Bill Bernstein Sheltered Sam 50/50 vs Simplified Permanent Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
September 1994
7.66$
Final Capital
August 2024
7.02%
Yearly Return
7.82
Std Deviation
-28.23%
Max Drawdown
36 months
Recovery Period
Simplified Permanent Portfolio
1.00$
Initial Capital
September 1994
8.19$
Final Capital
August 2024
7.26%
Yearly Return
6.90
Std Deviation
-16.43%
Max Drawdown
27 months
Recovery Period
Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
January 1985
25.60$
Final Capital
August 2024
8.52%
Yearly Return
7.96
Std Deviation
-28.23%
Max Drawdown
36 months
Recovery Period
Simplified Permanent Portfolio
1.00$
Initial Capital
January 1985
20.77$
Final Capital
August 2024
7.95%
Yearly Return
6.80
Std Deviation
-16.43%
Max Drawdown
27 months
Recovery Period

The Bill Bernstein Sheltered Sam 50/50 Portfolio obtained a 7.02% compound annual return, with a 7.82% standard deviation, in the last 30 Years.

The Simplified Permanent Portfolio obtained a 7.26% compound annual return, with a 6.90% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Sheltered Sam 50/50
Bill Bernstein 		8.20 1.47 7.46 13.32 6.29 5.23 7.02 8.52
Simplified Permanent Portfolio 11.16 1.76 10.75 16.58 5.80 5.46 7.26 7.95
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since September 1994, now would be worth 7.66$, with a total return of 665.86% (7.02% annualized).

Simplified Permanent Portfolio: an investment of 1$, since September 1994, now would be worth 8.19$, with a total return of 718.64% (7.26% annualized).


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Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since January 1985, now would be worth 25.60$, with a total return of 2459.57% (8.52% annualized).

Simplified Permanent Portfolio: an investment of 1$, since January 1985, now would be worth 20.77$, with a total return of 1976.65% (7.95% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Sheltered Sam 50/50 Simplified Permanent Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 48.5% 25%
Fixed Income 50% 50%
Commodities 1.5% 25%
PERFORMANCES
Annualized Return (%) 13.32 16.58
Infl. Adjusted Return (%) 10.67 13.85
DRAWDOWN
Deepest Drawdown Depth (%) -4.36 -4.00
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -4.36 -4.00
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 1
RISK INDICATORS
Standard Deviation (%) 8.54 8.55
Sharpe Ratio 0.94 1.32
Sortino Ratio 1.28 1.73
Ulcer Index 1.60 1.62
Ratio: Return / Standard Deviation 1.56 1.94
Ratio: Return / Deepest Drawdown 3.06 4.14
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Sheltered Sam 50/50 Simplified Permanent Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 48.5% 25%
Fixed Income 50% 50%
Commodities 1.5% 25%
PERFORMANCES
Annualized Return (%) 6.29 5.80
Infl. Adjusted Return (%) 2.07 1.60
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -16.43
Start to Recovery (months) 27 27
Longest Drawdown Depth (%) -15.17 -16.43
Start to Recovery (months) 27 27
Longest Negative Period (months) 32 40
RISK INDICATORS
Standard Deviation (%) 9.68 8.70
Sharpe Ratio 0.43 0.42
Sortino Ratio 0.56 0.59
Ulcer Index 5.35 5.95
Ratio: Return / Standard Deviation 0.65 0.67
Ratio: Return / Deepest Drawdown 0.41 0.35
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Sheltered Sam 50/50 Simplified Permanent Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 48.5% 25%
Fixed Income 50% 50%
Commodities 1.5% 25%
PERFORMANCES
Annualized Return (%) 5.23 5.46
Infl. Adjusted Return (%) 2.34 2.57
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -16.43
Start to Recovery (months) 27 27
Longest Drawdown Depth (%) -15.17 -16.43
Start to Recovery (months) 27 27
Longest Negative Period (months) 32 40
RISK INDICATORS
Standard Deviation (%) 7.99 7.30
Sharpe Ratio 0.47 0.55
Sortino Ratio 0.63 0.78
Ulcer Index 4.05 4.55
Ratio: Return / Standard Deviation 0.65 0.75
Ratio: Return / Deepest Drawdown 0.34 0.33
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Sheltered Sam 50/50 Simplified Permanent Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 48.5% 25%
Fixed Income 50% 50%
Commodities 1.5% 25%
PERFORMANCES
Annualized Return (%) 7.02 7.26
Infl. Adjusted Return (%) 4.40 4.63
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -16.43
Start to Recovery (months) 36 27
Longest Drawdown Depth (%) -28.23 -16.43
Start to Recovery (months) 36 27
Longest Negative Period (months) 53 40
RISK INDICATORS
Standard Deviation (%) 7.82 6.90
Sharpe Ratio 0.60 0.72
Sortino Ratio 0.79 1.00
Ulcer Index 4.65 3.15
Ratio: Return / Standard Deviation 0.90 1.05
Ratio: Return / Deepest Drawdown 0.25 0.44
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Sheltered Sam 50/50 Simplified Permanent Portfolio
Author Bill Bernstein
ASSET ALLOCATION
Stocks 48.5% 25%
Fixed Income 50% 50%
Commodities 1.5% 25%
PERFORMANCES
Annualized Return (%) 8.52 7.95
Infl. Adjusted Return (%) 5.58 5.02
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -16.43
Start to Recovery (months) 36 27
Longest Drawdown Depth (%) -28.23 -16.43
Start to Recovery (months) 36 27
Longest Negative Period (months) 53 40
RISK INDICATORS
Standard Deviation (%) 7.96 6.80
Sharpe Ratio 0.68 0.71
Sortino Ratio 0.88 0.99
Ulcer Index 4.31 2.92
Ratio: Return / Standard Deviation 1.07 1.17
Ratio: Return / Deepest Drawdown 0.30 0.48
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)

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Sheltered Sam 50/50 Simplified Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-16.43 27 Jan 2022
Mar 2024
-15.17 27 Jan 2022
Mar 2024
-13.28 18 Mar 2008
Aug 2009
-11.63 8 Jan 2020
Aug 2020
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-7.79 12 Jun 2002
May 2003
-6.69 11 Apr 2013
Feb 2014
-6.63 8 Sep 2018
Apr 2019
-6.23 12 Aug 2016
Jul 2017
-5.55 14 Feb 2001
Mar 2002
-5.30 13 Jun 2015
Jun 2016
-5.27 14 Feb 2015
Mar 2016
-5.09 9 Feb 1999
Oct 1999

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Sheltered Sam 50/50 Simplified Permanent Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-16.43 27 Jan 2022
Mar 2024
-15.17 27 Jan 2022
Mar 2024
-13.42 14 Sep 1987
Oct 1988
-13.28 18 Mar 2008
Aug 2009
-11.63 8 Jan 2020
Aug 2020
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-7.88 6 Aug 1990
Jan 1991
-7.79 12 Jun 2002
May 2003
-6.69 11 Apr 2013
Feb 2014
-6.63 8 Sep 2018
Apr 2019
-6.23 12 Aug 2016
Jul 2017
-5.96 15 Feb 1994
Apr 1995
-5.83 15 Aug 1987
Oct 1988

Rolling Returns

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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 - 31 August 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 Simplified Permanent Portfolio
Year Return Drawdown Return Drawdown
2024
 8.20% -2.60% 11.16% -1.86%
2023
 9.63% -6.01% 11.51% -5.16%
2022
 -10.08% -15.17% -12.67% -16.43%
2021
 12.55% -2.18% 3.72% -3.81%
2020
 7.04% -11.63% 16.46% -3.11%
2019
 15.24% -2.72% 16.15% -0.99%
2018
 -4.12% -6.63% -1.29% -3.68%
2017
 9.70% 0.00% 9.78% -0.96%
2016
 8.66% -1.99% 5.72% -6.23%
2015
 -1.51% -5.30% -1.82% -5.27%
2014
 5.32% -2.47% 7.12% -2.59%
2013
 11.17% -2.24% -1.76% -6.69%
2012
 9.72% -3.50% 7.59% -1.89%
2011
 2.12% -8.99% 10.45% -3.69%
2010
 10.93% -6.18% 16.36% -0.02%
2009
 16.09% -12.02% 9.94% -4.96%
2008
 -16.49% -20.24% 0.94% -13.28%
2007
 5.90% -2.35% 14.14% -1.50%
2006
 12.64% -1.91% 10.82% -2.47%
2005
 6.50% -1.80% 7.34% -1.60%
2004
 11.37% -3.69% 6.42% -4.79%
2003
 20.88% -1.95% 15.31% -2.22%
2002
 -0.98% -7.79% 9.00% -2.60%
2001
 1.33% -5.55% 0.15% -3.21%
2000
 7.28% -2.16% 4.63% -2.98%
1999
 8.35% -2.52% 2.25% -5.09%
1998
 8.46% -8.55% 12.93% -4.63%
1997
 14.60% -2.41% 8.38% -2.87%
1996
 11.34% -2.06% 4.09% -3.64%
1995
 21.19% -0.68% 21.97% 0.00%
1994
 -1.95% -5.96% -4.18% -5.67%
1993
 17.86% -1.94% 13.56% -1.61%
1992
 8.64% -1.26% 4.46% -3.11%
1991
 23.09% -2.50% 15.41% -1.06%
1990
 -1.30% -7.88% 1.55% -5.66%
1989
 19.77% -0.79% 15.24% -1.52%
1988
 13.45% -1.64% 3.97% -2.03%
1987
 3.26% -13.42% 5.46% -5.83%
1986
 19.83% -3.33% 19.06% -1.00%
1985
 26.90% -1.21% 24.24% -2.66%