Consolidated Returns as of 30 September 2024
Managing the Bill Bernstein Sheltered Sam 40/60 Portfolio with a yearly rebalancing, you would have obtained a 7.75% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 6.49%.
How do returns and drawdowns change, implementing different rebalancing strategies?
Rebalancing Strategies
In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.
At fixed time intervals:
- Yearly: Jan 1st
- Half Yearly: Jan 1st, Jul 1st
- Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
Portfolio Returns as of Sep 30, 2024
Implementing different rebalancing strategies, the Bill Bernstein Sheltered Sam 40/60 Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
| Return (%) and number of rebalances as of Sep 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~40Y) |
|||||
| No Rebalancing | 25.04 | (0) | 9.09 | (0) | 7.77 | (0) | 7.75 | (0) | 8.84 | (0) |
| Yearly Rebalancing | 16.14 | (1) | 5.42 | (5) | 4.88 | (10) | 6.59 | (30) | 7.95 | (40) |
| Half Yearly Rebalancing | 16.00 | (2) | 5.53 | (10) | 4.92 | (20) | 6.49 | (60) | 7.86 | (80) |
| Quarterly Rebalancing | 16.09 | (4) | 5.74 | (20) | 5.03 | (40) | 6.60 | (120) | 7.95 | (159) |
| 5% Tolerance per asset | 16.93 | (0) | 5.55 | (1) | 5.02 | (2) | 6.59 | (9) | 7.88 | (11) |
| 10% Tolerance per asset | 18.84 | (0) | 6.11 | (0) | 5.37 | (1) | 6.52 | (2) | 7.86 | (3) |
In order to have complete information about the portfolio, please refer to the Bill Bernstein Sheltered Sam 40/60 Portfolio: ETF allocation and returns page.
Performances as of Sep 30, 2024
Historical returns and stats of Bill Bernstein Sheltered Sam 40/60 Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 8.84 | (0) | 9.93 | 0.89 | -35.94 | 0.25 |
| Yearly Rebalancing | 7.95 | (40) | 6.67 | 1.19 | -22.05 | 0.36 |
| Half Yearly Rebalancing | 7.86 | (80) | 6.65 | 1.18 | -22.65 | 0.35 |
| Quarterly Rebalancing | 7.95 | (159) | 6.68 | 1.19 | -23.14 | 0.34 |
| 5% Tolerance per asset | 7.88 | (11) | 6.91 | 1.14 | -22.43 | 0.35 |
| 10% Tolerance per asset | 7.86 | (3) | 7.44 | 1.06 | -24.10 | 0.33 |
Drawdowns as of Sep 30, 2024
Historical Drawdowns of Bill Bernstein Sheltered Sam 40/60 Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-35.94
Nov 2007 - Feb 2011
|
-22.05
Nov 2007 - Mar 2010
|
-22.65
Nov 2007 - Mar 2010
|
-23.14
Jun 2008 - Mar 2010
|
-22.43
Nov 2007 - Apr 2010
|
-24.10
Nov 2007 - Oct 2010
|
|
-20.08
Jan 2020 - Nov 2020
|
-13.86
Jan 2022 - Mar 2024
|
-14.01
Jan 2022 - Mar 2024
|
-14.04
Jan 2022 - Mar 2024
|
-14.42
Jan 2022 - Mar 2024
|
-15.58
Jan 2022 - Mar 2024
|
|
-19.38
Jan 2022 - Feb 2024
|
-10.59
Sep 1987 - Sep 1988
|
-9.35
Sep 1987 - Jun 1988
|
-8.88
Jan 2020 - Jul 2020
|
-10.53
Sep 1987 - Sep 1988
|
-11.96
Sep 1987 - Sep 1988
|
|
-12.11
Feb 2001 - Aug 2003
|
-8.88
Jan 2020 - Aug 2020
|
-8.88
Jan 2020 - Aug 2020
|
-8.72
Sep 1987 - Jun 1988
|
-10.11
Jan 2020 - Aug 2020
|
-10.28
Jan 2020 - Aug 2020
|
|
-11.96
Sep 1987 - Sep 1988
|
-6.70
May 2011 - Jan 2012
|
-6.59
May 2011 - Jan 2012
|
-6.54
May 2011 - Jan 2012
|
-7.32
Aug 1990 - Jan 1991
|
-8.52
Aug 1990 - Feb 1991
|
| 5 Worst Drawdowns - Average | |||||
| -19.89 | -12.42 | -12.29 | -12.26 | -12.96 | -14.09 |
| 10 Worst Drawdowns - Average | |||||
| -14.89 | -9.05 | -9.03 | -8.99 | -9.52 | -10.62 |
For a deeper insight, please refer to the Bill Bernstein Sheltered Sam 40/60 Portfolio: ETF allocation and returns page.
