8.32% -4.01%
1997
 11.97% -2.02% 12.35% -1.75%
1996
 0.00% -6.90% 8.07% -1.16%
1995
 25.55% -1.23% 19.30% 0.00%
1994
 -7.19% -9.56% -2.28% -5.67%
1993
 12.97% -2.55% 14.75% -1.45%
1992
 7.23% -4.02% 8.20% -1.27%
1991
 18.91% -0.54% 19.59% -1.56%
1990
 7.70% -4.48% 2.91% -4.64%
1989
 17.84% -2.30% 17.14% -0.61%
1988
 6.90% -4.60% 10.47% -1.19%
1987
 -2.64% -10.87% 3.06% -7.59%
1986
 21.35% -3.93% 17.32% -2.63%
1985
 29.85% -3.33% 23.63% -0.55%