Bill Bernstein Sheltered Sam 40/60 Portfolio: Rebalancing Strategy

Data Source: from January 1985 to September 2024
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.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Sep 30, 2024

Implementing different rebalancing strategies, the Bill Bernstein Sheltered Sam 40/60 Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1985.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
BILL BERNSTEIN SHELTERED SAM 40/60 PORTFOLIO RETURNS
Period: January 1985 - September 2024
Annualized Returns
Swipe left to see all data
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.

BILL BERNSTEIN SHELTERED SAM 40/60 PORTFOLIO PERFORMANCES
Period: January 1985 - September 2024
Swipe left to see all data
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
(*) Since Jan 1985 (~40 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Bill Bernstein Sheltered Sam 40/60 Portfolio, after implementing different rebalancing strategies.

BILL BERNSTEIN SHELTERED SAM 40/60 PORTFOLIO DRAWDOWNS
Period: January 1985 - September 2024
Swipe left to see all data
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.