Simulation Settings
Period: January 1985 - October 2024 (~40 years)
Consolidated Returns as of 31 October 2024
Live Update: Nov 18 2024, 11:00AM Eastern Time
Consolidated Returns as of 31 October 2024
Live Update: Nov 18 2024, 11:00AM Eastern Time
Rebalancing: at every Jan 1st
Currency:
USD
1.00$
Initial Capital
November 1994
November 1994
8.99$
Final Capital
October 2024
October 2024
7.59%
Yearly Return
9.24
Std Deviation
-34.12%
Max Drawdown
38months
Recovery Period
1.00$
Initial Capital
January 1985
January 1985
31.45$
Final Capital
October 2024
October 2024
9.04%
Yearly Return
9.29
Std Deviation
-34.12%
Max Drawdown
38months
Recovery Period
Live update: November 2024 (USD)
0.27%
1 day - Nov 18 2024, 11:00AM Eastern Time
1.10%
Month - November 2024
The Bill Bernstein Sheltered Sam 60/40 Portfolio can be implemented with 12 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.
The portfolio asset allocation is: 58.2% on the Stock Market, 40% on Fixed Income, 1.8% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 40% allocation to bonds, leading to its classification as high risk.
As of October 2024, in the previous 30 Years, the Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.59% compound annual return, with a 9.24% standard deviation. It suffered a maximum drawdown of -34.12% that required 38 months to be recovered.
Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information.
The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators.
Content is for informational, educational, illustrative, and entertainment purposes only.
Table of contents
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Asset Allocation and ETFs
To effectively implement the asset allocation of the Bill Bernstein Sheltered Sam 60/40 Portfolio, investors can utilize the following selection of ETFs. These ETFs have been chosen specifically for their ability to represent each asset class within the portfolio and facilitate ease of management.
58.2% Stocks
40% Fixed Income
1.8% Commodities
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| Weight (%) |
ETF Ticker |
ETF Currency |
ETF Name | Investment Themes (Orig.Currency) |
|---|---|---|---|---|
| 15.00 |
VTV
|
USD | Vanguard Value | Equity, U.S., Large Cap, Value (USD) |
| 12.00 |
VV
|
USD | Vanguard Large-Cap | Equity, U.S., Large Cap (USD) |
| 9.00 |
IJS
|
USD | iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value (USD) |
| 6.00 |
VNQ
|
USD | Vanguard Real Estate | Real Estate, U.S. (USD) |
| 4.20 |
EFV
|
USD | iShares MSCI EAFE Value | Equity, EAFE, Large Cap, Value (USD) |
| 3.00 |
EEM
|
USD | iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap (USD) |
| 3.00 |
IJR
|
USD | iShares Core S&P Small-Cap | Equity, U.S., Small Cap (USD) |
| 3.00 |
VGK
|
USD | Vanguard FTSE Europe | Equity, Developed Europe, Large Cap (USD) |
| 3.00 |
VPL
|
USD | Vanguard FTSE Pacific | Equity, Developed Asia Pacific, Large Cap (USD) |
| 24.00 |
SHY
|
USD | iShares 1-3 Year Treasury Bond | Bond, U.S., Short Term (USD) |
| 16.00 |
TIP
|
USD | iShares TIPS Bond | Bond, U.S., All-Term (USD) |
| 1.80 |
GLTR
|
USD | Aberdeen Standard Physical Precious Metals Basket Shares | Commodity, Broad Precious Metals (USD) |
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.
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Portfolio and ETF Returns as of Oct 31, 2024
The Bill Bernstein Sheltered Sam 60/40 Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- rebalancing: at every January 1st. How do returns change with different rebalancing strategies?
- dividend reinvestment, when applicable.
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
1 January 1985 - 31 October 2024 (~40 years)
Live Update: Nov 18 2024, 11:00AM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Oct 31, 2024 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Nov 2024 |
YTD
(10M) |
1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~40Y) |
|||
| Investment Return | 0.27 | 1.10 | 9.06 | -1.71 | 8.65 | 20.76 | 6.55 | 6.00 | 7.59 | 9.04 | |||
| Components | |||||||||||||
|
VTV
|
USD | Vanguard Value | 0.28 | 10:59AM, Nov 18 2024 | 2.60 | 17.23 | -1.38 | 11.30 | 31.43 | 11.51 | 10.42 | 9.74 | 11.04 |
|
VV
|
USD | Vanguard Large-Cap | 0.42 | 10:59AM, Nov 18 2024 | 3.63 | 20.87 | -0.84 | 14.16 | 38.29 | 15.16 | 12.89 | 10.76 | 11.69 |
|
IJS
|
USD | iShares S&P Small-Cap 600 Value | 0.35 | 10:59AM, Nov 18 2024 | 6.29 | 4.04 | -1.76 | 11.20 | 28.62 | 8.40 | 7.95 | 10.48 | 11.78 |
|
VNQ
|
USD | Vanguard Real Estate | 0.08 | 11:00AM, Nov 18 2024 | -0.29 | 9.72 | -3.36 | 20.74 | 34.59 | 3.80 | 5.94 | 9.48 | 9.36 |
|
EFV
|
USD | iShares MSCI EAFE Value | 0.47 | 11:00AM, Nov 18 2024 | -1.21 | 8.33 | -4.61 | 5.56 | 21.74 | 6.39 | 4.03 | 5.52 | 8.96 |
|
EEM
|
USD | iShares MSCI Emerging Markets | 0.91 | 11:00AM, Nov 18 2024 | -2.50 | 11.31 | -3.07 | 9.19 | 24.26 | 3.18 | 2.75 | 4.70 | 8.82 |
|
IJR
|
USD | iShares Core S&P Small-Cap | 0.55 | 11:00AM, Nov 18 2024 | 6.38 | 6.41 | -2.60 | 10.01 | 29.92 | 9.12 | 8.97 | 10.17 | 10.94 |
|
VGK
|
USD | Vanguard FTSE Europe | 0.27 | 10:59AM, Nov 18 2024 | -3.34 | 6.62 | -5.51 | 4.19 | 23.35 | 7.17 | 5.52 | 6.93 | 9.82 |
|
VPL
|
USD | Vanguard FTSE Pacific | 0.87 | 10:59AM, Nov 18 2024 | -0.56 | 4.26 | -5.45 | 3.32 | 17.99 | 4.55 | 4.74 | 2.64 | 6.16 |
|
SHY
|
USD | iShares 1-3 Year Treasury Bond | 0.01 | 10:59AM, Nov 18 2024 | -0.06 | 3.35 | -0.62 | 3.53 | 5.59 | 1.13 | 1.17 | 3.14 | 4.35 |
|
TIP
|
USD | iShares TIPS Bond | 0.01 | 10:59AM, Nov 18 2024 | -0.70 | 2.91 | -1.85 | 4.76 | 8.35 | 1.71 | 1.94 | 5.38 | 6.67 |
|
GLTR
|
USD | Aberdeen Standard Physical Precious Metals Basket Shares | 2.38 | 10:56AM, Nov 18 2024 | -5.10 | 30.31 | 4.70 | 20.04 | 34.71 | 9.42 | 6.86 | 6.28 | 7.60 |
| Returns over 1 year are annualized | |||||||||||||
| (*) Eastern Time (ET - America/New York) | |||||||||||||
In 2023, the Bill Bernstein Sheltered Sam 60/40 Portfolio granted a 2.75% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 60/40 Portfolio: Dividend Yield page.
Capital Growth as of Oct 31, 2024
An investment of 1$, from November 1994 to October 2024,
would be worth 8.99$, with a total return of 798.72% (7.59% annualized).
The Inflation Adjusted Capital would be 4.26$, with a net total return of 325.64% (4.95% annualized).
The Inflation Adjusted Capital would be 4.26$, with a net total return of 325.64% (4.95% annualized).
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An investment of 1$, from January 1985 to October 2024,
would be worth 31.45$, with a total return of 3045.28% (9.04% annualized).
The Inflation Adjusted Capital would be 10.52$, with a net total return of 951.90% (6.09% annualized).
The Inflation Adjusted Capital would be 10.52$, with a net total return of 951.90% (6.09% annualized).
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Portfolio Metrics as of Oct 31, 2024
Metrics of Bill Bernstein Sheltered Sam 60/40 Portfolio, updated as of 31 October 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.
These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- rebalancing: at every January 1st. How do returns change with different rebalancing strategies?
- dividend reinvestment, when applicable.
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Advanced Metrics
1 January 1985 - 31 October 2024 (~40 years)
Swipe left to see all data
| Metrics as of Oct 31, 2024 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
YTD
(10M) |
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~40Y) |
|
| Investment Return (%) | 9.06 | -1.71 | 1.46 | 8.65 | 20.76 | 3.20 | 6.55 | 6.00 | 6.50 | 7.59 | 9.04 |
| Growth of 1$ | 1.09 | 0.98 | 1.01 | 1.09 | 1.21 | 1.10 | 1.37 | 1.79 | 3.53 | 8.99 | 31.45 |
| US Inflation (%) | 2.17 | 0.24 | 0.61 | 0.72 | 2.58 | 4.50 | 4.17 | 2.88 | 2.55 | 2.52 | 2.79 |
| Returns / Inflation rates over 1 year are annualized. | |||||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -1.71 | -2.92 | -16.48 | -16.48 | -16.48 | -34.12 | -34.12 | -34.12 | |||
| Start to Recovery (# months) | 1* | 3 | 27 | 27 | 27 | 38 | 38 | 38 | |||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 2 | 18 | 18 | 18 | 22 | 22 | 22 | ||||
| End (yyyy mm) | 2024 06 | 2024 03 | 2024 03 | 2024 03 | 2010 12 | 2010 12 | 2010 12 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
same |
same |
||||
| Start to Recovery (# months) | |||||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 2 | 18 | 18 | 18 | 22 | 22 | 22 | ||||
| End (yyyy mm) | 2024 06 | 2024 03 | 2024 03 | 2024 03 | 2010 12 | 2010 12 | 2010 12 | ||||
| Longest negative period (# months) | 2 | 28 | 32 | 32 | 53 | 62 | 62 | ||||
| Start (yyyy mm) | 2024 03 | 2022 01 | 2021 03 | 2021 03 | 2004 11 | 2004 01 | 2004 01 | ||||
| End (yyyy mm) | 2024 04 | 2024 04 | 2023 10 | 2023 10 | 2009 03 | 2009 02 | 2009 02 | ||||
| Annualized Return (%) | -3.06 | -0.23 | -0.18 | -0.18 | -0.18 | -0.05 | -0.05 | ||||
| Drawdowns / Negative periods marked with * are in progress | |||||||||||
| Deepest Drawdown Depth (%) | -4.49 | -3.23 | -20.86 | -21.43 | -21.43 | -35.21 | -35.21 | -35.21 | |||
| Start to Recovery (# months) | 38* | 3 | 34* | 38* | 38* | 42 | 42 | 42 | |||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2021 09 | 2021 09 | 2007 11 | 2007 11 | 2007 11 | ||||
| Start to Bottom (# months) | 1 | 9 | 13 | 13 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 2 | 25 | 25 | 25 | 26 | 26 | 26 | ||||
| End (yyyy mm) | 2024 06 | - | - | - | 2011 04 | 2011 04 | 2011 04 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
same |
same |
||||
| Start to Recovery (# months) | |||||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2021 09 | 2021 09 | 2007 11 | 2007 11 | 2007 11 | ||||
| Start to Bottom (# months) | 1 | 9 | 13 | 13 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 2 | 25 | 25 | 25 | 26 | 26 | 26 | ||||
| End (yyyy mm) | 2024 06 | - | - | - | 2011 04 | 2011 04 | 2011 04 | ||||
| Longest negative period (# months) | 4 | 36* | 48 | 71 | 71 | 102 | 102 | ||||
| Start (yyyy mm) | 2024 01 | 2021 11 | 2019 11 | 2017 12 | 2017 12 | 2000 09 | 2000 09 | ||||
| End (yyyy mm) | 2024 04 | 2024 10 | 2023 10 | 2023 10 | 2023 10 | 2009 02 | 2009 02 | ||||
| Annualized Return (%) | -3.13 | -1.24 | -1.26 | -0.11 | -0.11 | -0.25 | -0.25 | ||||
| Drawdowns / Negative periods marked with * are in progress | |||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | ||||
| Standard Deviation (%) | 8.47 | 11.07 | 11.29 | 9.30 | 9.72 | 9.24 | 9.29 | ||||
| Sharpe Ratio | 1.82 | -0.03 | 0.38 | 0.48 | 0.52 | 0.57 | 0.64 | ||||
| Sortino Ratio | 2.48 | -0.04 | 0.51 | 0.64 | 0.67 | 0.74 | 0.82 | ||||
| Ulcer Index | 0.96 | 6.67 | 5.86 | 4.47 | 6.78 | 5.84 | 5.38 | ||||
| Ratio: Return / Standard Deviation | 2.45 | 0.29 | 0.58 | 0.65 | 0.67 | 0.82 | 0.97 | ||||
| Ratio: Return / Deepest Drawdown | 7.10 | 0.19 | 0.40 | 0.36 | 0.19 | 0.22 | 0.27 | ||||
| Positive Months (%) | 75.00 | 55.55 | 63.33 | 66.66 | 66.25 | 66.94 | 68.61 | ||||
| Positive Months | 9 | 20 | 38 | 80 | 159 | 241 | 328 | ||||
| Negative Months | 3 | 16 | 22 | 40 | 81 | 119 | 150 | ||||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | ||||
| Best 10 Years Return (%) - Annualized | 6.00 | 9.97 | 10.63 | 13.39 | |||||||
| Worst 10 Years Return (%) - Annualized | 4.77 | 3.64 | 3.64 | ||||||||
| Best 10 Years Return (%) - Annualized | 3.03 | 8.07 | 8.07 | 9.92 | |||||||
| Worst 10 Years Return (%) - Annualized | 1.93 | 1.02 | 1.02 | ||||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |
| ··· As of Oct 2024 - Over the previous 30Y | |||||||||||
| Best Rolling Return (%) - Annualized | 37.75 | 18.49 | 15.08 | 10.63 | 8.60 | 7.59 | |||||
| Worst Rolling Return (%) - Annualized | -29.82 | -7.40 | -0.65 | 3.64 | 5.71 | ||||||
| Positive Periods (%) | 81.9 | 92.9 | 99.6 | 100.0 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 34.85 | 15.72 | 12.76 | 8.07 | 6.13 | 4.95 | |||||
| Worst Rolling Return (%) - Annualized | -29.83 | -9.37 | -3.21 | 1.02 | 3.45 | ||||||
| Positive Periods (%) | 76.2 | 83.3 | 97.3 | 100.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 3.74 | 5.66 | 6.86 | 8.03 | 2.20 | 0.00 | 0.00 | 0.00 | |||
| 95% CVaR - Conditional Value at Risk (%) | 4.85 | 7.58 | 9.58 | 17.31 | 7.99 | 0.00 | 0.00 | 0.00 | |||
| 99% VaR - Value at Risk (%) - Cumulative | 5.56 | 8.81 | 11.32 | 24.79 | 14.21 | 0.00 | 0.00 | 0.00 | |||
| 99% CVaR - Conditional Value at Risk (%) | 6.72 | 10.81 | 14.15 | 27.86 | 18.98 | 0.84 | 0.00 | 0.00 | |||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||||
| Safe Withdrawal Rate (%) | 83.17 | 28.28 | 17.97 | 10.29 | 7.02 | 7.29 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 1.20 | 3.57 | 5.58 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||||
| ··· All available data (Jan 1985 - Oct 2024) | |||||||||||
| Best Rolling Return (%) - Annualized | 37.75 | 19.30 | 17.49 | 13.39 | 11.89 | 10.05 | |||||
| Worst Rolling Return (%) - Annualized | -29.82 | -7.40 | -0.65 | 3.64 | 5.71 | 6.94 | |||||
| Positive Periods (%) | 83.7 | 94.8 | 99.7 | 100.0 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 34.85 | 15.87 | 13.33 | 9.92 | 8.60 | 7.13 | |||||
| Worst Rolling Return (%) - Annualized | -29.83 | -9.37 | -3.21 | 1.02 | 3.45 | 4.31 | |||||
| Positive Periods (%) | 76.8 | 87.3 | 98.0 | 100.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 3.65 | 5.36 | 6.24 | 5.36 | 0.91 | 0.00 | 0.00 | 0.00 | |||
| 95% CVaR - Conditional Value at Risk (%) | 4.76 | 7.29 | 8.97 | 14.48 | 6.18 | 0.00 | 0.00 | 0.00 | |||
| 99% VaR - Value at Risk (%) - Cumulative | 5.48 | 8.52 | 10.72 | 22.96 | 12.06 | 0.00 | 0.00 | 0.00 | |||
| 99% CVaR - Conditional Value at Risk (%) | 6.64 | 10.54 | 13.56 | 26.25 | 17.41 | 0.00 | 0.00 | 0.00 | |||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||||
| Safe Withdrawal Rate (%) | 83.17 | 28.28 | 17.97 | 10.29 | 7.02 | 6.63 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 1.20 | 3.57 | 4.86 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed.
- Standard Deviation: it's a measure of the dispersion of returns around the mean.
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
- Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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Portfolio Components Correlation
Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 October 2024
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Correlation values range between -1 and +1
- A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
- A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
- A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate to each other.
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
1 November 1994 - 31 October 2024 (30 Years)
1 January 1985 - 31 October 2024 (~40 years)
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Rolling Returns
For a detailed rolling return analysis, click here
Bill Bernstein Sheltered Sam 60/40 Portfolio: Rolling Returns
Bill Bernstein Sheltered Sam 60/40 Portfolio: Rolling Returns
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
1 November 1994 - 31 October 2024 (30 Years)
1 January 1985 - 31 October 2024 (~40 years)
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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.
Seasonality
In which months is it better to invest in Bill Bernstein Sheltered Sam 60/40 Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1985 to October 2024.
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For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Bill Bernstein Sheltered Sam 60/40 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
BILL BERNSTEIN SHELTERED SAM 60/40 PORTFOLIO
Monthly Returns Distribution
1 November 1994 - 31 October 2024 (30 Years)
1 January 1985 - 31 October 2024 (~40 years)
241 Positive Months (67%) - 119 Negative Months (33%)
328 Positive Months (69%) - 150 Negative Months (31%)
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Methodology
Returns, up to December 2010, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.
In particular, the series derived from equivalent datasets are:
Returns, up to December 2010, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- Vanguard Value (VTV), up to December 2004
- Vanguard Large-Cap (VV), up to December 2004
- iShares S&P Small-Cap 600 Value (IJS), up to December 2000
- Vanguard Real Estate (VNQ), up to December 2004
- iShares MSCI EAFE Value (EFV), up to December 2005
- iShares MSCI Emerging Markets (EEM), up to December 2003
- iShares Core S&P Small-Cap (IJR), up to December 2000
- Vanguard FTSE Europe (VGK), up to December 2005
- Vanguard FTSE Pacific (VPL), up to December 2005
- iShares 1-3 Year Treasury Bond (SHY), up to December 2002
- iShares TIPS Bond (TIP), up to December 2003
- Aberdeen Standard Physical Precious Metals Basket Shares (GLTR), up to December 2010
Portfolio efficiency
The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.
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with Lazy Portfolios and Passive Investing