Bill Bernstein Sheltered Sam 50/50 vs Mebane Faber GAA Global Asset Allocation 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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Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
October 1994
7.93$
Final Capital
September 2024
7.15%
Yearly Return
7.81
Std Deviation
-28.23%
Max Drawdown
36 months
Recovery Period
Mebane Faber GAA Global Asset Allocation Portfolio
1.00$
Initial Capital
October 1994
8.16$
Final Capital
September 2024
7.25%
Yearly Return
8.06
Std Deviation
-24.91%
Max Drawdown
22 months
Recovery Period
Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
January 1985
25.99$
Final Capital
September 2024
8.54%
Yearly Return
7.95
Std Deviation
-28.23%
Max Drawdown
36 months
Recovery Period
Mebane Faber GAA Global Asset Allocation Portfolio
1.00$
Initial Capital
January 1985
28.31$
Final Capital
September 2024
8.77%
Yearly Return
8.13
Std Deviation
-24.91%
Max Drawdown
22 months
Recovery Period

The Bill Bernstein Sheltered Sam 50/50 Portfolio obtained a 7.15% compound annual return, with a 7.81% standard deviation, in the last 30 Years.

The Mebane Faber GAA Global Asset Allocation Portfolio obtained a 7.25% compound annual return, with a 8.06% 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)
Sheltered Sam 50/50
Bill Bernstein 		9.86 1.53 6.81 18.27 6.33 5.65 7.15 8.54
GAA Global Asset Allocation
Mebane Faber 		10.31 2.07 7.28 20.85 5.23 5.31 7.25 8.77
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since October 1994, now would be worth 7.93$, with a total return of 692.99% (7.15% annualized).

Mebane Faber GAA Global Asset Allocation Portfolio: an investment of 1$, since October 1994, now would be worth 8.16$, with a total return of 716.10% (7.25% annualized).


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Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since January 1985, now would be worth 25.99$, with a total return of 2498.76% (8.54% annualized).

Mebane Faber GAA Global Asset Allocation Portfolio: an investment of 1$, since January 1985, now would be worth 28.31$, with a total return of 2730.65% (8.77% 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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Sheltered Sam 50/50 GAA Global Asset Allocation
Author Bill Bernstein Mebane Faber
ASSET ALLOCATION
Stocks 48.5% 40.5%
Fixed Income 50% 49.5%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 18.27 20.85
Infl. Adjusted Return (%) 15.49 18.01
DRAWDOWN
Deepest Drawdown Depth (%) -2.60 -3.05
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -1.69 -3.05
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 4
RISK INDICATORS
Standard Deviation (%) 7.57 9.12
Sharpe Ratio 1.71 1.70
Sortino Ratio 2.32 2.39
Ulcer Index 0.87 1.06
Ratio: Return / Standard Deviation 2.41 2.29
Ratio: Return / Deepest Drawdown 7.02 6.84
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Sheltered Sam 50/50 GAA Global Asset Allocation
Author Bill Bernstein Mebane Faber
ASSET ALLOCATION
Stocks 48.5% 40.5%
Fixed Income 50% 49.5%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 6.33 5.23
Infl. Adjusted Return (%) 2.07 1.01
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -20.65
Start to Recovery (months) 27 32
Longest Drawdown Depth (%) -15.17 -20.65
Start to Recovery (months) 27 32
Longest Negative Period (months) 32 39
RISK INDICATORS
Standard Deviation (%) 9.69 10.98
Sharpe Ratio 0.43 0.28
Sortino Ratio 0.56 0.37
Ulcer Index 5.35 8.16
Ratio: Return / Standard Deviation 0.65 0.48
Ratio: Return / Deepest Drawdown 0.42 0.25
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Sheltered Sam 50/50 GAA Global Asset Allocation
Author Bill Bernstein Mebane Faber
ASSET ALLOCATION
Stocks 48.5% 40.5%
Fixed Income 50% 49.5%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 5.65 5.31
Infl. Adjusted Return (%) 2.72 2.39
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -20.65
Start to Recovery (months) 27 32
Longest Drawdown Depth (%) -15.17 -20.65
Start to Recovery (months) 27 32
Longest Negative Period (months) 32 39
RISK INDICATORS
Standard Deviation (%) 7.94 8.80
Sharpe Ratio 0.52 0.44
Sortino Ratio 0.70 0.59
Ulcer Index 4.04 6.09
Ratio: Return / Standard Deviation 0.71 0.60
Ratio: Return / Deepest Drawdown 0.37 0.26
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Sheltered Sam 50/50 GAA Global Asset Allocation
Author Bill Bernstein Mebane Faber
ASSET ALLOCATION
Stocks 48.5% 40.5%
Fixed Income 50% 49.5%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 7.15 7.25
Infl. Adjusted Return (%) 4.52 4.62
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -24.91
Start to Recovery (months) 36 22
Longest Drawdown Depth (%) -28.23 -20.65
Start to Recovery (months) 36 32
Longest Negative Period (months) 53 45
RISK INDICATORS
Standard Deviation (%) 7.81 8.06
Sharpe Ratio 0.62 0.62
Sortino Ratio 0.81 0.81
Ulcer Index 4.64 4.92
Ratio: Return / Standard Deviation 0.91 0.90
Ratio: Return / Deepest Drawdown 0.25 0.29
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Sheltered Sam 50/50 GAA Global Asset Allocation
Author Bill Bernstein Mebane Faber
ASSET ALLOCATION
Stocks 48.5% 40.5%
Fixed Income 50% 49.5%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 8.54 8.77
Infl. Adjusted Return (%) 5.60 5.82
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -24.91
Start to Recovery (months) 36 22
Longest Drawdown Depth (%) -28.23 -20.65
Start to Recovery (months) 36 32
Longest Negative Period (months) 53 45
RISK INDICATORS
Standard Deviation (%) 7.95 8.13
Sharpe Ratio 0.68 0.69
Sortino Ratio 0.88 0.93
Ulcer Index 4.31 4.48
Ratio: Return / Standard Deviation 1.07 1.08
Ratio: Return / Deepest Drawdown 0.30 0.35
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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Sheltered Sam 50/50 GAA Global Asset Allocation
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-24.91 22 Jun 2008
Mar 2010
-20.65 32 Jan 2022
Aug 2024
-15.17 27 Jan 2022
Mar 2024
-11.63 8 Jan 2020
Aug 2020
-9.35 6 Feb 2020
Jul 2020
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-7.79 12 Jun 2002
May 2003
-6.74 16 Mar 2015
Jun 2016
-6.63 8 Sep 2018
Apr 2019
-6.46 14 Feb 2018
Mar 2019
-6.25 6 May 1998
Oct 1998
-5.98 27 Feb 2001
Apr 2003
-5.55 14 Feb 2001
Mar 2002

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Sheltered Sam 50/50 GAA Global Asset Allocation
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-24.91 22 Jun 2008
Mar 2010
-20.65 32 Jan 2022
Aug 2024
-15.17 27 Jan 2022
Mar 2024
-13.42 14 Sep 1987
Oct 1988
-11.63 8 Jan 2020
Aug 2020
-9.35 6 Feb 2020
Jul 2020
-9.34 10 Sep 1987
Jun 1988
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-7.88 6 Aug 1990
Jan 1991
-7.79 12 Jun 2002
May 2003
-7.50 7 Jan 1990
Jul 1990
-6.74 16 Mar 2015
Jun 2016
-6.63 8 Sep 2018
Apr 2019

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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Sheltered Sam 50/50 GAA Global Asset Allocation
Year Return Drawdown Return Drawdown
2024
 9.86% -2.60% 10.31% -3.05%
2023
 9.63% -6.01% 12.13% -7.93%
2022
 -10.08% -15.17% -16.44% -20.65%
2021
 12.55% -2.18% 8.69% -2.47%
2020
 7.04% -11.63% 11.18% -9.35%
2019
 15.24% -2.72% 19.10% -1.28%
2018
 -4.12% -6.63% -5.13% -6.46%
2017
 9.70% 0.00% 13.30% 0.00%
2016
 8.66% -1.99% 6.40% -4.46%
2015
 -1.51% -5.30% -3.07% -6.44%
2014
 5.32% -2.47% 7.67% -2.74%
2013
 11.17% -2.24% 4.79% -5.48%
2012
 9.72% -3.50% 11.31% -3.02%
2011
 2.12% -8.99% 6.44% -4.21%
2010
 10.93% -6.18% 12.24% -3.58%
2009
 16.09% -12.02% 15.95% -12.21%
2008
 -16.49% -20.24% -13.28% -21.38%
2007
 5.90% -2.35% 9.54% -1.32%
2006
 12.64% -1.91% 11.66% -1.77%
2005
 6.50% -1.80% 8.99% -2.35%
2004
 11.37% -3.69% 11.55% -4.36%
2003
 20.88% -1.95% 19.76% -1.64%
2002
 -0.98% -7.79% 3.07% -3.96%
2001
 1.33% -5.55% -2.12% -5.98%
2000
 7.28% -2.16% 5.03% -2.40%
1999
 8.35% -2.52% 12.08% -2.46%
1998
 8.46% -8.55% 10.04% -6.25%
1997
 14.60% -2.41% 7.28% -3.30%
1996
 11.34% -2.06% 9.53% -1.45%
1995
 21.19% -0.68% 20.68% -0.02%
1994
 -1.95% -5.96% -2.55% -6.39%
1993
 17.86% -1.94% 18.89% -2.72%
1992
 8.64% -1.26% 3.70% -3.77%
1991
 23.09% -2.50% 22.21% -2.63%
1990
 -1.30% -7.88% -0.08% -7.50%
1989
 19.77% -0.79% 21.05% -0.43%
1988
 13.45% -1.64% 13.71% -2.08%
1987
 3.26% -13.42% 5.70% -9.34%
1986
 19.83% -3.33% 24.35% -3.30%
1985
 26.90% -1.21% 29.87% -1.43%