Bill Bernstein Sheltered Sam 60/40 vs Marc Faber 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 60/40 Portfolio
1.00$
Initial Capital
October 1994
9.20$
Final Capital
September 2024
7.68%
Yearly Return
9.23
Std Deviation
-34.12%
Max Drawdown
38 months
Recovery Period
Marc Faber Portfolio
1.00$
Initial Capital
October 1994
9.69$
Final Capital
September 2024
7.86%
Yearly Return
9.71
Std Deviation
-28.82%
Max Drawdown
22 months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
January 1985
32.00$
Final Capital
September 2024
9.11%
Yearly Return
9.29
Std Deviation
-34.12%
Max Drawdown
38 months
Recovery Period
Marc Faber Portfolio
1.00$
Initial Capital
January 1985
25.63$
Final Capital
September 2024
8.50%
Yearly Return
9.13
Std Deviation
-28.82%
Max Drawdown
22 months
Recovery Period

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.68% compound annual return, with a 9.23% standard deviation, in the last 30 Years.

The Marc Faber Portfolio obtained a 7.86% compound annual return, with a 9.71% 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 60/40
Bill Bernstein 		10.96 1.62 7.31 20.40 7.24 6.42 7.68 9.11
Marc Faber Portfolio
Marc Faber 		15.73 3.07 12.08 29.35 7.62 6.92 7.86 8.50
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since October 1994, now would be worth 9.20$, with a total return of 819.51% (7.68% annualized).

Marc Faber Portfolio: an investment of 1$, since October 1994, now would be worth 9.69$, with a total return of 869.21% (7.86% annualized).


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Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 32.00$, with a total return of 3100.14% (9.11% annualized).

Marc Faber Portfolio: an investment of 1$, since January 1985, now would be worth 25.63$, with a total return of 2462.96% (8.50% 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 60/40 Marc Faber Portfolio
Author Bill Bernstein Marc Faber
ASSET ALLOCATION
Stocks 58.2% 50%
Fixed Income 40% 25%
Commodities 1.8% 25%
PERFORMANCES
Annualized Return (%) 20.40 29.35
Infl. Adjusted Return (%) 17.57 26.30
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -2.54
Start to Recovery (months) 3 2
Longest Drawdown Depth (%) -2.92 -1.70
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 8.59 9.01
Sharpe Ratio 1.75 2.66
Sortino Ratio 2.37 3.58
Ulcer Index 1.00 0.85
Ratio: Return / Standard Deviation 2.38 3.26
Ratio: Return / Deepest Drawdown 6.98 11.55
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Sheltered Sam 60/40 Marc Faber Portfolio
Author Bill Bernstein Marc Faber
ASSET ALLOCATION
Stocks 58.2% 50%
Fixed Income 40% 25%
Commodities 1.8% 25%
PERFORMANCES
Annualized Return (%) 7.24 7.62
Infl. Adjusted Return (%) 2.93 3.30
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -19.93
Start to Recovery (months) 27 30
Longest Drawdown Depth (%) -16.48 -19.93
Start to Recovery (months) 27 30
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 11.25 11.97
Sharpe Ratio 0.45 0.45
Sortino Ratio 0.59 0.61
Ulcer Index 5.86 7.41
Ratio: Return / Standard Deviation 0.64 0.64
Ratio: Return / Deepest Drawdown 0.44 0.38
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Sheltered Sam 60/40 Marc Faber Portfolio
Author Bill Bernstein Marc Faber
ASSET ALLOCATION
Stocks 58.2% 50%
Fixed Income 40% 25%
Commodities 1.8% 25%
PERFORMANCES
Annualized Return (%) 6.42 6.92
Infl. Adjusted Return (%) 3.47 3.95
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -19.93
Start to Recovery (months) 27 30
Longest Drawdown Depth (%) -16.48 -19.93
Start to Recovery (months) 27 30
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 9.29 9.80
Sharpe Ratio 0.53 0.55
Sortino Ratio 0.71 0.77
Ulcer Index 4.47 5.74
Ratio: Return / Standard Deviation 0.69 0.71
Ratio: Return / Deepest Drawdown 0.39 0.35
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Sheltered Sam 60/40 Marc Faber Portfolio
Author Bill Bernstein Marc Faber
ASSET ALLOCATION
Stocks 58.2% 50%
Fixed Income 40% 25%
Commodities 1.8% 25%
PERFORMANCES
Annualized Return (%) 7.68 7.86
Infl. Adjusted Return (%) 5.03 5.22
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -28.82
Start to Recovery (months) 38 22
Longest Drawdown Depth (%) -34.12 -19.93
Start to Recovery (months) 38 30
Longest Negative Period (months) 62 41
RISK INDICATORS
Standard Deviation (%) 9.23 9.71
Sharpe Ratio 0.58 0.57
Sortino Ratio 0.76 0.76
Ulcer Index 5.84 5.36
Ratio: Return / Standard Deviation 0.83 0.81
Ratio: Return / Deepest Drawdown 0.22 0.27
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Sheltered Sam 60/40 Marc Faber Portfolio
Author Bill Bernstein Marc Faber
ASSET ALLOCATION
Stocks 58.2% 50%
Fixed Income 40% 25%
Commodities 1.8% 25%
PERFORMANCES
Annualized Return (%) 9.11 8.50
Infl. Adjusted Return (%) 6.15 5.56
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -28.82
Start to Recovery (months) 38 22
Longest Drawdown Depth (%) -34.12 -19.93
Start to Recovery (months) 38 30
Longest Negative Period (months) 62 41
RISK INDICATORS
Standard Deviation (%) 9.29 9.13
Sharpe Ratio 0.64 0.59
Sortino Ratio 0.83 0.78
Ulcer Index 5.39 4.85
Ratio: Return / Standard Deviation 0.98 0.93
Ratio: Return / Deepest Drawdown 0.27 0.30
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 60/40 Marc Faber Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-28.82 22 Jun 2008
Mar 2010
-19.93 30 Jan 2022
Jun 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-11.30 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
-10.47 12 May 1998
Apr 1999
-7.96 5 Sep 2011
Jan 2012
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.74 15 Feb 2015
Apr 2016
-7.73 12 Aug 2016
Jul 2017

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Sheltered Sam 60/40 Marc Faber Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-28.82 22 Jun 2008
Mar 2010
-19.93 30 Jan 2022
Jun 2024
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-14.38 11 Jan 2020
Nov 2020
-11.30 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
-10.47 12 May 1998
Apr 1999
-9.53 7 Aug 1990
Feb 1991
-9.04 17 Sep 1987
Jan 1989
-8.47 14 Jan 1990
Feb 1991
-7.96 5 Sep 2011
Jan 2012

Rolling Returns

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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 60/40 Marc Faber Portfolio
Year Return Drawdown Return Drawdown
2024
 10.96% -2.92% 15.73% -2.54%
2023
 10.82% -6.95% 12.80% -6.81%
2022
 -10.58% -16.48% -14.67% -19.93%
2021
 14.69% -2.50% 12.98% -3.70%
2020
 7.21% -14.38% 11.15% -11.30%
2019
 17.21% -3.44% 20.49% -0.76%
2018
 -5.00% -7.94% -4.39% -5.23%
2017
 11.37% 0.00% 11.79% -0.53%
2016
 9.92% -2.59% 6.97% -7.73%
2015
 -1.72% -6.23% -2.47% -7.74%
2014
 6.04% -2.73% 9.60% -4.12%
2013
 14.05% -2.24% -1.18% -7.32%
2012
 11.12% -4.47% 11.20% -4.70%
2011
 1.31% -11.25% 4.97% -7.96%
2010
 12.35% -7.59% 19.36% -3.86%
2009
 18.56% -14.17% 22.95% -12.23%
2008
 -20.58% -24.12% -16.28% -24.88%
2007
 5.25% -3.35% 8.25% -4.55%
2006
 14.67% -2.30% 20.89% -2.23%
2005
 7.42% -2.17% 11.20% -3.43%
2004
 12.90% -3.90% 13.91% -7.35%
2003
 24.15% -2.61% 23.98% -1.74%
2002
 -3.47% -10.65% 4.97% -6.80%
2001
 0.06% -7.95% 1.95% -4.37%
2000
 6.26% -3.25% 4.65% -3.12%
1999
 10.16% -2.69% 7.25% -3.69%
1998
 8.53% -10.89% 2.17% -10.47%
1997
 15.72% -2.73% 5.23% -3.45%
1996
 12.97% -2.50% 12.19% -0.80%
1995
 22.13% -1.03% 13.03% -1.18%
1994
 -1.78% -6.11% -3.18% -6.45%
1993
 19.41% -2.18% 19.45% -2.71%
1992
 8.86% -1.38% 3.34% -3.05%
1991
 24.84% -2.94% 19.75% -1.89%
1990
 -3.41% -9.53% -4.94% -8.47%
1989
 21.08% -1.37% 13.95% -0.81%
1988
 14.93% -1.85% 7.03% -1.66%
1987
 3.35% -16.09% 6.79% -9.04%
1986
 21.08% -3.67% 21.19% -0.55%
1985
 28.54% -1.57% 21.48% -1.50%