Bill Bernstein Sheltered Sam 60/40 vs DFA Dimensional 2030 Retirement Income 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 60/40 Portfolio
1.00$
Initial Capital
September 1994
8.86$
Final Capital
August 2024
7.54%
Yearly Return
9.24
Std Deviation
-34.12%
Max Drawdown
38 months
Recovery Period
DFA Dimensional 2030 Retirement Income Portfolio
1.00$
Initial Capital
September 1994
8.87$
Final Capital
August 2024
7.55%
Yearly Return
9.21
Std Deviation
-31.78%
Max Drawdown
36 months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
January 1985
31.49$
Final Capital
August 2024
9.09%
Yearly Return
9.30
Std Deviation
-34.12%
Max Drawdown
38 months
Recovery Period
DFA Dimensional 2030 Retirement Income Portfolio
1.00$
Initial Capital
January 1985
33.45$
Final Capital
August 2024
9.25%
Yearly Return
9.49
Std Deviation
-31.78%
Max Drawdown
36 months
Recovery Period

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.54% compound annual return, with a 9.24% standard deviation, in the last 30 Years.

The DFA Dimensional 2030 Retirement Income Portfolio obtained a 7.55% compound annual return, with a 9.21% 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 60/40
Bill Bernstein 		9.19 1.58 8.22 14.84 7.25 5.96 7.54 9.09
Dimensional 2030 Retirement Income
DFA 		10.16 1.69 7.71 15.69 7.64 6.28 7.55 9.25
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since September 1994, now would be worth 8.86$, with a total return of 786.23% (7.54% annualized).

DFA Dimensional 2030 Retirement Income Portfolio: an investment of 1$, since September 1994, now would be worth 8.87$, with a total return of 787.14% (7.55% annualized).


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Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 31.49$, with a total return of 3049.14% (9.09% annualized).

DFA Dimensional 2030 Retirement Income Portfolio: an investment of 1$, since January 1985, now would be worth 33.45$, with a total return of 3244.71% (9.25% 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 60/40 Dimensional 2030 Retirement Income
Author Bill Bernstein DFA
ASSET ALLOCATION
Stocks 58.2% 55.9%
Fixed Income 40% 44.1%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 14.84 15.69
Infl. Adjusted Return (%) 12.15 12.98
DRAWDOWN
Deepest Drawdown Depth (%) -5.02 -5.00
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.02 -5.00
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 9.68 9.25
Sharpe Ratio 0.98 1.12
Sortino Ratio 1.34 1.52
Ulcer Index 1.84 1.81
Ratio: Return / Standard Deviation 1.53 1.70
Ratio: Return / Deepest Drawdown 2.95 3.14
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Sheltered Sam 60/40 Dimensional 2030 Retirement Income
Author Bill Bernstein DFA
ASSET ALLOCATION
Stocks 58.2% 55.9%
Fixed Income 40% 44.1%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.25 7.64
Infl. Adjusted Return (%) 2.99 3.36
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -20.34
Start to Recovery (months) 27 27
Longest Drawdown Depth (%) -16.48 -20.34
Start to Recovery (months) 27 27
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 11.25 11.37
Sharpe Ratio 0.46 0.48
Sortino Ratio 0.60 0.63
Ulcer Index 5.86 7.40
Ratio: Return / Standard Deviation 0.64 0.67
Ratio: Return / Deepest Drawdown 0.44 0.38
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Sheltered Sam 60/40 Dimensional 2030 Retirement Income
Author Bill Bernstein DFA
ASSET ALLOCATION
Stocks 58.2% 55.9%
Fixed Income 40% 44.1%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 5.96 6.28
Infl. Adjusted Return (%) 3.05 3.36
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -20.34
Start to Recovery (months) 27 27
Longest Drawdown Depth (%) -16.48 -20.34
Start to Recovery (months) 27 27
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 9.34 9.41
Sharpe Ratio 0.48 0.51
Sortino Ratio 0.64 0.68
Ulcer Index 4.48 5.56
Ratio: Return / Standard Deviation 0.64 0.67
Ratio: Return / Deepest Drawdown 0.36 0.31
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Sheltered Sam 60/40 Dimensional 2030 Retirement Income
Author Bill Bernstein DFA
ASSET ALLOCATION
Stocks 58.2% 55.9%
Fixed Income 40% 44.1%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.54 7.55
Infl. Adjusted Return (%) 4.91 4.91
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -31.78
Start to Recovery (months) 38 36
Longest Drawdown Depth (%) -34.12 -15.10
Start to Recovery (months) 38 38
Longest Negative Period (months) 62 60
RISK INDICATORS
Standard Deviation (%) 9.24 9.21
Sharpe Ratio 0.57 0.57
Sortino Ratio 0.74 0.74
Ulcer Index 5.85 6.20
Ratio: Return / Standard Deviation 0.82 0.82
Ratio: Return / Deepest Drawdown 0.22 0.24
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Sheltered Sam 60/40 Dimensional 2030 Retirement Income
Author Bill Bernstein DFA
ASSET ALLOCATION
Stocks 58.2% 55.9%
Fixed Income 40% 44.1%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 9.09 9.25
Infl. Adjusted Return (%) 6.13 6.29
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -31.78
Start to Recovery (months) 38 36
Longest Drawdown Depth (%) -34.12 -15.10
Start to Recovery (months) 38 38
Longest Negative Period (months) 62 60
RISK INDICATORS
Standard Deviation (%) 9.30 9.49
Sharpe Ratio 0.64 0.64
Sortino Ratio 0.83 0.85
Ulcer Index 5.40 5.70
Ratio: Return / Standard Deviation 0.98 0.97
Ratio: Return / Deepest Drawdown 0.27 0.29
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 60/40 Dimensional 2030 Retirement Income
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-31.78 36 Nov 2007
Oct 2010
-20.34 27 Jan 2022
Mar 2024
-16.48 27 Jan 2022
Mar 2024
-15.10 38 Sep 2000
Oct 2003
-14.38 11 Jan 2020
Nov 2020
-11.58 6 Feb 2020
Jul 2020
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-9.50 9 May 2011
Jan 2012
-8.22 5 Jul 1998
Nov 1998
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.57 14 Feb 2018
Mar 2019

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Sheltered Sam 60/40 Dimensional 2030 Retirement Income
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-31.78 36 Nov 2007
Oct 2010
-20.34 27 Jan 2022
Mar 2024
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-15.36 16 Sep 1987
Dec 1988
-15.10 38 Sep 2000
Oct 2003
-14.38 11 Jan 2020
Nov 2020
-11.58 6 Feb 2020
Jul 2020
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.69 7 Aug 1990
Feb 1991
-10.65 13 Jun 2002
Jun 2003
-9.53 7 Aug 1990
Feb 1991
-9.50 9 May 2011
Jan 2012

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 60/40 Dimensional 2030 Retirement Income
Year Return Drawdown Return Drawdown
2024
 9.19% -2.92% 10.16% -2.68%
2023
 10.82% -6.95% 14.37% -6.81%
2022
 -10.58% -16.48% -15.68% -20.34%
2021
 14.69% -2.50% 12.36% -2.79%
2020
 7.21% -14.38% 13.87% -11.58%
2019
 17.21% -3.44% 18.74% -2.99%
2018
 -5.00% -7.94% -4.97% -7.57%
2017
 11.37% 0.00% 14.85% 0.00%
2016
 9.92% -2.59% 7.26% -2.45%
2015
 -1.72% -6.23% -1.32% -6.97%
2014
 6.04% -2.73% 5.23% -2.58%
2013
 14.05% -2.24% 11.66% -3.78%
2012
 11.12% -4.47% 12.36% -4.05%
2011
 1.31% -11.25% 2.36% -9.50%
2010
 12.35% -7.59% 10.90% -6.53%
2009
 18.56% -14.17% 22.15% -11.27%
2008
 -20.58% -24.12% -21.57% -25.38%
2007
 5.25% -3.35% 10.20% -1.97%
2006
 14.67% -2.30% 11.79% -2.25%
2005
 7.42% -2.17% 7.33% -2.02%
2004
 12.90% -3.90% 11.75% -3.31%
2003
 24.15% -2.61% 22.57% -1.69%
2002
 -3.47% -10.65% -4.09% -9.28%
2001
 0.06% -7.95% -3.94% -11.17%
2000
 6.26% -3.25% -0.49% -5.91%
1999
 10.16% -2.69% 15.39% -2.49%
1998
 8.53% -10.89% 15.08% -8.22%
1997
 15.72% -2.73% 14.36% -4.20%
1996
 12.97% -2.50% 10.23% -2.48%
1995
 22.13% -1.03% 22.89% -0.22%
1994
 -1.78% -6.11% -1.78% -6.92%
1993
 19.41% -2.18% 19.97% -2.72%
1992
 8.86% -1.38% 3.96% -4.06%
1991
 24.84% -2.94% 26.29% -3.29%
1990
 -3.41% -9.53% -2.02% -10.69%
1989
 21.08% -1.37% 23.94% -0.66%
1988
 14.93% -1.85% 14.85% -2.75%
1987
 3.35% -16.09% 4.04% -15.36%
1986
 21.08% -3.67% 23.82% -4.63%
1985
 28.54% -1.57% 31.63% -1.43%