Bill Bernstein Sheltered Sam 60/40 vs Stocks/Bonds 60/40 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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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
Stocks/Bonds 60/40 Portfolio
1.00$
Initial Capital
December 1994
12.50$
Final Capital
November 2024
8.78%
Yearly Return
9.64
Std Deviation
-30.55%
Max Drawdown
36months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
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 60/40 Portfolio
1.00$
Initial Capital
January 1985
37.99$
Final Capital
November 2024
9.54%
Yearly Return
9.80
Std Deviation
-30.55%
Max Drawdown
36months
Recovery Period

The Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.81% compound annual return, with a 9.23% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Portfolio obtained a 8.78% compound annual return, with a 9.64% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 November 2024 (~40 years)
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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 60/40
-- Market Benchmark 		17.86 4.66 11.69 23.36 9.25 8.45 8.78 9.54
Return over 1 year are annualized.

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 60/40 Portfolio: an investment of 1$, since December 1994, now would be worth 12.50$, with a total return of 1150.43% (8.78% 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 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 37.99$, with a total return of 3698.52% (9.54% annualized).


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Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk.

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 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 17.89 23.36
Infl. Adjusted Return (%) 14.76 20.08
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -3.62
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -2.92 -3.62
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 7.55 7.86
Sharpe Ratio 1.68 2.31
Sortino Ratio 2.17 2.84
Ulcer Index 0.96 1.07
Ratio: Return / Standard Deviation 2.37 2.97
Ratio: Return / Deepest Drawdown 6.12 6.46
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.93 9.25
Infl. Adjusted Return (%) 2.64 4.87
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 11.34 12.70
Sharpe Ratio 0.41 0.55
Sortino Ratio 0.54 0.73
Ulcer Index 5.86 7.86
Ratio: Return / Standard Deviation 0.61 0.73
Ratio: Return / Deepest Drawdown 0.42 0.45
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 6.25 8.45
Infl. Adjusted Return (%) 3.22 5.36
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Drawdown Depth (%) -16.48 -20.69
Start to Recovery (months) 27 26
Longest Negative Period (months) 32 34
RISK INDICATORS
Standard Deviation (%) 9.34 10.34
Sharpe Ratio 0.50 0.67
Sortino Ratio 0.67 0.89
Ulcer Index 4.47 5.78
Ratio: Return / Standard Deviation 0.67 0.82
Ratio: Return / Deepest Drawdown 0.38 0.41
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 7.81 8.78
Infl. Adjusted Return (%) 5.15 6.11
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -30.55
Start to Recovery (months) 38 36
Longest Drawdown Depth (%) -34.12 -21.56
Start to Recovery (months) 38 41
Longest Negative Period (months) 62 110
RISK INDICATORS
Standard Deviation (%) 9.23 9.64
Sharpe Ratio 0.60 0.67
Sortino Ratio 0.77 0.88
Ulcer Index 5.84 6.90
Ratio: Return / Standard Deviation 0.85 0.91
Ratio: Return / Deepest Drawdown 0.23 0.29
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Sheltered Sam 60/40 Stocks/Bonds 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 40%
Commodities 1.8% 0%
PERFORMANCES
Annualized Return (%) 9.11 9.54
Infl. Adjusted Return (%) 6.15 6.57
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -30.55
Start to Recovery (months) 38 36
Longest Drawdown Depth (%) -34.12 -21.56
Start to Recovery (months) 38 41
Longest Negative Period (months) 62 110
RISK INDICATORS
Standard Deviation (%) 9.29 9.80
Sharpe Ratio 0.64 0.65
Sortino Ratio 0.83 0.85
Ulcer Index 5.38 6.34
Ratio: Return / Standard Deviation 0.98 0.97
Ratio: Return / Deepest Drawdown 0.27 0.31
Metrics calculated over the period 1 January 1985 - 30 November 2024

Drawdowns

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 60/40
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-30.55 36 Nov 2007
Oct 2010
-21.56 41 Sep 2000
Jan 2004
-20.69 26 Jan 2022
Feb 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-12.29 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
-10.18 5 Jul 1998
Nov 1998
-9.00 9 May 2011
Jan 2012
-8.38 7 Sep 2018
Mar 2019
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019

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Sheltered Sam 60/40 Stocks/Bonds 60/40
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-30.55 36 Nov 2007
Oct 2010
-21.56 41 Sep 2000
Jan 2004
-20.69 26 Jan 2022
Feb 2024
-19.17 17 Sep 1987
Jan 1989
-16.48 27 Jan 2022
Mar 2024
-16.09 17 Sep 1987
Jan 1989
-14.38 11 Jan 2020
Nov 2020
-12.29 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
-10.18 5 Jul 1998
Nov 1998
-9.53 7 Aug 1990
Feb 1991
-9.00 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 - 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 60/40
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 12.54 -2.92 17.86 -3.62
2023
 10.82 -6.95 17.79 -7.48
2022
 -10.58 -16.48 -16.95 -20.69
2021
 14.69 -2.50 14.66 -3.24
2020
 7.21 -14.38 15.70 -12.29
2019
 17.21 -3.44 21.94 -3.41
2018
 -5.00 -7.94 -3.17 -8.38
2017
 11.37 0.00 14.15 0.00
2016
 9.92 -2.59 8.71 -2.95
2015
 -1.72 -6.23 0.44 -5.24
2014
 6.04 -2.73 9.85 -1.50
2013
 14.05 -2.24 19.23 -2.27
2012
 11.12 -4.47 11.13 -3.54
2011
 1.31 -11.25 3.75 -9.00
2010
 12.35 -7.59 12.93 -7.13
2009
 18.56 -14.17 18.79 -11.70
2008
 -20.58 -24.12 -19.44 -22.19
2007
 5.25 -3.35 5.99 -3.07
2006
 14.67 -2.30 11.12 -2.03
2005
 7.42 -2.17 4.74 -2.34
2004
 12.90 -3.90 9.37 -2.68
2003
 24.15 -2.61 20.04 -1.99
2002
 -3.47 -10.65 -8.98 -13.74
2001
 0.06 -7.95 -3.21 -11.68
2000
 6.26 -3.25 -1.79 -8.27
1999
 10.16 -2.69 13.98 -3.76
1998
 8.53 -10.89 17.39 -10.18
1997
 15.72 -2.73 22.37 -3.12
1996
 12.97 -2.50 14.01 -3.33
1995
 22.13 -1.03 28.74 -0.20
1994
 -1.78 -6.11 -1.16 -6.47
1993
 19.41 -2.18 10.25 -1.36
1992
 8.86 -1.38 8.32 -1.65
1991
 24.84 -2.94 25.53 -2.86
1990
 -3.41 -9.53 -0.19 -8.52
1989
 21.08 -1.37 22.33 -1.36
1988
 14.93 -1.85 13.33 -2.24
1987
 3.35 -16.09 2.18 -19.17
1986
 21.08 -3.67 14.79 -5.58
1985
 28.54 -1.57 27.66 -2.15