Bill Bernstein Sheltered Sam 50/50 vs Fulvio Marchese In Saecula Saeculorum Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
September 1994
7.66$
Final Capital
August 2024
7.02%
Yearly Return
7.82
Std Deviation
-28.23%
Max Drawdown
36 months
Recovery Period
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
September 1994
10.18$
Final Capital
August 2024
8.04%
Yearly Return
7.84
Std Deviation
-20.39%
Max Drawdown
25 months
Recovery Period
Bill Bernstein Sheltered Sam 50/50 Portfolio
1.00$
Initial Capital
January 1985
25.60$
Final Capital
August 2024
8.52%
Yearly Return
7.96
Std Deviation
-28.23%
Max Drawdown
36 months
Recovery Period
Fulvio Marchese In Saecula Saeculorum Portfolio
1.00$
Initial Capital
January 1985
29.24$
Final Capital
August 2024
8.88%
Yearly Return
7.95
Std Deviation
-20.39%
Max Drawdown
25 months
Recovery Period

The Bill Bernstein Sheltered Sam 50/50 Portfolio obtained a 7.02% compound annual return, with a 7.82% standard deviation, in the last 30 Years.

The Fulvio Marchese In Saecula Saeculorum Portfolio obtained a 8.04% compound annual return, with a 7.84% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Sheltered Sam 50/50
Bill Bernstein 		8.20 1.47 7.46 13.32 6.29 5.23 7.02 8.52
In Saecula Saeculorum
Fulvio Marchese 		11.62 1.83 9.37 17.81 7.92 7.10 8.04 8.88
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since September 1994, now would be worth 7.66$, with a total return of 665.86% (7.02% annualized).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since September 1994, now would be worth 10.18$, with a total return of 917.53% (8.04% annualized).


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Bill Bernstein Sheltered Sam 50/50 Portfolio: an investment of 1$, since January 1985, now would be worth 25.60$, with a total return of 2459.57% (8.52% annualized).

Fulvio Marchese In Saecula Saeculorum Portfolio: an investment of 1$, since January 1985, now would be worth 29.24$, with a total return of 2823.95% (8.88% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Sheltered Sam 50/50 In Saecula Saeculorum
Author Bill Bernstein Fulvio Marchese
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 45%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 13.32 17.81
Infl. Adjusted Return (%) 10.67 15.05
DRAWDOWN
Deepest Drawdown Depth (%) -4.36 -5.06
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -4.36 -5.06
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.54 9.81
Sharpe Ratio 0.94 1.27
Sortino Ratio 1.28 1.69
Ulcer Index 1.60 1.94
Ratio: Return / Standard Deviation 1.56 1.82
Ratio: Return / Deepest Drawdown 3.06 3.52
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Sheltered Sam 50/50 In Saecula Saeculorum
Author Bill Bernstein Fulvio Marchese
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 45%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 6.29 7.92
Infl. Adjusted Return (%) 2.07 3.63
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -18.89
Start to Recovery (months) 27 26
Longest Drawdown Depth (%) -15.17 -18.89
Start to Recovery (months) 27 26
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 9.68 10.58
Sharpe Ratio 0.43 0.55
Sortino Ratio 0.56 0.73
Ulcer Index 5.35 6.91
Ratio: Return / Standard Deviation 0.65 0.75
Ratio: Return / Deepest Drawdown 0.41 0.42
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Sheltered Sam 50/50 In Saecula Saeculorum
Author Bill Bernstein Fulvio Marchese
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 45%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 5.23 7.10
Infl. Adjusted Return (%) 2.34 4.17
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -18.89
Start to Recovery (months) 27 26
Longest Drawdown Depth (%) -15.17 -18.89
Start to Recovery (months) 27 26
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 7.99 8.54
Sharpe Ratio 0.47 0.66
Sortino Ratio 0.63 0.89
Ulcer Index 4.05 5.06
Ratio: Return / Standard Deviation 0.65 0.83
Ratio: Return / Deepest Drawdown 0.34 0.38
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Sheltered Sam 50/50 In Saecula Saeculorum
Author Bill Bernstein Fulvio Marchese
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 45%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 7.02 8.04
Infl. Adjusted Return (%) 4.40 5.39
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -20.39
Start to Recovery (months) 36 25
Longest Drawdown Depth (%) -28.23 -10.13
Start to Recovery (months) 36 33
Longest Negative Period (months) 53 43
RISK INDICATORS
Standard Deviation (%) 7.82 7.84
Sharpe Ratio 0.60 0.73
Sortino Ratio 0.79 0.97
Ulcer Index 4.65 4.44
Ratio: Return / Standard Deviation 0.90 1.03
Ratio: Return / Deepest Drawdown 0.25 0.39
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Sheltered Sam 50/50 In Saecula Saeculorum
Author Bill Bernstein Fulvio Marchese
ASSET ALLOCATION
Stocks 48.5% 45%
Fixed Income 50% 45%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 8.52 8.88
Infl. Adjusted Return (%) 5.58 5.93
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -20.39
Start to Recovery (months) 36 25
Longest Drawdown Depth (%) -28.23 -10.13
Start to Recovery (months) 36 33
Longest Negative Period (months) 53 43
RISK INDICATORS
Standard Deviation (%) 7.96 7.95
Sharpe Ratio 0.68 0.72
Sortino Ratio 0.88 0.96
Ulcer Index 4.31 4.15
Ratio: Return / Standard Deviation 1.07 1.12
Ratio: Return / Deepest Drawdown 0.30 0.44
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)

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Sheltered Sam 50/50 In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-15.17 27 Jan 2022
Mar 2024
-11.63 8 Jan 2020
Aug 2020
-10.13 33 Sep 2000
May 2003
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-7.79 12 Jun 2002
May 2003
-6.63 8 Sep 2018
Apr 2019
-5.64 6 Sep 2018
Feb 2019
-5.55 14 Feb 2001
Mar 2002
-5.30 13 Jun 2015
Jun 2016

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Sheltered Sam 50/50 In Saecula Saeculorum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-20.39 25 Nov 2007
Nov 2009
-18.89 26 Jan 2022
Feb 2024
-15.17 27 Jan 2022
Mar 2024
-13.51 17 Sep 1987
Jan 1989
-13.42 14 Sep 1987
Oct 1988
-11.63 8 Jan 2020
Aug 2020
-10.13 33 Sep 2000
May 2003
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-8.50 4 Feb 2020
May 2020
-7.93 5 Jul 1998
Nov 1998
-7.88 6 Aug 1990
Jan 1991
-7.79 12 Jun 2002
May 2003
-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 - 31 August 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 In Saecula Saeculorum
Year Return Drawdown Return Drawdown
2024
 8.20% -2.60% 11.62% -2.83%
2023
 9.63% -6.01% 15.53% -6.33%
2022
 -10.08% -15.17% -14.97% -18.89%
2021
 12.55% -2.18% 10.12% -3.03%
2020
 7.04% -11.63% 15.89% -8.50%
2019
 15.24% -2.72% 20.14% -2.10%
2018
 -4.12% -6.63% -2.76% -5.64%
2017
 9.70% 0.00% 12.42% -0.04%
2016
 8.66% -1.99% 7.79% -2.43%
2015
 -1.51% -5.30% -0.75% -4.59%
2014
 5.32% -2.47% 8.52% -2.04%
2013
 11.17% -2.24% 10.73% -2.94%
2012
 9.72% -3.50% 10.41% -2.92%
2011
 2.12% -8.99% 6.12% -4.77%
2010
 10.93% -6.18% 14.27% -4.00%
2009
 16.09% -12.02% 15.39% -9.28%
2008
 -16.49% -20.24% -11.54% -16.70%
2007
 5.90% -2.35% 8.83% -2.17%
2006
 12.64% -1.91% 10.84% -2.11%
2005
 6.50% -1.80% 5.47% -1.69%
2004
 11.37% -3.69% 7.97% -3.39%
2003
 20.88% -1.95% 18.47% -1.50%
2002
 -0.98% -7.79% -1.22% -5.96%
2001
 1.33% -5.55% -1.59% -6.44%
2000
 7.28% -2.16% 0.64% -5.96%
1999
 8.35% -2.52% 9.19% -2.99%
1998
 8.46% -8.55% 15.29% -7.93%
1997
 14.60% -2.41% 16.19% -2.95%
1996
 11.34% -2.06% 9.83% -2.50%
1995
 21.19% -0.68% 25.73% 0.00%
1994
 -1.95% -5.96% -2.41% -5.96%
1993
 17.86% -1.94% 11.66% -1.36%
1992
 8.64% -1.26% 6.70% -2.12%
1991
 23.09% -2.50% 21.54% -2.17%
1990
 -1.30% -7.88% 0.53% -6.19%
1989
 19.77% -0.79% 19.19% -1.49%
1988
 13.45% -1.64% 9.59% -2.18%
1987
 3.26% -13.42% 3.95% -13.51%
1986
 19.83% -3.33% 16.23% -3.74%
1985
 26.90% -1.21% 25.62% -1.83%