10-year Treasury vs Bill Bernstein Sheltered Sam 30/70 Portfolio Comparison

Simulation Settings
Period: January 1985 - November 2024 (~40 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
December 1994
4.40$
Final Capital
November 2024
5.06%
Yearly Return
6.83
Std Deviation
-23.19%
Max Drawdown
52months
Recovery Period
Bill Bernstein Sheltered Sam 30/70 Portfolio
1.00$
Initial Capital
December 1994
5.85$
Final Capital
November 2024
6.06%
Yearly Return
5.19
Std Deviation
-16.58%
Max Drawdown
18months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1985
12.11$
Final Capital
November 2024
6.45%
Yearly Return
7.23
Std Deviation
-23.19%
Max Drawdown
52months
Recovery Period
Bill Bernstein Sheltered Sam 30/70 Portfolio
1.00$
Initial Capital
January 1985
16.71$
Final Capital
November 2024
7.31%
Yearly Return
5.49
Std Deviation
-16.58%
Max Drawdown
18months
Recovery Period

The 10-year Treasury Portfolio obtained a 5.06% compound annual return, with a 6.83% standard deviation, in the last 30 Years.

The Bill Bernstein Sheltered Sam 30/70 Portfolio obtained a 6.06% compound annual return, with a 5.19% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 November 2024 (~40 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp 10-year Treasury
-- Market Benchmark 		1.66 1.02 4.44 5.50 -1.20 0.88 5.06 6.45
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_bernstein.webp Sheltered Sam 30/70
Bill Bernstein 		8.05 1.82 6.10 11.53 4.24 3.94 6.06 7.31
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

10-year Treasury Portfolio: an investment of 1$, since December 1994, now would be worth 4.40$, with a total return of 340.15% (5.06% annualized).

Bill Bernstein Sheltered Sam 30/70 Portfolio: an investment of 1$, since December 1994, now would be worth 5.85$, with a total return of 484.82% (6.06% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1985, now would be worth 12.11$, with a total return of 1110.93% (6.45% annualized).

Bill Bernstein Sheltered Sam 30/70 Portfolio: an investment of 1$, since January 1985, now would be worth 16.71$, with a total return of 1571.32% (7.31% annualized).


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Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 5.50 11.53
Infl. Adjusted Return (%) 2.69 8.57
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -1.95
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -0.21
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.46 5.09
Sharpe Ratio 0.04 1.24
Sortino Ratio 0.05 1.61
Ulcer Index 2.02 0.67
Ratio: Return / Standard Deviation 0.74 2.27
Ratio: Return / Deepest Drawdown 1.23 5.92
Metrics calculated over the period 1 December 2023 - 30 November 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) -1.20 4.24
Infl. Adjusted Return (%) -5.16 0.06
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 52* 31
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 52* 31
Longest Negative Period (months) 60* 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.76 6.81
Sharpe Ratio -0.45 0.29
Sortino Ratio -0.64 0.38
Ulcer Index 13.15 4.53
Ratio: Return / Standard Deviation -0.15 0.62
Ratio: Return / Deepest Drawdown -0.05 0.34
Metrics calculated over the period 1 December 2019 - 30 November 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 0.88 3.94
Infl. Adjusted Return (%) -2.00 0.97
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 52* 31
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 52* 31
Longest Negative Period (months) 111 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.67 5.43
Sharpe Ratio -0.10 0.44
Sortino Ratio -0.15 0.58
Ulcer Index 9.72 3.34
Ratio: Return / Standard Deviation 0.13 0.72
Ratio: Return / Deepest Drawdown 0.04 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 5.06 6.06
Infl. Adjusted Return (%) 2.48 3.45
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.58
Start to Recovery (months) 52* 18
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 52* 31
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.83 5.19
Sharpe Ratio 0.41 0.73
Sortino Ratio 0.58 0.95
Ulcer Index 6.16 2.80
Ratio: Return / Standard Deviation 0.74 1.17
Ratio: Return / Deepest Drawdown 0.22 0.37
Metrics calculated over the period 1 December 1994 - 30 November 2024
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10-year Treasury Sheltered Sam 30/70
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 29.1%
Fixed Income 100% 70%
Commodities 0% 0.9%
PERFORMANCES
Annualized Return (%) 6.45 7.31
Infl. Adjusted Return (%) 3.56 4.40
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -16.58
Start to Recovery (months) 52* 18
Longest Drawdown Depth (%) -23.19 -12.55
Start to Recovery (months) 52* 31
Longest Negative Period (months) 126 41
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.23 5.49
Sharpe Ratio 0.46 0.76
Sortino Ratio 0.66 1.01
Ulcer Index 5.63 2.62
Ratio: Return / Standard Deviation 0.89 1.33
Ratio: Return / Deepest Drawdown 0.28 0.44
Metrics calculated over the period 1 January 1985 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)

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10-year Treasury Sheltered Sam 30/70
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-16.58 18 Jun 2008
Nov 2009
-12.55 31 Jan 2022
Jul 2024
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.24 6 Feb 2020
Jul 2020
-5.68 7 Jun 2003
Dec 2003
-4.85 7 Apr 2004
Oct 2004
-4.67 11 Sep 2010
Jul 2011
-4.37 9 May 2011
Jan 2012
-4.25 12 Feb 2015
Jan 2016

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10-year Treasury Sheltered Sam 30/70
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 52* Aug 2020
In progress
-16.58 18 Jun 2008
Nov 2009
-12.55 31 Jan 2022
Jul 2024
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.59 10 Sep 1987
Jun 1988
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.24 6 Feb 2020
Jul 2020
-5.68 7 Jun 2003
Dec 2003
-5.67 15 Feb 1994
Apr 1995

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

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 January 1985 - 30 November 2024 (~40 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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10-year Treasury Sheltered Sam 30/70
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 1.66 -4.45 8.05 -1.95
2023
 3.65 -8.82 7.25 -4.05
2022
 -15.19 -16.91 -9.07 -12.55
2021
 -3.33 -5.73 8.27 -1.49
2020
 10.01 -2.02 6.68 -6.24
2019
 8.03 -2.59 11.29 -1.23
2018
 0.99 -3.19 -2.35 -3.98
2017
 2.55 -1.90 6.35 0.00
2016
 1.00 -6.50 6.14 -0.94
2015
 1.51 -4.25 -1.08 -3.54
2014
 9.07 -1.05 3.87 -1.94
2013
 -6.09 -7.60 5.39 -2.64
2012
 3.66 -2.67 6.92 -1.73
2011
 15.64 -1.29 3.74 -4.37
2010
 9.37 -4.30 8.08 -3.32
2009
 -6.59 -6.65 11.17 -7.71
2008
 17.91 -4.15 -8.30 -12.57
2007
 10.37 -1.85 7.21 -0.78
2006
 2.52 -2.87 8.56 -1.09
2005
 2.64 -3.19 4.67 -1.32
2004
 4.12 -4.85 8.30 -3.26
2003
 5.29 -5.68 14.34 -0.69
2002
 15.45 -4.13 3.99 -2.62
2001
 5.40 -5.21 3.89 -2.11
2000
 17.28 -1.12 9.31 -1.23
1999
 -7.83 -8.11 4.74 -2.18
1998
 14.64 -1.61 8.32 -4.01
1997
 11.97 -2.02 12.35 -1.75
1996
 0.00 -6.90 8.07 -1.16
1995
 25.55 -1.23 19.30 0.00
1994
 -7.19 -9.56 -2.28 -5.67
1993
 12.97 -2.55 14.75 -1.45
1992
 7.23 -4.02 8.20 -1.27
1991
 18.91 -0.54 19.59 -1.56
1990
 7.70 -4.48 2.91 -4.64
1989
 17.84 -2.30 17.14 -0.61
1988
 6.90 -4.60 10.47 -1.19
1987
 -2.64 -10.87 3.06 -7.59
1986
 21.35 -3.93 17.32 -2.63
1985
 29.85 -3.33 23.63 -0.55