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

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
October 1994
9.20$
Final Capital
September 2024
7.68%
Yearly Return
9.23
Std Deviation
-34.12%
Max Drawdown
38 months
Recovery Period
Stocks/Bonds 60/40 Portfolio
1.00$
Initial Capital
October 1994
11.94$
Final Capital
September 2024
8.62%
Yearly Return
9.62
Std Deviation
-30.55%
Max Drawdown
36 months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
January 1985
32.00$
Final Capital
September 2024
9.11%
Yearly Return
9.29
Std Deviation
-34.12%
Max Drawdown
38 months
Recovery Period
Stocks/Bonds 60/40 Portfolio
1.00$
Initial Capital
January 1985
36.80$
Final Capital
September 2024
9.49%
Yearly Return
9.79
Std Deviation
-30.55%
Max Drawdown
36 months
Recovery Period

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.68% compound annual return, with a 9.23% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Portfolio obtained a 8.62% compound annual return, with a 9.62% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Sheltered Sam 60/40
Bill Bernstein 		10.96 1.62 7.31 20.40 7.24 6.42 7.68 9.11
Stocks/Bonds 60/40 14.19 1.77 8.04 25.73 9.38 8.51 8.62 9.49
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since October 1994, now would be worth 9.20$, with a total return of 819.51% (7.68% annualized).

Stocks/Bonds 60/40 Portfolio: an investment of 1$, since October 1994, now would be worth 11.94$, with a total return of 1094.34% (8.62% annualized).


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Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 32.00$, with a total return of 3100.14% (9.11% annualized).

Stocks/Bonds 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 36.80$, with a total return of 3580.06% (9.49% annualized).


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Metrics as of Sep 30, 2024

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

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 20.40 25.73
Infl. Adjusted Return (%) 17.79 22.99
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -3.62
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.92 -3.62
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.59 9.65
Sharpe Ratio 1.75 2.11
Sortino Ratio 2.37 2.86
Ulcer Index 1.00 1.18
Ratio: Return / Standard Deviation 2.38 2.67
Ratio: Return / Deepest Drawdown 6.98 7.11
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.24 9.38
Infl. Adjusted Return (%) 2.97 5.03
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 11.25 12.56
Sharpe Ratio 0.45 0.57
Sortino Ratio 0.59 0.75
Ulcer Index 5.86 7.86
Ratio: Return / Standard Deviation 0.64 0.75
Ratio: Return / Deepest Drawdown 0.44 0.45
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.42 8.51
Infl. Adjusted Return (%) 3.48 5.52
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 9.29 10.25
Sharpe Ratio 0.53 0.69
Sortino Ratio 0.71 0.91
Ulcer Index 4.47 5.78
Ratio: Return / Standard Deviation 0.69 0.83
Ratio: Return / Deepest Drawdown 0.39 0.41
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.68 8.62
Infl. Adjusted Return (%) 5.04 5.96
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -30.55
Start to Recovery (months) 38 36
Longest Drawdown Depth (%) -34.12 -21.56
Start to Recovery (months) 38 41
Longest Negative Period (months) 62 110
RISK INDICATORS
Standard Deviation (%) 9.23 9.62
Sharpe Ratio 0.58 0.66
Sortino Ratio 0.76 0.86
Ulcer Index 5.84 6.90
Ratio: Return / Standard Deviation 0.83 0.90
Ratio: Return / Deepest Drawdown 0.22 0.28
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 9.11 9.49
Infl. Adjusted Return (%) 6.16 6.53
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -30.55
Start to Recovery (months) 38 36
Longest Drawdown Depth (%) -34.12 -21.56
Start to Recovery (months) 38 41
Longest Negative Period (months) 62 110
RISK INDICATORS
Standard Deviation (%) 9.29 9.79
Sharpe Ratio 0.64 0.65
Sortino Ratio 0.83 0.85
Ulcer Index 5.39 6.36
Ratio: Return / Standard Deviation 0.98 0.97
Ratio: Return / Deepest Drawdown 0.27 0.31
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

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

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Sheltered Sam 60/40 Stocks/Bonds 60/40
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-30.55 36 Nov 2007
Oct 2010
-21.56 41 Sep 2000
Jan 2004
-20.69 26 Jan 2022
Feb 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-12.29 6 Feb 2020
Jul 2020
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-10.18 5 Jul 1998
Nov 1998
-9.00 9 May 2011
Jan 2012
-8.38 7 Sep 2018
Mar 2019
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019

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Sheltered Sam 60/40 Stocks/Bonds 60/40
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-30.55 36 Nov 2007
Oct 2010
-21.56 41 Sep 2000
Jan 2004
-20.69 26 Jan 2022
Feb 2024
-19.17 17 Sep 1987
Jan 1989
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-14.38 11 Jan 2020
Nov 2020
-12.29 6 Feb 2020
Jul 2020
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-10.18 5 Jul 1998
Nov 1998
-9.53 7 Aug 1990
Feb 1991
-9.00 9 May 2011
Jan 2012

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 September 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 60/40
Year Return Drawdown Return Drawdown
2024
 10.96% -2.92% 14.19% -3.62%
2023
 10.82% -6.95% 17.79% -7.48%
2022
 -10.58% -16.48% -16.95% -20.69%
2021
 14.69% -2.50% 14.66% -3.24%
2020
 7.21% -14.38% 15.70% -12.29%
2019
 17.21% -3.44% 21.94% -3.41%
2018
 -5.00% -7.94% -3.17% -8.38%
2017
 11.37% 0.00% 14.15% 0.00%
2016
 9.92% -2.59% 8.71% -2.95%
2015
 -1.72% -6.23% 0.44% -5.24%
2014
 6.04% -2.73% 9.85% -1.50%
2013
 14.05% -2.24% 19.23% -2.27%
2012
 11.12% -4.47% 11.13% -3.54%
2011
 1.31% -11.25% 3.75% -9.00%
2010
 12.35% -7.59% 12.93% -7.13%
2009
 18.56% -14.17% 18.79% -11.70%
2008
 -20.58% -24.12% -19.44% -22.19%
2007
 5.25% -3.35% 5.99% -3.07%
2006
 14.67% -2.30% 11.12% -2.03%
2005
 7.42% -2.17% 4.74% -2.34%
2004
 12.90% -3.90% 9.37% -2.68%
2003
 24.15% -2.61% 20.04% -1.99%
2002
 -3.47% -10.65% -8.98% -13.74%
2001
 0.06% -7.95% -3.21% -11.68%
2000
 6.26% -3.25% -1.79% -8.27%
1999
 10.16% -2.69% 13.98% -3.76%
1998
 8.53% -10.89% 17.39% -10.18%
1997
 15.72% -2.73% 22.37% -3.12%
1996
 12.97% -2.50% 14.01% -3.33%
1995
 22.13% -1.03% 28.74% -0.20%
1994
 -1.78% -6.11% -1.16% -6.47%
1993
 19.41% -2.18% 10.25% -1.36%
1992
 8.86% -1.38% 8.32% -1.65%
1991
 24.84% -2.94% 25.53% -2.86%
1990
 -3.41% -9.53% -0.19% -8.52%
1989
 21.08% -1.37% 22.33% -1.36%
1988
 14.93% -1.85% 13.33% -2.24%
1987
 3.35% -16.09% 2.18% -19.17%
1986
 21.08% -3.67% 14.79% -5.58%
1985
 28.54% -1.57% 27.66% -2.15%