Bill Bernstein Sheltered Sam 50/50 vs Credit Suisse Global Market Portfolio Comparison

Period: January 1985 - November 2024 (~40 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
December 1994
8.17$
Final Capital
November 2024
7.25%
Yearly Return
7.81
Std Deviation
-28.23%
Max Drawdown
36months
Recovery Period
Credit Suisse Global Market Portfolio
1.00$
Initial Capital
December 1994
8.41$
Final Capital
November 2024
7.36%
Yearly Return
8.30
Std Deviation
-25.90%
Max Drawdown
29months
Recovery Period
Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
January 1985
26.27$
Final Capital
November 2024
8.53%
Yearly Return
7.95
Std Deviation
-28.23%
Max Drawdown
36months
Recovery Period
Credit Suisse Global Market Portfolio
1.00$
Initial Capital
January 1985
30.03$
Final Capital
November 2024
8.90%
Yearly Return
8.60
Std Deviation
-25.90%
Max Drawdown
29months
Recovery Period

The Bill Bernstein Sheltered Sam 50/50 Portfolio obtained a 7.25% compound annual return, with a 7.81% standard deviation, in the last 30 Years.

The Credit Suisse Global Market Portfolio obtained a 7.36% compound annual return, with a 8.30% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 November 2024 (~40 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Sheltered Sam 50/50
Bill Bernstein 		11.05 2.75 7.96 15.76 6.04 5.49 7.25 8.53
Global Market Portfolio
Credit Suisse 		9.28 2.28 7.73 14.92 3.91 4.96 7.36 8.90
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since December 1994, now would be worth 8.17$, with a total return of 717.09% (7.25% annualized).

Credit Suisse Global Market Portfolio: an investment of 1$, since December 1994, now would be worth 8.41$, with a total return of 741.44% (7.36% annualized).


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Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since January 1985, now would be worth 26.27$, with a total return of 2526.87% (8.53% annualized).

Credit Suisse Global Market Portfolio: an investment of 1$, since January 1985, now would be worth 30.03$, with a total return of 2903.04% (8.90% annualized).


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Metrics as of Nov 30, 2024

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

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)
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Sheltered Sam 50/50 Global Market Portfolio
Author Bill Bernstein Credit Suisse
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 55%
Commodities 1.5% 0%
PERFORMANCES
Annualized Return (%) 15.76 14.92
Infl. Adjusted Return (%) 13.04 12.22
DRAWDOWN
Deepest Drawdown Depth (%) -2.60 -3.51
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -0.56 -3.51
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 4
RISK INDICATORS
Standard Deviation (%) 6.72 8.19
Sharpe Ratio 1.57 1.19
Sortino Ratio 2.03 1.48
Ulcer Index 0.86 1.30
Ratio: Return / Standard Deviation 2.35 1.82
Ratio: Return / Deepest Drawdown 6.06 4.25
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Sheltered Sam 50/50 Global Market Portfolio
Author Bill Bernstein Credit Suisse
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 55%
Commodities 1.5% 0%
PERFORMANCES
Annualized Return (%) 6.04 3.91
Infl. Adjusted Return (%) 1.86 -0.19
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -23.10
Start to Recovery (months) 27 35*
Longest Drawdown Depth (%) -15.17 -23.10
Start to Recovery (months) 27 35*
Longest Negative Period (months) 32 47
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.78 11.55
Sharpe Ratio 0.38 0.14
Sortino Ratio 0.51 0.19
Ulcer Index 5.35 9.98
Ratio: Return / Standard Deviation 0.62 0.34
Ratio: Return / Deepest Drawdown 0.40 0.17
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Sheltered Sam 50/50 Global Market Portfolio
Author Bill Bernstein Credit Suisse
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 55%
Commodities 1.5% 0%
PERFORMANCES
Annualized Return (%) 5.49 4.96
Infl. Adjusted Return (%) 2.51 2.00
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -23.10
Start to Recovery (months) 27 35*
Longest Drawdown Depth (%) -15.17 -23.10
Start to Recovery (months) 27 35*
Longest Negative Period (months) 32 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.99 9.20
Sharpe Ratio 0.49 0.37
Sortino Ratio 0.65 0.50
Ulcer Index 4.04 7.29
Ratio: Return / Standard Deviation 0.69 0.54
Ratio: Return / Deepest Drawdown 0.36 0.21
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Sheltered Sam 50/50 Global Market Portfolio
Author Bill Bernstein Credit Suisse
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 55%
Commodities 1.5% 0%
PERFORMANCES
Annualized Return (%) 7.25 7.36
Infl. Adjusted Return (%) 4.62 4.73
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -25.90
Start to Recovery (months) 36 29
Longest Drawdown Depth (%) -28.23 -23.10
Start to Recovery (months) 36 35*
Longest Negative Period (months) 53 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.81 8.30
Sharpe Ratio 0.63 0.61
Sortino Ratio 0.82 0.81
Ulcer Index 4.64 5.56
Ratio: Return / Standard Deviation 0.93 0.89
Ratio: Return / Deepest Drawdown 0.26 0.28
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Sheltered Sam 50/50 Global Market Portfolio
Author Bill Bernstein Credit Suisse
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 55%
Commodities 1.5% 0%
PERFORMANCES
Annualized Return (%) 8.53 8.90
Infl. Adjusted Return (%) 5.59 5.95
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -25.90
Start to Recovery (months) 36 29
Longest Drawdown Depth (%) -28.23 -23.10
Start to Recovery (months) 36 35*
Longest Negative Period (months) 53 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.95 8.60
Sharpe Ratio 0.68 0.67
Sortino Ratio 0.88 0.90
Ulcer Index 4.30 5.07
Ratio: Return / Standard Deviation 1.07 1.03
Ratio: Return / Deepest Drawdown 0.30 0.34
Metrics calculated over the period 1 January 1985 - 30 November 2024

Drawdowns

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

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Sheltered Sam 50/50 Global Market Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-25.90 29 Nov 2007
Mar 2010
-23.10 35* Jan 2022
In progress
-15.17 27 Jan 2022
Mar 2024
-11.63 8 Jan 2020
Aug 2020
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-8.34 5 Feb 2020
Jun 2020
-7.79 12 Jun 2002
May 2003
-6.63 8 Sep 2018
Apr 2019
-6.28 27 Feb 2001
Apr 2003
-6.05 15 Mar 2015
May 2016
-6.00 14 Feb 2018
Mar 2019
-5.62 4 Jul 1998
Oct 1998
-5.55 14 Feb 2001
Mar 2002

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Sheltered Sam 50/50 Global Market Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-25.90 29 Nov 2007
Mar 2010
-23.10 35* Jan 2022
In progress
-15.17 27 Jan 2022
Mar 2024
-13.42 14 Sep 1987
Oct 1988
-11.63 8 Jan 2020
Aug 2020
-11.04 10 Sep 1987
Jun 1988
-9.84 6 Aug 1990
Jan 1991
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-8.34 5 Feb 2020
Jun 2020
-7.88 6 Aug 1990
Jan 1991
-7.84 7 Jan 1990
Jul 1990
-7.79 12 Jun 2002
May 2003
-6.85 16 Feb 1994
May 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 November 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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Sheltered Sam 50/50 Global Market Portfolio
Year Return Drawdown Return Drawdown
2024
 11.05% -2.60% 9.28% -3.51%
2023
 9.63% -6.01% 12.57% -8.81%
2022
 -10.08% -15.17% -19.25% -23.10%
2021
 12.55% -2.18% 7.49% -2.99%
2020
 7.04% -11.63% 12.06% -8.34%
2019
 15.24% -2.72% 19.24% -1.07%
2018
 -4.12% -6.63% -4.76% -6.00%
2017
 9.70% 0.00% 13.93% 0.00%
2016
 8.66% -1.99% 6.49% -4.41%
2015
 -1.51% -5.30% -1.54% -6.05%
2014
 5.32% -2.47% 10.70% -2.47%
2013
 11.17% -2.24% 5.77% -5.32%
2012
 9.72% -3.50% 12.25% -2.32%
2011
 2.12% -8.99% 6.64% -3.80%
2010
 10.93% -6.18% 11.92% -3.33%
2009
 16.09% -12.02% 17.08% -12.90%
2008
 -16.49% -20.24% -12.93% -20.63%
2007
 5.90% -2.35% 7.60% -2.29%
2006
 12.64% -1.91% 12.00% -2.16%
2005
 6.50% -1.80% 7.92% -2.32%
2004
 11.37% -3.69% 11.74% -4.15%
2003
 20.88% -1.95% 19.38% -1.62%
2002
 -0.98% -7.79% -0.18% -5.20%
2001
 1.33% -5.55% -0.30% -6.28%
2000
 7.28% -2.16% 2.79% -3.32%
1999
 8.35% -2.52% 9.76% -2.51%
1998
 8.46% -8.55% 13.06% -5.62%
1997
 14.60% -2.41% 10.21% -3.97%
1996
 11.34% -2.06% 8.88% -1.37%
1995
 21.19% -0.68% 21.92% 0.00%
1994
 -1.95% -5.96% -3.16% -6.85%
1993
 17.86% -1.94% 20.70% -2.78%
1992
 8.64% -1.26% 4.18% -4.17%
1991
 23.09% -2.50% 25.49% -2.87%
1990
 -1.30% -7.88% -1.53% -9.84%
1989
 19.77% -0.79% 21.42% -0.61%
1988
 13.45% -1.64% 14.53% -2.19%
1987
 3.26% -13.42% 3.66% -11.04%
1986
 19.83% -3.33% 25.89% -4.02%
1985
 26.90% -1.21% 31.49% -1.25%