Bill Bernstein Sheltered Sam 60/40 vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Simulation Settings
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
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
December 1994
11.68$
Final Capital
November 2024
8.54%
Yearly Return
7.05
Std Deviation
-21.11%
Max Drawdown
35months
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
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
January 1985
35.82$
Final Capital
November 2024
9.38%
Yearly Return
7.35
Std Deviation
-21.11%
Max Drawdown
35months
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 Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.54% compound annual return, with a 7.05% 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
Stocks/Bonds 40/60 Momentum 17.30 3.77 9.89 22.04 5.41 6.47 8.54 9.38
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).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 11.68$, with a total return of 1068.06% (8.54% 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).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 35.82$, with a total return of 3481.81% (9.38% 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 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 17.89 22.04
Infl. Adjusted Return (%) 14.76 18.79
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -3.77
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.92 -3.77
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 7.55 7.60
Sharpe Ratio 1.68 2.21
Sortino Ratio 2.17 2.61
Ulcer Index 0.96 1.13
Ratio: Return / Standard Deviation 2.37 2.90
Ratio: Return / Deepest Drawdown 6.12 5.85
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.93 5.41
Infl. Adjusted Return (%) 2.64 1.18
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Negative Period (months) 32 46
RISK INDICATORS
Standard Deviation (%) 11.34 10.19
Sharpe Ratio 0.41 0.31
Sortino Ratio 0.54 0.41
Ulcer Index 5.86 10.18
Ratio: Return / Standard Deviation 0.61 0.53
Ratio: Return / Deepest Drawdown 0.42 0.26
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.25 6.47
Infl. Adjusted Return (%) 3.22 3.44
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Negative Period (months) 32 46
RISK INDICATORS
Standard Deviation (%) 9.34 8.09
Sharpe Ratio 0.50 0.61
Sortino Ratio 0.67 0.80
Ulcer Index 4.47 7.31
Ratio: Return / Standard Deviation 0.67 0.80
Ratio: Return / Deepest Drawdown 0.38 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.81 8.54
Infl. Adjusted Return (%) 5.15 5.87
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Negative Period (months) 62 46
RISK INDICATORS
Standard Deviation (%) 9.23 7.05
Sharpe Ratio 0.60 0.89
Sortino Ratio 0.77 1.16
Ulcer Index 5.84 5.25
Ratio: Return / Standard Deviation 0.85 1.21
Ratio: Return / Deepest Drawdown 0.23 0.40
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 9.11 9.38
Infl. Adjusted Return (%) 6.15 6.41
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Negative Period (months) 62 46
RISK INDICATORS
Standard Deviation (%) 9.29 7.35
Sharpe Ratio 0.64 0.85
Sortino Ratio 0.83 1.12
Ulcer Index 5.38 4.83
Ratio: Return / Standard Deviation 0.98 1.28
Ratio: Return / Deepest Drawdown 0.27 0.44
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 Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-16.48 27 Jan 2022
Mar 2024
-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
-8.48 28 Feb 2001
May 2003
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.10 4 Feb 2020
May 2020
-6.29 13 Jun 2015
Jun 2016
-5.89 6 Oct 2018
Mar 2019
-4.47 5 Apr 2012
Aug 2012

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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-14.38 11 Jan 2020
Nov 2020
-13.77 19 Sep 1987
Mar 1989
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-9.53 7 Aug 1990
Feb 1991
-8.48 28 Feb 2001
May 2003
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.10 4 Feb 2020
May 2020

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 Stocks/Bonds 40/60 Momentum
Year Return Drawdown Return Drawdown
2024
 12.54% -2.92% 17.30% -3.77%
2023
 10.82% -6.95% 6.90% -5.19%
2022
 -10.58% -16.48% -15.17% -19.48%
2021
 14.69% -2.50% 4.23% -2.38%
2020
 7.21% -14.38% 16.57% -7.10%
2019
 17.21% -3.44% 16.20% -0.81%
2018
 -5.00% -7.94% -0.73% -5.89%
2017
 11.37% 0.00% 17.14% 0.00%
2016
 9.92% -2.59% 3.51% -3.61%
2015
 -1.72% -6.23% 3.91% -2.95%
2014
 6.04% -2.73% 9.34% -1.49%
2013
 14.05% -2.24% 12.57% -1.74%
2012
 11.12% -4.47% 7.87% -2.05%
2011
 1.31% -11.25% 7.13% -3.62%
2010
 12.35% -7.59% 10.93% -3.48%
2009
 18.56% -14.17% 9.16% -9.41%
2008
 -20.58% -24.12% -12.27% -15.80%
2007
 5.25% -3.35% 11.21% -0.82%
2006
 14.67% -2.30% 6.78% -1.50%
2005
 7.42% -2.17% 9.09% -0.93%
2004
 12.90% -3.90% 9.22% -2.12%
2003
 24.15% -2.61% 12.78% -1.27%
2002
 -3.47% -10.65% 0.04% -5.36%
2001
 0.06% -7.95% -1.88% -6.89%
2000
 6.26% -3.25% 2.99% -3.33%
1999
 10.16% -2.69% 15.71% -1.69%
1998
 8.53% -10.89% 24.65% -4.13%
1997
 15.72% -2.73% 20.41% -2.69%
1996
 12.97% -2.50% 14.08% -1.52%
1995
 22.13% -1.03% 27.84% 0.00%
1994
 -1.78% -6.11% -2.03% -5.91%
1993
 19.41% -2.18% 11.10% -0.87%
1992
 8.86% -1.38% 6.01% -2.11%
1991
 24.84% -2.94% 23.91% -1.79%
1990
 -3.41% -9.53% 5.79% -5.29%
1989
 21.08% -1.37% 25.29% -1.01%
1988
 14.93% -1.85% 7.24% -2.95%
1987
 3.35% -16.09% 1.86% -13.77%
1986
 21.08% -3.67% 18.14% -4.37%
1985
 28.54% -1.57% 26.30% -0.74%