Bill Bernstein Sheltered Sam 60/40 vs Tyler Golden Butterfly 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 60/40 Portfolio
1.00$
Initial Capital
December 1994
9.54$
Final Capital
November 2024
7.81%
Yearly Return
9.23
Std Deviation
-34.12%
Max Drawdown
38months
Recovery Period
Tyler Golden Butterfly Portfolio
1.00$
Initial Capital
December 1994
10.55$
Final Capital
November 2024
8.17%
Yearly Return
7.79
Std Deviation
-17.79%
Max Drawdown
30months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
January 1985
32.46$
Final Capital
November 2024
9.11%
Yearly Return
9.29
Std Deviation
-34.12%
Max Drawdown
38months
Recovery Period
Tyler Golden Butterfly Portfolio
1.00$
Initial Capital
January 1985
28.82$
Final Capital
November 2024
8.79%
Yearly Return
7.65
Std Deviation
-17.79%
Max Drawdown
30months
Recovery Period

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.81% compound annual return, with a 9.23% standard deviation, in the last 30 Years.

The Tyler Golden Butterfly Portfolio obtained a 8.17% compound annual return, with a 7.79% 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 60/40
Bill Bernstein 		12.54 3.19 8.88 17.89 6.93 6.25 7.81 9.11
Golden Butterfly
Tyler 		14.65 3.11 11.56 21.28 7.02 6.55 8.17 8.79
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since December 1994, now would be worth 9.54$, with a total return of 853.89% (7.81% annualized).

Tyler Golden Butterfly Portfolio: an investment of 1$, since December 1994, now would be worth 10.55$, with a total return of 955.37% (8.17% annualized).


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Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 32.46$, with a total return of 3145.74% (9.11% annualized).

Tyler Golden Butterfly Portfolio: an investment of 1$, since January 1985, now would be worth 28.82$, with a total return of 2782.29% (8.79% 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 60/40 Golden Butterfly
Author Bill Bernstein Tyler
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 40%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 17.89 21.28
Infl. Adjusted Return (%) 15.12 18.42
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -2.86
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.92 -1.54
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 4
RISK INDICATORS
Standard Deviation (%) 7.55 8.38
Sharpe Ratio 1.68 1.92
Sortino Ratio 2.17 2.63
Ulcer Index 0.96 0.93
Ratio: Return / Standard Deviation 2.37 2.54
Ratio: Return / Deepest Drawdown 6.12 7.43
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Sheltered Sam 60/40 Golden Butterfly
Author Bill Bernstein Tyler
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 40%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 6.93 7.02
Infl. Adjusted Return (%) 2.71 2.79
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -17.79
Start to Recovery (months) 27 30
Longest Drawdown Depth (%) -16.48 -17.79
Start to Recovery (months) 27 30
Longest Negative Period (months) 32 39
RISK INDICATORS
Standard Deviation (%) 11.34 10.43
Sharpe Ratio 0.41 0.45
Sortino Ratio 0.54 0.63
Ulcer Index 5.86 6.47
Ratio: Return / Standard Deviation 0.61 0.67
Ratio: Return / Deepest Drawdown 0.42 0.39
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Sheltered Sam 60/40 Golden Butterfly
Author Bill Bernstein Tyler
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 40%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 6.25 6.55
Infl. Adjusted Return (%) 3.25 3.54
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -17.79
Start to Recovery (months) 27 30
Longest Drawdown Depth (%) -16.48 -17.79
Start to Recovery (months) 27 30
Longest Negative Period (months) 32 39
RISK INDICATORS
Standard Deviation (%) 9.34 8.49
Sharpe Ratio 0.50 0.59
Sortino Ratio 0.67 0.82
Ulcer Index 4.47 4.89
Ratio: Return / Standard Deviation 0.67 0.77
Ratio: Return / Deepest Drawdown 0.38 0.37
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Sheltered Sam 60/40 Golden Butterfly
Author Bill Bernstein Tyler
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 40%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 7.81 8.17
Infl. Adjusted Return (%) 5.16 5.52
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -17.79
Start to Recovery (months) 38 30
Longest Drawdown Depth (%) -34.12 -17.79
Start to Recovery (months) 38 30
Longest Negative Period (months) 62 39
RISK INDICATORS
Standard Deviation (%) 9.23 7.79
Sharpe Ratio 0.60 0.75
Sortino Ratio 0.77 1.01
Ulcer Index 5.84 3.58
Ratio: Return / Standard Deviation 0.85 1.05
Ratio: Return / Deepest Drawdown 0.23 0.46
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Sheltered Sam 60/40 Golden Butterfly
Author Bill Bernstein Tyler
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 40%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 9.11 8.79
Infl. Adjusted Return (%) 6.16 5.84
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -17.79
Start to Recovery (months) 38 30
Longest Drawdown Depth (%) -34.12 -17.79
Start to Recovery (months) 38 30
Longest Negative Period (months) 62 39
RISK INDICATORS
Standard Deviation (%) 9.29 7.65
Sharpe Ratio 0.64 0.74
Sortino Ratio 0.83 0.99
Ulcer Index 5.38 3.37
Ratio: Return / Standard Deviation 0.98 1.15
Ratio: Return / Deepest Drawdown 0.27 0.49
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 60/40 Golden Butterfly
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-17.79 30 Jan 2022
Jun 2024
-16.48 27 Jan 2022
Mar 2024
-14.81 19 Mar 2008
Sep 2009
-14.38 11 Jan 2020
Nov 2020
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-9.44 8 May 1998
Dec 1998
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.16 5 Feb 2020
Jun 2020
-6.86 12 Jun 2002
May 2003
-6.37 8 Sep 2018
Apr 2019
-6.29 13 Jun 2015
Jun 2016

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Sheltered Sam 60/40 Golden Butterfly
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-17.79 30 Jan 2022
Jun 2024
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-14.81 19 Mar 2008
Sep 2009
-14.38 11 Jan 2020
Nov 2020
-11.25 10 May 2011
Feb 2012
-10.93 17 Sep 1987
Jan 1989
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-9.53 7 Aug 1990
Feb 1991
-9.44 8 May 1998
Dec 1998
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.94 14 Jan 1990
Feb 1991

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 60/40 Golden Butterfly
Year Return Drawdown Return Drawdown
2024
 12.54% -2.92% 14.65% -2.86%
2023
 10.82% -6.95% 11.98% -8.08%
2022
 -10.58% -16.48% -13.35% -17.79%
2021
 14.69% -2.50% 9.35% -2.45%
2020
 7.21% -14.38% 13.93% -7.16%
2019
 17.21% -3.44% 18.03% -1.83%
2018
 -5.00% -7.94% -4.03% -6.37%
2017
 11.37% 0.00% 10.96% -0.32%
2016
 9.92% -2.59% 10.82% -3.36%
2015
 -1.72% -6.23% -3.71% -6.25%
2014
 6.04% -2.73% 9.13% -3.27%
2013
 14.05% -2.24% 6.26% -3.84%
2012
 11.12% -4.47% 8.84% -2.43%
2011
 1.31% -11.25% 8.86% -3.00%
2010
 12.35% -7.59% 16.54% -2.77%
2009
 18.56% -14.17% 10.77% -10.16%
2008
 -20.58% -24.12% -4.18% -13.53%
2007
 5.25% -3.35% 9.58% -2.06%
2006
 14.67% -2.30% 12.44% -2.71%
2005
 7.42% -2.17% 8.04% -1.76%
2004
 12.90% -3.90% 9.88% -4.36%
2003
 24.15% -2.61% 18.85% -2.72%
2002
 -3.47% -10.65% 3.15% -6.86%
2001
 0.06% -7.95% 2.71% -4.99%
2000
 6.26% -3.25% 6.88% -3.64%
1999
 10.16% -2.69% 4.24% -3.38%
1998
 8.53% -10.89% 8.03% -9.44%
1997
 15.72% -2.73% 13.09% -2.50%
1996
 12.97% -2.50% 8.18% -2.60%
1995
 22.13% -1.03% 21.86% -0.40%
1994
 -1.78% -6.11% -1.98% -4.64%
1993
 19.41% -2.18% 14.50% -1.37%
1992
 8.86% -1.38% 9.15% -1.58%
1991
 24.84% -2.94% 19.14% -1.63%
1990
 -3.41% -9.53% -2.51% -7.94%
1989
 21.08% -1.37% 14.78% -0.89%
1988
 14.93% -1.85% 9.18% -1.64%
1987
 3.35% -16.09% 5.10% -10.93%
1986
 21.08% -3.67% 17.75% -2.42%
1985
 28.54% -1.57% 25.09% -1.93%