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

Period: August 2009 - October 2024 (~15 years)
Consolidated Returns as of 31 October 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
November 2014
1.46$
Final Capital
October 2024
3.83%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
November 2014
1.79$
Final Capital
October 2024
6.00%
Yearly Return
9.30
Std Deviation
-16.48%
Max Drawdown
27months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.15$
Final Capital
October 2024
5.15%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
August 2009
3.00$
Final Capital
October 2024
7.46%
Yearly Return
9.08
Std Deviation
-16.48%
Max Drawdown
27months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.83% compound annual return, with a 6.95% standard deviation, in the last 10 Years.

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 6.00% compound annual return, with a 9.30% standard deviation, in the last 10 Years.

Returns as of Oct 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 31 October 2024 (~15 years)
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Return (%) as of Oct 31, 2024
YTD
(10M)
1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 7.40 -2.15 4.21 16.81 3.16 3.83 5.15
Sheltered Sam 60/40
Bill Bernstein
9.06 -1.71 8.65 20.76 6.55 6.00 7.46
Return over 1 year are annualized.

Capital Growth as of Oct 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since November 2014, now would be worth 1.46$, with a total return of 45.60% (3.83% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since November 2014, now would be worth 1.79$, with a total return of 79.12% (6.00% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.15$, with a total return of 114.96% (5.15% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since August 2009, now would be worth 3.00$, with a total return of 199.58% (7.46% annualized).


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Metrics as of Oct 31, 2024

The following metrics, updated as of 31 October 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 November 2023 - 31 October 2024 (1 year)
Period: 1 November 2019 - 31 October 2024 (5 years)
Period: 1 November 2014 - 31 October 2024 (10 years)
Period: 1 August 2009 - 31 October 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 16.81 20.76
Infl. Adjusted Return (%) 13.88 17.73
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.92
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -2.92
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 7.27 8.47
Sharpe Ratio 1.58 1.82
Sortino Ratio 2.13 2.48
Ulcer Index 0.94 0.96
Ratio: Return / Standard Deviation 2.31 2.45
Ratio: Return / Deepest Drawdown 6.59 7.10
Metrics calculated over the period 1 November 2023 - 31 October 2024
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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 3.16 6.55
Infl. Adjusted Return (%) -0.97 2.28
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Negative Period (months) 48 32
RISK INDICATORS
Standard Deviation (%) 8.69 11.29
Sharpe Ratio 0.11 0.38
Sortino Ratio 0.14 0.51
Ulcer Index 7.52 5.86
Ratio: Return / Standard Deviation 0.36 0.58
Ratio: Return / Deepest Drawdown 0.16 0.40
Metrics calculated over the period 1 November 2019 - 31 October 2024
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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 3.83 6.00
Infl. Adjusted Return (%) 0.92 3.03
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.95 9.30
Sharpe Ratio 0.33 0.48
Sortino Ratio 0.44 0.64
Ulcer Index 5.55 4.47
Ratio: Return / Standard Deviation 0.55 0.65
Ratio: Return / Deepest Drawdown 0.20 0.36
Metrics calculated over the period 1 November 2014 - 31 October 2024
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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 5.15 7.46
Infl. Adjusted Return (%) 2.53 4.78
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.95 9.08
Sharpe Ratio 0.60 0.71
Sortino Ratio 0.79 0.95
Ulcer Index 4.71 3.94
Ratio: Return / Standard Deviation 0.74 0.82
Ratio: Return / Deepest Drawdown 0.27 0.45
Metrics calculated over the period 1 August 2009 - 31 October 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 November 2014 - 31 October 2024 (10 years)
Period: 1 August 2009 - 31 October 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-19.40 35 Sep 2021
Jul 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-7.94 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-6.29 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.44 2 May 2019
Jun 2019
-3.16 6 Feb 2018
Jul 2018
-2.92 3 Apr 2024
Jun 2024
-2.50 2 Sep 2021
Oct 2021
-2.15 1* Oct 2024
In progress
-1.71 1* Oct 2024
In progress

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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Drawdown
(%)
Recovery
(#Months)
From
To
Drawdown
(%)
Recovery
(#Months)
From
To
-19.40 35 Sep 2021
Jul 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-11.25 10 May 2011
Feb 2012
-8.94 15 May 2011
Jul 2012
-7.94 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-7.59 6 May 2010
Oct 2010
-6.29 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.47 5 Apr 2012
Aug 2012
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010

Rolling Returns

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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 - 31 October 2024 (~15 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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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Year Return Drawdown Return Drawdown
2024
7.40% -2.55% 9.06% -2.92%
2023
10.83% -4.47% 10.82% -6.95%
2022
-14.37% -19.07% -10.58% -16.48%
2021
1.27% -2.17% 14.69% -2.50%
2020
11.65% -7.72% 7.21% -14.38%
2019
14.52% -0.27% 17.21% -3.44%
2018
-4.03% -6.00% -5.00% -7.94%
2017
11.62% -0.20% 11.37% 0.00%
2016
2.96% -4.27% 9.92% -2.59%
2015
0.07% -5.38% -1.72% -6.23%
2014
1.57% -1.52% 6.04% -2.73%
2013
8.39% -5.17% 14.05% -2.24%
2012
12.90% -3.09% 11.12% -4.47%
2011
-0.59% -8.94% 1.31% -11.25%
2010
10.77% -4.04% 12.35% -7.59%