Developed World ex-US 40/60 Momentum vs Bill Bernstein Sheltered Sam 50/50 Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
(Change Settings)
The minimum date range must be at least 12 months. 'Date To' cannot be beyond September 2024.
Reset settings
Close
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.05%
Yearly Return
6.91
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
October 2014
1.73$
Final Capital
September 2024
5.65%
Yearly Return
7.94
Std Deviation
-15.17%
Max Drawdown
27 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.20$
Final Capital
September 2024
5.33%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
August 2009
2.68$
Final Capital
September 2024
6.71%
Yearly Return
7.73
Std Deviation
-15.17%
Max Drawdown
27 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 4.05% compound annual return, with a 6.91% standard deviation, in the last 10 Years.

The Bill Bernstein Sheltered Sam 50/50 Portfolio obtained a 5.65% compound annual return, with a 7.94% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 September 2024 (~15 years)
Swipe left to see all data
Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 9.76 0.86 3.79 18.55 3.75 4.05 5.33
Sheltered Sam 50/50
Bill Bernstein 		9.86 1.53 6.81 18.27 6.33 5.65 6.71
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 48.78% (4.05% annualized).

Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since October 2014, now would be worth 1.73$, with a total return of 73.30% (5.65% annualized).


Loading data
Please wait
Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 119.69% (5.33% annualized).

Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since August 2009, now would be worth 2.68$, with a total return of 167.73% (6.71% annualized).


Loading data
Please wait

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 August 2009 - 30 September 2024 (~15 years)
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 48.5%
Fixed Income 60% 50%
Commodities 0% 1.5%
PERFORMANCES
Annualized Return (%) 18.55 18.27
Infl. Adjusted Return (%) 15.76 15.49
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.60
Start to Recovery (months) 4 2
Longest Drawdown Depth (%) -2.55 -1.69
Start to Recovery (months) 4 2
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 6.69 7.57
Sharpe Ratio 1.97 1.71
Sortino Ratio 2.73 2.32
Ulcer Index 0.75 0.87
Ratio: Return / Standard Deviation 2.77 2.41
Ratio: Return / Deepest Drawdown 7.27 7.02
Metrics calculated over the period 1 October 2023 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 48.5%
Fixed Income 60% 50%
Commodities 0% 1.5%
PERFORMANCES
Annualized Return (%) 3.75 6.33
Infl. Adjusted Return (%) -0.41 2.07
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.17
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -15.17
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 32
RISK INDICATORS
Standard Deviation (%) 8.62 9.69
Sharpe Ratio 0.18 0.43
Sortino Ratio 0.24 0.56
Ulcer Index 7.52 5.35
Ratio: Return / Standard Deviation 0.44 0.65
Ratio: Return / Deepest Drawdown 0.19 0.42
Metrics calculated over the period 1 October 2019 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 48.5%
Fixed Income 60% 50%
Commodities 0% 1.5%
PERFORMANCES
Annualized Return (%) 4.05 5.65
Infl. Adjusted Return (%) 1.16 2.72
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.17
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -15.17
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.91 7.94
Sharpe Ratio 0.37 0.52
Sortino Ratio 0.49 0.70
Ulcer Index 5.54 4.04
Ratio: Return / Standard Deviation 0.59 0.71
Ratio: Return / Deepest Drawdown 0.21 0.37
Metrics calculated over the period 1 October 2014 - 30 September 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 48.5%
Fixed Income 60% 50%
Commodities 0% 1.5%
PERFORMANCES
Annualized Return (%) 5.33 6.71
Infl. Adjusted Return (%) 2.71 4.05
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -15.17
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -15.17
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.93 7.73
Sharpe Ratio 0.63 0.74
Sortino Ratio 0.83 0.99
Ulcer Index 4.72 3.50
Ratio: Return / Standard Deviation 0.77 0.87
Ratio: Return / Deepest Drawdown 0.27 0.44
Metrics calculated over the period 1 August 2009 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.17 27 Jan 2022
Mar 2024
-11.63 8 Jan 2020
Aug 2020
-7.72 5 Feb 2020
Jun 2020
-6.63 8 Sep 2018
Apr 2019
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.30 13 Jun 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-2.72 2 May 2019
Jun 2019
-2.63 6 Feb 2018
Jul 2018
-2.60 2 Apr 2024
May 2024
-2.36 3 Sep 2020
Nov 2020
-2.18 2 Sep 2021
Oct 2021
-1.62 5 Jan 2021
May 2021

Loading data
Please wait
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-15.17 27 Jan 2022
Mar 2024
-11.63 8 Jan 2020
Aug 2020
-8.99 10 May 2011
Feb 2012
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-6.63 8 Sep 2018
Apr 2019
-6.18 5 May 2010
Sep 2010
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.30 13 Jun 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.50 5 Apr 2012
Aug 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 August 2009 - 30 September 2024 (~15 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

Loading data
Please wait

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.
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 50/50
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 9.86% -2.60%
2023
 10.83% -4.47% 9.63% -6.01%
2022
 -14.37% -19.07% -10.08% -15.17%
2021
 1.27% -2.17% 12.55% -2.18%
2020
 11.65% -7.72% 7.04% -11.63%
2019
 14.52% -0.27% 15.24% -2.72%
2018
 -4.03% -6.00% -4.12% -6.63%
2017
 11.62% -0.20% 9.70% 0.00%
2016
 2.96% -4.27% 8.66% -1.99%
2015
 0.07% -5.38% -1.51% -5.30%
2014
 1.57% -1.52% 5.32% -2.47%
2013
 8.39% -5.17% 11.17% -2.24%
2012
 12.90% -3.09% 9.72% -3.50%
2011
 -0.59% -8.94% 2.12% -8.99%
2010
 10.77% -4.04% 10.93% -6.18%