Developed World ex-US 40/60 Momentum vs Bill Bernstein Sheltered Sam 70/30 Portfolio Comparison

Period: August 2009 - August 2024 (~15 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
September 2014
1.45$
Final Capital
August 2024
3.81%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Bill Bernstein Sheltered Sam 70/30 Portfolio
1.00$
Initial Capital
September 2014
1.91$
Final Capital
August 2024
6.67%
Yearly Return
10.72
Std Deviation
-17.80%
Max Drawdown
26 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
August 2024
5.30%
Yearly Return
6.95
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Bill Bernstein Sheltered Sam 70/30 Portfolio
1.00$
Initial Capital
August 2009
3.40$
Final Capital
August 2024
8.46%
Yearly Return
10.50
Std Deviation
-17.80%
Max Drawdown
26 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.81% compound annual return, with a 6.93% standard deviation, in the last 10 Years.

The Bill Bernstein Sheltered Sam 70/30 Portfolio obtained a 6.67% compound annual return, with a 10.72% standard deviation, in the last 10 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 31 August 2024 (~15 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 8.83 1.02 5.89 14.61 3.57 3.81 5.30
Sheltered Sam 70/30
Bill Bernstein 		10.19 1.70 8.99 16.35 8.20 6.67 8.46
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since September 2014, now would be worth 1.45$, with a total return of 45.36% (3.81% annualized).

Bill Bernstein Sheltered Sam 70/30 Portfolio: an investment of 1$, since September 2014, now would be worth 1.91$, with a total return of 90.79% (6.67% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.18$, with a total return of 117.83% (5.30% annualized).

Bill Bernstein Sheltered Sam 70/30 Portfolio: an investment of 1$, since August 2009, now would be worth 3.40$, with a total return of 240.33% (8.46% annualized).


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Metrics as of Aug 31, 2024

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

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 August 2009 - 31 August 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Sheltered Sam 70/30
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 67.9%
Fixed Income 60% 30%
Commodities 0% 2.1%
PERFORMANCES
Annualized Return (%) 14.61 16.35
Infl. Adjusted Return (%) 11.92 13.63
DRAWDOWN
Deepest Drawdown Depth (%) -3.18 -5.68
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.55 -5.68
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 2
RISK INDICATORS
Standard Deviation (%) 7.68 10.83
Sharpe Ratio 1.21 1.02
Sortino Ratio 1.64 1.39
Ulcer Index 1.33 2.07
Ratio: Return / Standard Deviation 1.90 1.51
Ratio: Return / Deepest Drawdown 4.60 2.88
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Developed World ex-US 40/60 Momentum Sheltered Sam 70/30
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 67.9%
Fixed Income 60% 30%
Commodities 0% 2.1%
PERFORMANCES
Annualized Return (%) 3.57 8.20
Infl. Adjusted Return (%) -0.55 3.91
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.80
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -17.80
Start to Recovery (months) 35 26
Longest Negative Period (months) 48 31
RISK INDICATORS
Standard Deviation (%) 8.62 12.86
Sharpe Ratio 0.17 0.47
Sortino Ratio 0.22 0.62
Ulcer Index 7.52 6.42
Ratio: Return / Standard Deviation 0.41 0.64
Ratio: Return / Deepest Drawdown 0.18 0.46
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Developed World ex-US 40/60 Momentum Sheltered Sam 70/30
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 67.9%
Fixed Income 60% 30%
Commodities 0% 2.1%
PERFORMANCES
Annualized Return (%) 3.81 6.67
Infl. Adjusted Return (%) 0.97 3.75
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.80
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -17.80
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 33
RISK INDICATORS
Standard Deviation (%) 6.93 10.72
Sharpe Ratio 0.34 0.49
Sortino Ratio 0.45 0.65
Ulcer Index 5.55 4.95
Ratio: Return / Standard Deviation 0.55 0.62
Ratio: Return / Deepest Drawdown 0.20 0.37
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Developed World ex-US 40/60 Momentum Sheltered Sam 70/30
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 67.9%
Fixed Income 60% 30%
Commodities 0% 2.1%
PERFORMANCES
Annualized Return (%) 5.30 8.46
Infl. Adjusted Return (%) 2.69 5.77
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.80
Start to Recovery (months) 35 26
Longest Drawdown Depth (%) -19.40 -17.80
Start to Recovery (months) 35 26
Longest Negative Period (months) 56 33
RISK INDICATORS
Standard Deviation (%) 6.95 10.50
Sharpe Ratio 0.63 0.72
Sortino Ratio 0.83 0.96
Ulcer Index 4.73 4.44
Ratio: Return / Standard Deviation 0.76 0.81
Ratio: Return / Deepest Drawdown 0.27 0.48
Metrics calculated over the period 1 August 2009 - 31 August 2024

Drawdowns

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

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Developed World ex-US 40/60 Momentum Sheltered Sam 70/30
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.80 26 Jan 2022
Feb 2024
-17.14 11 Jan 2020
Nov 2020
-9.24 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-7.28 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
-4.14 2 May 2019
Jun 2019
-3.68 6 Feb 2018
Jul 2018
-3.24 3 Apr 2024
Jun 2024
-2.99 3 Sep 2014
Nov 2014
-2.82 2 Sep 2021
Oct 2021
-1.99 2 Nov 2021
Dec 2021

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Developed World ex-US 40/60 Momentum Sheltered Sam 70/30
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.80 26 Jan 2022
Feb 2024
-17.14 11 Jan 2020
Nov 2020
-13.47 11 May 2011
Mar 2012
-9.24 8 Sep 2018
Apr 2019
-8.97 6 May 2010
Oct 2010
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.28 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.42 5 Apr 2012
Aug 2012
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.14 2 May 2019
Jun 2019

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 August 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 70/30
Year Return Drawdown Return Drawdown
2024
 8.83% -2.55% 10.19% -3.24%
2023
 10.83% -4.47% 12.01% -7.88%
2022
 -14.37% -19.07% -11.08% -17.80%
2021
 1.27% -2.17% 16.83% -2.82%
2020
 11.65% -7.72% 7.39% -17.14%
2019
 14.52% -0.27% 19.18% -4.14%
2018
 -4.03% -6.00% -5.89% -9.24%
2017
 11.62% -0.20% 13.05% -0.08%
2016
 2.96% -4.27% 11.18% -3.19%
2015
 0.07% -5.38% -1.94% -7.16%
2014
 1.57% -1.52% 6.76% -2.99%
2013
 8.39% -5.17% 16.94% -2.46%
2012
 12.90% -3.09% 12.52% -5.42%
2011
 -0.59% -8.94% 0.50% -13.47%
2010
 10.77% -4.04% 13.77% -8.97%