10-year Treasury vs Bill Bernstein Sheltered Sam 40/60 Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
October 1994
4.48$
Final Capital
September 2024
5.12%
Yearly Return
6.79
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Bill Bernstein Sheltered Sam 40/60 Portfolio
1.00$
Initial Capital
October 1994
6.78$
Final Capital
September 2024
6.59%
Yearly Return
6.45
Std Deviation
-22.05%
Max Drawdown
29 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1985
12.41$
Final Capital
September 2024
6.54%
Yearly Return
7.22
Std Deviation
-23.19%
Max Drawdown
50 months
Recovery Period
Bill Bernstein Sheltered Sam 40/60 Portfolio
1.00$
Initial Capital
January 1985
20.90$
Final Capital
September 2024
7.95%
Yearly Return
6.67
Std Deviation
-22.05%
Max Drawdown
29 months
Recovery Period

The 10-year Treasury Portfolio obtained a 5.12% compound annual return, with a 6.79% standard deviation, in the last 30 Years.

The Bill Bernstein Sheltered Sam 40/60 Portfolio obtained a 6.59% compound annual return, with a 6.45% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
10-year Treasury 4.16 1.38 5.53 10.84 -0.82 1.41 5.12 6.54
Sheltered Sam 40/60
Bill Bernstein 		8.75 1.44 6.30 16.14 5.42 4.88 6.59 7.95
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

10-year Treasury Portfolio: an investment of 1$, since October 1994, now would be worth 4.48$, with a total return of 347.83% (5.12% annualized).

Bill Bernstein Sheltered Sam 40/60 Portfolio: an investment of 1$, since October 1994, now would be worth 6.78$, with a total return of 578.28% (6.59% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1985, now would be worth 12.41$, with a total return of 1140.72% (6.54% annualized).

Bill Bernstein Sheltered Sam 40/60 Portfolio: an investment of 1$, since January 1985, now would be worth 20.90$, with a total return of 1990.16% (7.95% annualized).


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Metrics as of Sep 30, 2024

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

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)
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10-year Treasury Sheltered Sam 40/60
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 38.8%
Fixed Income 100% 60%
Commodities 0% 1.2%
PERFORMANCES
Annualized Return (%) 10.84 16.14
Infl. Adjusted Return (%) 8.23 13.41
DRAWDOWN
Deepest Drawdown Depth (%) -4.45 -2.28
Start to Recovery (months) 6 2
Longest Drawdown Depth (%) -4.45 -1.37
Start to Recovery (months) 6 2
Longest Negative Period (months) 6 4
RISK INDICATORS
Standard Deviation (%) 7.80 6.55
Sharpe Ratio 0.70 1.65
Sortino Ratio 0.95 2.24
Ulcer Index 1.75 0.74
Ratio: Return / Standard Deviation 1.39 2.46
Ratio: Return / Deepest Drawdown 2.43 7.09
Metrics calculated over the period 1 October 2023 - 30 September 2024
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10-year Treasury Sheltered Sam 40/60
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 38.8%
Fixed Income 100% 60%
Commodities 0% 1.2%
PERFORMANCES
Annualized Return (%) -0.82 5.42
Infl. Adjusted Return (%) -4.80 1.19
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -13.86
Start to Recovery (months) 50* 27
Longest Drawdown Depth (%) -23.19 -13.86
Start to Recovery (months) 50* 27
Longest Negative Period (months) 60* 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.61 8.18
Sharpe Ratio -0.39 0.40
Sortino Ratio -0.57 0.52
Ulcer Index 12.84 4.90
Ratio: Return / Standard Deviation -0.11 0.66
Ratio: Return / Deepest Drawdown -0.04 0.39
Metrics calculated over the period 1 October 2019 - 30 September 2024
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10-year Treasury Sheltered Sam 40/60
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 38.8%
Fixed Income 100% 60%
Commodities 0% 1.2%
PERFORMANCES
Annualized Return (%) 1.41 4.88
Infl. Adjusted Return (%) -1.41 1.96
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -13.86
Start to Recovery (months) 50* 27
Longest Drawdown Depth (%) -23.19 -13.86
Start to Recovery (months) 50* 27
Longest Negative Period (months) 111 34
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 6.64
Sharpe Ratio -0.01 0.51
Sortino Ratio -0.02 0.68
Ulcer Index 9.51 3.66
Ratio: Return / Standard Deviation 0.21 0.73
Ratio: Return / Deepest Drawdown 0.06 0.35
Metrics calculated over the period 1 October 2014 - 30 September 2024
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10-year Treasury Sheltered Sam 40/60
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 38.8%
Fixed Income 100% 60%
Commodities 0% 1.2%
PERFORMANCES
Annualized Return (%) 5.12 6.59
Infl. Adjusted Return (%) 2.54 3.97
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -22.05
Start to Recovery (months) 50* 29
Longest Drawdown Depth (%) -23.19 -22.05
Start to Recovery (months) 50* 29
Longest Negative Period (months) 126 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.79 6.45
Sharpe Ratio 0.42 0.67
Sortino Ratio 0.60 0.87
Ulcer Index 6.05 3.58
Ratio: Return / Standard Deviation 0.75 1.02
Ratio: Return / Deepest Drawdown 0.22 0.30
Metrics calculated over the period 1 October 1994 - 30 September 2024
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10-year Treasury Sheltered Sam 40/60
Author Bill Bernstein
ASSET ALLOCATION
Stocks 0% 38.8%
Fixed Income 100% 60%
Commodities 0% 1.2%
PERFORMANCES
Annualized Return (%) 6.54 7.95
Infl. Adjusted Return (%) 3.65 5.02
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -22.05
Start to Recovery (months) 50* 29
Longest Drawdown Depth (%) -23.19 -22.05
Start to Recovery (months) 50* 29
Longest Negative Period (months) 126 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.22 6.67
Sharpe Ratio 0.47 0.72
Sortino Ratio 0.68 0.95
Ulcer Index 5.55 3.34
Ratio: Return / Standard Deviation 0.91 1.19
Ratio: Return / Deepest Drawdown 0.28 0.36
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

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

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10-year Treasury Sheltered Sam 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-22.05 29 Nov 2007
Mar 2010
-13.86 27 Jan 2022
Mar 2024
-9.34 23 Oct 1998
Aug 2000
-8.88 8 Jan 2020
Aug 2020
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.70 9 May 2011
Jan 2012
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.16 7 May 1998
Nov 1998
-5.68 7 Jun 2003
Dec 2003
-5.31 7 Sep 2018
Mar 2019
-4.92 12 Jun 2002
May 2003

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10-year Treasury Sheltered Sam 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 50* Aug 2020
In progress
-22.05 29 Nov 2007
Mar 2010
-13.86 27 Jan 2022
Mar 2024
-10.87 11 Mar 1987
Jan 1988
-10.59 13 Sep 1987
Sep 1988
-10.14 19 Nov 1993
May 1995
-9.34 23 Oct 1998
Aug 2000
-8.88 8 Jan 2020
Aug 2020
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.70 9 May 2011
Jan 2012
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.25 6 Aug 1990
Jan 1991

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 September 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 40/60
Year Return Drawdown Return Drawdown
2024
 4.16% -4.45% 8.75% -2.28%
2023
 3.65% -8.82% 8.44% -5.04%
2022
 -15.19% -16.91% -9.58% -13.86%
2021
 -3.33% -5.73% 10.41% -1.84%
2020
 10.01% -2.02% 6.86% -8.88%
2019
 8.03% -2.59% 13.26% -1.99%
2018
 0.99% -3.19% -3.23% -5.31%
2017
 2.55% -1.90% 8.02% 0.00%
2016
 1.00% -6.50% 7.40% -1.39%
2015
 1.51% -4.25% -1.30% -4.40%
2014
 9.07% -1.05% 4.59% -2.20%
2013
 -6.09% -7.60% 8.28% -2.44%
2012
 3.66% -2.67% 8.32% -2.56%
2011
 15.64% -1.29% 2.93% -6.70%
2010
 9.37% -4.30% 9.51% -4.76%
2009
 -6.59% -6.65% 13.63% -9.86%
2008
 17.91% -4.15% -12.39% -16.39%
2007
 10.37% -1.85% 6.56% -1.57%
2006
 2.52% -2.87% 10.60% -1.50%
2005
 2.64% -3.19% 5.58% -1.56%
2004
 4.12% -4.85% 9.83% -3.47%
2003
 5.29% -5.68% 17.61% -1.29%
2002
 15.45% -4.13% 1.50% -4.92%
2001
 5.40% -5.21% 2.61% -3.56%
2000
 17.28% -1.12% 8.29% -1.66%
1999
 -7.83% -8.11% 6.55% -2.35%
1998
 14.64% -1.61% 8.39% -6.16%
1997
 11.97% -2.02% 13.48% -2.09%
1996
 0.00% -6.90% 9.71% -1.62%
1995
 25.55% -1.23% 20.24% -0.33%
1994
 -7.19% -9.56% -2.11% -5.82%
1993
 12.97% -2.55% 16.30% -1.70%
1992
 7.23% -4.02% 8.42% -1.15%
1991
 18.91% -0.54% 21.34% -2.03%
1990
 7.70% -4.48% 0.80% -6.25%
1989
 17.84% -2.30% 18.45% -0.62%
1988
 6.90% -4.60% 11.96% -1.41%
1987
 -2.64% -10.87% 3.16% -10.59%
1986
 21.35% -3.93% 18.58% -2.98%
1985
 29.85% -3.33% 25.27% -0.84%