Bill Bernstein Sheltered Sam 50/50 vs Davide Pisicchio PISI 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
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
September 1994
8.38$
Final Capital
August 2024
7.34%
Yearly Return
6.49
Std Deviation
-18.36%
Max Drawdown
31 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
Davide Pisicchio PISI Portfolio
1.00$
Initial Capital
January 1985
23.88$
Final Capital
August 2024
8.33%
Yearly Return
6.77
Std Deviation
-18.36%
Max Drawdown
31 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 Davide Pisicchio PISI Portfolio obtained a 7.34% compound annual return, with a 6.49% 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
PISI Portfolio
Davide Pisicchio 		9.24 1.73 8.58 14.60 5.06 5.33 7.34 8.33
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).

Davide Pisicchio PISI Portfolio: an investment of 1$, since September 1994, now would be worth 8.38$, with a total return of 737.73% (7.34% 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).

Davide Pisicchio PISI Portfolio: an investment of 1$, since January 1985, now would be worth 23.88$, with a total return of 2287.71% (8.33% 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 PISI Portfolio
Author Bill Bernstein Davide Pisicchio
ASSET ALLOCATION
Stocks 48.5% 30%
Fixed Income 50% 60%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 13.32 14.60
Infl. Adjusted Return (%) 10.67 11.92
DRAWDOWN
Deepest Drawdown Depth (%) -4.36 -5.14
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -4.36 -5.14
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 3
RISK INDICATORS
Standard Deviation (%) 8.54 9.54
Sharpe Ratio 0.94 0.97
Sortino Ratio 1.28 1.31
Ulcer Index 1.60 1.96
Ratio: Return / Standard Deviation 1.56 1.53
Ratio: Return / Deepest Drawdown 3.06 2.84
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Sheltered Sam 50/50 PISI Portfolio
Author Bill Bernstein Davide Pisicchio
ASSET ALLOCATION
Stocks 48.5% 30%
Fixed Income 50% 60%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 6.29 5.06
Infl. Adjusted Return (%) 2.07 0.89
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -18.36
Start to Recovery (months) 27 31
Longest Drawdown Depth (%) -15.17 -18.36
Start to Recovery (months) 27 31
Longest Negative Period (months) 32 41
RISK INDICATORS
Standard Deviation (%) 9.68 9.06
Sharpe Ratio 0.43 0.32
Sortino Ratio 0.56 0.44
Ulcer Index 5.35 7.36
Ratio: Return / Standard Deviation 0.65 0.56
Ratio: Return / Deepest Drawdown 0.41 0.28
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Sheltered Sam 50/50 PISI Portfolio
Author Bill Bernstein Davide Pisicchio
ASSET ALLOCATION
Stocks 48.5% 30%
Fixed Income 50% 60%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 5.23 5.33
Infl. Adjusted Return (%) 2.34 2.45
DRAWDOWN
Deepest Drawdown Depth (%) -15.17 -18.36
Start to Recovery (months) 27 31
Longest Drawdown Depth (%) -15.17 -18.36
Start to Recovery (months) 27 31
Longest Negative Period (months) 32 41
RISK INDICATORS
Standard Deviation (%) 7.99 7.23
Sharpe Ratio 0.47 0.54
Sortino Ratio 0.63 0.74
Ulcer Index 4.05 5.34
Ratio: Return / Standard Deviation 0.65 0.74
Ratio: Return / Deepest Drawdown 0.34 0.29
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Sheltered Sam 50/50 PISI Portfolio
Author Bill Bernstein Davide Pisicchio
ASSET ALLOCATION
Stocks 48.5% 30%
Fixed Income 50% 60%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 7.02 7.34
Infl. Adjusted Return (%) 4.40 4.71
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -18.36
Start to Recovery (months) 36 31
Longest Drawdown Depth (%) -28.23 -18.36
Start to Recovery (months) 36 31
Longest Negative Period (months) 53 41
RISK INDICATORS
Standard Deviation (%) 7.82 6.49
Sharpe Ratio 0.60 0.78
Sortino Ratio 0.79 1.06
Ulcer Index 4.65 3.47
Ratio: Return / Standard Deviation 0.90 1.13
Ratio: Return / Deepest Drawdown 0.25 0.40
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Sheltered Sam 50/50 PISI Portfolio
Author Bill Bernstein Davide Pisicchio
ASSET ALLOCATION
Stocks 48.5% 30%
Fixed Income 50% 60%
Commodities 1.5% 10%
PERFORMANCES
Annualized Return (%) 8.52 8.33
Infl. Adjusted Return (%) 5.58 5.39
DRAWDOWN
Deepest Drawdown Depth (%) -28.23 -18.36
Start to Recovery (months) 36 31
Longest Drawdown Depth (%) -28.23 -18.36
Start to Recovery (months) 36 31
Longest Negative Period (months) 53 41
RISK INDICATORS
Standard Deviation (%) 7.96 6.77
Sharpe Ratio 0.68 0.77
Sortino Ratio 0.88 1.06
Ulcer Index 4.31 3.26
Ratio: Return / Standard Deviation 1.07 1.23
Ratio: Return / Deepest Drawdown 0.30 0.45
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 PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-18.36 31 Jan 2022
Jul 2024
-15.17 27 Jan 2022
Mar 2024
-11.84 18 Mar 2008
Aug 2009
-11.63 8 Jan 2020
Aug 2020
-8.99 10 May 2011
Feb 2012
-8.55 8 May 1998
Dec 1998
-7.79 12 Jun 2002
May 2003
-6.63 8 Sep 2018
Apr 2019
-5.55 14 Feb 2001
Mar 2002
-5.30 13 Jun 2015
Jun 2016
-4.45 6 May 2013
Oct 2013
-4.39 9 Aug 2016
Apr 2017
-4.30 3 Jul 1998
Sep 1998
-4.06 7 Apr 2004
Oct 2004

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Sheltered Sam 50/50 PISI Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-28.23 36 Nov 2007
Oct 2010
-18.36 31 Jan 2022
Jul 2024
-15.17 27 Jan 2022
Mar 2024
-13.42 14 Sep 1987
Oct 1988
-11.84 18 Mar 2008
Aug 2009
-11.63 8 Jan 2020
Aug 2020
-8.99 10 May 2011
Feb 2012
-8.72 13 Sep 1987
Sep 1988
-8.55 8 May 1998
Dec 1998
-7.88 6 Aug 1990
Jan 1991
-7.79 12 Jun 2002
May 2003
-6.99 14 Feb 1994
Mar 1995
-6.63 8 Sep 2018
Apr 2019
-5.96 15 Feb 1994
Apr 1995
-5.55 14 Feb 2001
Mar 2002

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 PISI Portfolio
Year Return Drawdown Return Drawdown
2024
 8.20% -2.60% 9.24% -2.89%
2023
 9.63% -6.01% 11.85% -6.31%
2022
 -10.08% -15.17% -15.32% -18.36%
2021
 12.55% -2.18% 5.44% -2.73%
2020
 7.04% -11.63% 14.89% -3.27%
2019
 15.24% -2.72% 16.74% -0.45%
2018
 -4.12% -6.63% -1.64% -3.17%
2017
 9.70% 0.00% 9.63% -0.31%
2016
 8.66% -1.99% 5.77% -4.39%
2015
 -1.51% -5.30% -0.33% -3.27%
2014
 5.32% -2.47% 8.90% -1.94%
2013
 11.17% -2.24% 3.96% -4.45%
2012
 9.72% -3.50% 8.48% -1.19%
2011
 2.12% -8.99% 10.04% -2.16%
2010
 10.93% -6.18% 13.77% -0.81%
2009
 16.09% -12.02% 8.62% -7.60%
2008
 -16.49% -20.24% -1.41% -11.84%
2007
 5.90% -2.35% 10.22% -1.06%
2006
 12.64% -1.91% 8.64% -1.66%
2005
 6.50% -1.80% 5.11% -1.64%
2004
 11.37% -3.69% 6.93% -4.06%
2003
 20.88% -1.95% 14.77% -2.33%
2002
 -0.98% -7.79% 5.17% -2.10%
2001
 1.33% -5.55% 0.43% -3.41%
2000
 7.28% -2.16% 5.99% -3.34%
1999
 8.35% -2.52% 3.16% -3.71%
1998
 8.46% -8.55% 15.05% -4.30%
1997
 14.60% -2.41% 14.04% -2.79%
1996
 11.34% -2.06% 6.11% -3.11%
1995
 21.19% -0.68% 25.75% 0.00%
1994
 -1.95% -5.96% -4.28% -6.99%
1993
 17.86% -1.94% 12.70% -1.83%
1992
 8.64% -1.26% 6.47% -2.97%
1991
 23.09% -2.50% 20.24% -1.61%
1990
 -1.30% -7.88% 2.41% -5.27%
1989
 19.77% -0.79% 18.47% -1.50%
1988
 13.45% -1.64% 8.03% -2.27%
1987
 3.26% -13.42% 2.16% -8.72%
1986
 19.83% -3.33% 18.59% -3.19%
1985
 26.90% -1.21% 27.30% -2.04%