Bill Bernstein Sheltered Sam 60/40 Portfolio vs Stocks/Bonds 40/60 Momentum Portfolio Portfolio Comparison

Simulation Settings
Period: January 1985 - November 2024 (~40 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Results
30 Years
All (since January 1985)
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
December 1994
9.54$
Final Capital
November 2024
7.81%
Yearly Return
9.23%
Std Deviation
-34.12%
Max Drawdown
38months
Recovery Period
1.00$
Initial Capital
January 1985
32.46$
Final Capital
November 2024
9.11%
Yearly Return
9.29%
Std Deviation
-34.12%
Max Drawdown
38months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
December 1994
11.68$
Final Capital
November 2024
8.54%
Yearly Return
7.05%
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period
1.00$
Initial Capital
January 1985
35.82$
Final Capital
November 2024
9.38%
Yearly Return
7.35%
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period

As of November 2024, in the previous 30 Years, the Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.81% compound annual return, with a 9.23% standard deviation. It suffered a maximum drawdown of -34.12% that required 38 months to be recovered.

As of November 2024, in the previous 30 Years, the Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.54% compound annual return, with a 7.05% standard deviation. It suffered a maximum drawdown of -21.11% that required 35 months to be recovered.

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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Bill Bernstein Sheltered Sam 60/40 Portfolio
Weight
(%)		 ETF
Ticker		 Name
15.00
VTV
Vanguard Value
12.00
VV
Vanguard Large-Cap
9.00
IJS
iShares S&P Small-Cap 600 Value
6.00
VNQ
Vanguard Real Estate
4.20
EFV
iShares MSCI EAFE Value
3.00
EEM
iShares MSCI Emerging Markets
3.00
IJR
iShares Core S&P Small-Cap
3.00
VGK
Vanguard FTSE Europe
3.00
VPL
Vanguard FTSE Pacific
24.00
SHY
iShares 1-3 Year Treasury Bond
16.00
TIP
iShares TIPS Bond
1.80
GLTR
Aberdeen Standard Physical Precious Metals Basket Shares
Stocks/Bonds 40/60 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
40.00
MTUM
iShares Edge MSCI USA Momentum Fctr
60.00
BND
Vanguard Total Bond Market
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Portfolio Returns as of Nov 30, 2024

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
RETURN COMPARISON
Period: 1 January 1985 - 30 November 2024 (~40 years)
Swipe left to see all data
Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_bernstein.webp Sheltered Sam 60/40
Bill Bernstein 		12.54 3.19 8.88 17.89 6.93 6.25 7.81 9.11
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Stocks/Bonds 40/60 Momentum
-- Market Benchmark 		17.30 3.77 9.89 22.04 5.41 6.47 8.54 9.38
Return over 1 year are annualized.
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Capital Growth as of Nov 30, 2024

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since December 1994, now would be worth 9.54$, with a total return of 853.89% (7.81% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 11.68$, with a total return of 1068.06% (8.54% annualized).


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Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 32.46$, with a total return of 3145.74% (9.11% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 35.82$, with a total return of 3481.81% (9.38% annualized).


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Portfolio Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 17.89 22.04
Infl. Adjusted Return (%) 14.76 18.79
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -3.77
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.92 -3.77
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 7.55 7.60
Sharpe Ratio 1.68 2.21
Sortino Ratio 2.17 2.61
Ulcer Index 0.96 1.13
Ratio: Return / Standard Deviation 2.37 2.90
Ratio: Return / Deepest Drawdown 6.12 5.85
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.93 5.41
Infl. Adjusted Return (%) 2.64 1.18
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Negative Period (months) 32 46
RISK INDICATORS
Standard Deviation (%) 11.34 10.19
Sharpe Ratio 0.41 0.31
Sortino Ratio 0.54 0.41
Ulcer Index 5.86 10.18
Ratio: Return / Standard Deviation 0.61 0.53
Ratio: Return / Deepest Drawdown 0.42 0.26
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.25 6.47
Infl. Adjusted Return (%) 3.22 3.44
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Drawdown Depth (%) -16.48 -21.11
Start to Recovery (months) 27 35
Longest Negative Period (months) 32 46
RISK INDICATORS
Standard Deviation (%) 9.34 8.09
Sharpe Ratio 0.50 0.61
Sortino Ratio 0.67 0.80
Ulcer Index 4.47 7.31
Ratio: Return / Standard Deviation 0.67 0.80
Ratio: Return / Deepest Drawdown 0.38 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.81 8.54
Infl. Adjusted Return (%) 5.15 5.87
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Negative Period (months) 62 46
RISK INDICATORS
Standard Deviation (%) 9.23 7.05
Sharpe Ratio 0.60 0.89
Sortino Ratio 0.77 1.16
Ulcer Index 5.84 5.25
Ratio: Return / Standard Deviation 0.85 1.21
Ratio: Return / Deepest Drawdown 0.23 0.40
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 40%
Fixed Income 40% 60%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 9.11 9.38
Infl. Adjusted Return (%) 6.15 6.41
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Drawdown Depth (%) -34.12 -21.11
Start to Recovery (months) 38 35
Longest Negative Period (months) 62 46
RISK INDICATORS
Standard Deviation (%) 9.29 7.35
Sharpe Ratio 0.64 0.85
Sortino Ratio 0.83 1.12
Ulcer Index 5.38 4.83
Ratio: Return / Standard Deviation 0.98 1.28
Ratio: Return / Deepest Drawdown 0.27 0.44
Metrics calculated over the period 1 January 1985 - 30 November 2024
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Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)

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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-8.48 28 Feb 2001
May 2003
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.10 4 Feb 2020
May 2020
-6.29 13 Jun 2015
Jun 2016
-5.89 6 Oct 2018
Mar 2019
-4.47 5 Apr 2012
Aug 2012

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Sheltered Sam 60/40 Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-21.11 35 Nov 2021
Sep 2024
-20.54 30 Nov 2007
Apr 2010
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-14.38 11 Jan 2020
Nov 2020
-13.77 19 Sep 1987
Mar 1989
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-9.53 7 Aug 1990
Feb 1991
-8.48 28 Feb 2001
May 2003
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.10 4 Feb 2020
May 2020

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 November 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 Stocks/Bonds 40/60 Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 12.54 -2.92 17.30 -3.77
2023
 10.82 -6.95 6.90 -5.19
2022
 -10.58 -16.48 -15.17 -19.48
2021
 14.69 -2.50 4.23 -2.38
2020
 7.21 -14.38 16.57 -7.10
2019
 17.21 -3.44 16.20 -0.81
2018
 -5.00 -7.94 -0.73 -5.89
2017
 11.37 0.00 17.14 0.00
2016
 9.92 -2.59 3.51 -3.61
2015
 -1.72 -6.23 3.91 -2.95
2014
 6.04 -2.73 9.34 -1.49
2013
 14.05 -2.24 12.57 -1.74
2012
 11.12 -4.47 7.87 -2.05
2011
 1.31 -11.25 7.13 -3.62
2010
 12.35 -7.59 10.93 -3.48
2009
 18.56 -14.17 9.16 -9.41
2008
 -20.58 -24.12 -12.27 -15.80
2007
 5.25 -3.35 11.21 -0.82
2006
 14.67 -2.30 6.78 -1.50
2005
 7.42 -2.17 9.09 -0.93
2004
 12.90 -3.90 9.22 -2.12
2003
 24.15 -2.61 12.78 -1.27
2002
 -3.47 -10.65 0.04 -5.36
2001
 0.06 -7.95 -1.88 -6.89
2000
 6.26 -3.25 2.99 -3.33
1999
 10.16 -2.69 15.71 -1.69
1998
 8.53 -10.89 24.65 -4.13
1997
 15.72 -2.73 20.41 -2.69
1996
 12.97 -2.50 14.08 -1.52
1995
 22.13 -1.03 27.84 0.00
1994
 -1.78 -6.11 -2.03 -5.91
1993
 19.41 -2.18 11.10 -0.87
1992
 8.86 -1.38 6.01 -2.11
1991
 24.84 -2.94 23.91 -1.79
1990
 -3.41 -9.53 5.79 -5.29
1989
 21.08 -1.37 25.29 -1.01
1988
 14.93 -1.85 7.24 -2.95
1987
 3.35 -16.09 1.86 -13.77
1986
 21.08 -3.67 18.14 -4.37
1985
 28.54 -1.57 26.30 -0.74
Mastering Etf Investing
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Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
Buy now
English book
Buy now
Italian book