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

Last Update: 29 February 2024

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.28% compound annual return, with a 9.24% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 9.77% compound annual return, with a 9.60% standard deviation, in the last 30 Years.

Summary

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Bill Bernstein Sheltered Sam 60/40 Portfolio Stocks/Bonds 60/40 Momentum Portfolio
Portfolio Risk High High
Asset Allocation Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
30 Years Stats Return +7.28% +9.77%
Std Dev 9.24% 9.60%
Max Drawdown -34.12% -32.52%
All time Stats
(Since Jan 1985)
Return +8.99% +10.87%
Std Dev 9.32% 9.88%
Max Drawdown -34.12% -32.52%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
Bill Bernstein Sheltered Sam 60/40 Portfolio +1.65 +6.11 +9.32 +6.10 +5.60 +7.28 +8.99
Stocks/Bonds 60/40 Momentum Portfolio +5.60 +15.48 +20.57 +7.54 +8.28 +9.77 +10.87
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since March 1994, now would be worth 8.24$, with a total return of 723.50% (7.28% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since March 1994, now would be worth 16.39$, with a total return of 1539.44% (9.77% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 29.10$, with a total return of 2809.93% (8.99% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 56.93$, with a total return of 5592.59% (10.87% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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Bill Bernstein Sheltered Sam 60/40 Portfolio
Stocks/Bonds 60/40 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-34.12% Nov 2007 Feb 2009 (16) Dec 2010 (38) 14.61
-32.52% Nov 2007 Feb 2009 (16) Feb 2011 (40) 15.23
-24.21% Nov 2021 Sep 2022 (11) In progress (28) 16.52
-21.14% Sep 2000 Sep 2002 (25) Jan 2004 (41) 12.11
-16.48% Jan 2022 Sep 2022 (9) In progress (26) 7.78
-14.38% Jan 2020 Mar 2020 (3) Nov 2020 (11) 6.07
-11.25% May 2011 Sep 2011 (5) Feb 2012 (10) 4.82
-10.89% May 1998 Aug 1998 (4) Dec 1998 (8) 4.73
-10.73% Feb 2020 Mar 2020 (2) Jun 2020 (5) 4.89
-10.65% Jun 2002 Sep 2002 (4) Jun 2003 (13) 7.06
-9.29% Oct 2018 Dec 2018 (3) Jun 2019 (9) 4.52
-7.95% Feb 2001 Sep 2001 (8) Mar 2002 (14) 3.70
-7.94% Sep 2018 Dec 2018 (4) Apr 2019 (8) 3.47
-7.14% May 2011 Sep 2011 (5) Jan 2012 (9) 2.68
-6.78% Aug 1998 Aug 1998 (1) Oct 1998 (3) 3.54
-6.29% Jun 2015 Jan 2016 (8) Jun 2016 (13) 3.49
-5.20% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.87
-4.61% Aug 2015 Sep 2015 (2) Mar 2016 (8) 2.30
-4.47% Apr 2012 May 2012 (2) Aug 2012 (5) 2.00
-4.24% Sep 1994 Nov 1994 (3) Mar 1995 (7) 2.26

Drawdown comparison chart since January 1985.

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Bill Bernstein Sheltered Sam 60/40 Portfolio
Stocks/Bonds 60/40 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-34.12% Nov 2007 Feb 2009 (16) Dec 2010 (38) 14.61
-32.52% Nov 2007 Feb 2009 (16) Feb 2011 (40) 15.23
-24.21% Nov 2021 Sep 2022 (11) In progress (28) 16.52
-21.14% Sep 2000 Sep 2002 (25) Jan 2004 (41) 12.11
-20.08% Sep 1987 Nov 1987 (3) May 1989 (21) 11.04
-16.48% Jan 2022 Sep 2022 (9) In progress (26) 7.78
-16.09% Sep 1987 Nov 1987 (3) Jan 1989 (17) 7.29
-14.38% Jan 2020 Mar 2020 (3) Nov 2020 (11) 6.07
-11.25% May 2011 Sep 2011 (5) Feb 2012 (10) 4.82
-10.89% May 1998 Aug 1998 (4) Dec 1998 (8) 4.73
-10.73% Feb 2020 Mar 2020 (2) Jun 2020 (5) 4.89
-10.65% Jun 2002 Sep 2002 (4) Jun 2003 (13) 7.06
-9.53% Aug 1990 Sep 1990 (2) Feb 1991 (7) 5.62
-9.29% Oct 2018 Dec 2018 (3) Jun 2019 (9) 4.52
-7.95% Feb 2001 Sep 2001 (8) Mar 2002 (14) 3.70
-7.94% Sep 2018 Dec 2018 (4) Apr 2019 (8) 3.47
-7.66% Aug 1990 Sep 1990 (2) Jan 1991 (6) 4.58
-7.14% May 2011 Sep 2011 (5) Jan 2012 (9) 2.68
-6.78% Aug 1998 Aug 1998 (1) Oct 1998 (3) 3.54
-6.35% Feb 1994 Jun 1994 (5) Feb 1995 (13) 3.96

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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Year Return Drawdown Return Drawdown
2024
+0.90%
-0.74%
+9.07%
0.00%
2023
+10.82%
-6.95%
+7.66%
-5.48%
2022
-10.58%
-16.48%
-16.20%
-21.97%
2021
+14.69%
-2.50%
+7.27%
-2.88%
2020
+7.21%
-14.38%
+20.99%
-10.73%
2019
+17.21%
-3.44%
+19.89%
-0.92%
2018
-5.00%
-7.94%
-1.04%
-9.29%
2017
+11.37%
0.00%
+23.93%
0.00%
2016
+9.92%
-2.59%
+4.01%
-3.57%
2015
-1.72%
-6.23%
+5.58%
-4.61%
2014
+6.04%
-2.73%
+11.10%
-2.40%
2013
+14.05%
-2.24%
+19.91%
-2.13%
2012
+11.12%
-4.47%
+10.22%
-3.51%
2011
+1.31%
-11.25%
+6.73%
-7.14%
2010
+12.35%
-7.59%
+13.29%
-6.43%
2009
+18.56%
-14.17%
+11.92%
-12.79%
2008
-20.58%
-24.12%
-21.83%
-24.08%
2007
+5.25%
-3.35%
+13.35%
-1.41%
2006
+14.67%
-2.30%
+8.04%
-2.23%
2005
+7.42%
-2.17%
+12.44%
-0.99%
2004
+12.90%
-3.90%
+11.72%
-2.06%
2003
+24.15%
-2.61%
+17.18%
-1.95%
2002
-3.47%
-10.65%
-4.07%
-11.25%
2001
+0.06%
-7.95%
-7.04%
-13.57%
2000
+6.26%
-3.25%
-1.21%
-6.50%
1999
+10.16%
-2.69%
+23.95%
-1.65%
1998
+8.53%
-10.89%
+32.69%
-6.78%
1997
+15.72%
-2.73%
+25.89%
-3.48%
1996
+12.97%
-2.50%
+19.33%
-2.32%
1995
+22.13%
-1.03%
+32.67%
0.00%
1994
-1.78%
-6.11%
-1.72%
-6.35%
1993
+19.41%
-2.18%
+11.81%
-0.99%
1992
+8.86%
-1.38%
+5.45%
-2.52%
1991
+24.84%
-2.94%
+28.24%
-2.57%
1990
-3.41%
-9.53%
+4.36%
-7.66%
1989
+21.08%
-1.37%
+31.11%
-1.20%
1988
+14.93%
-1.85%
+7.18%
-3.36%
1987
+3.35%
-16.09%
+2.02%
-20.08%
1986
+21.08%
-3.67%
+19.66%
-5.55%
1985
+28.54%
-1.57%
+28.33%
-1.52%