Bill Bernstein Sheltered Sam 60/40 vs Value Stock Geek Weird 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
Value Stock Geek Weird Portfolio
1.00$
Initial Capital
October 1994
12.21$
Final Capital
September 2024
8.70%
Yearly Return
10.92
Std Deviation
-32.97%
Max Drawdown
29 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
Value Stock Geek Weird Portfolio
1.00$
Initial Capital
January 1985
38.79$
Final Capital
September 2024
9.64%
Yearly Return
10.48
Std Deviation
-32.97%
Max Drawdown
29 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 Value Stock Geek Weird Portfolio obtained a 8.70% compound annual return, with a 10.92% 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
Weird Portfolio
Value Stock Geek 		11.87 2.85 10.77 27.38 5.84 6.62 8.70 9.64
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).

Value Stock Geek Weird Portfolio: an investment of 1$, since October 1994, now would be worth 12.21$, with a total return of 1120.81% (8.70% 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).

Value Stock Geek Weird Portfolio: an investment of 1$, since January 1985, now would be worth 38.79$, with a total return of 3778.51% (9.64% 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 Weird Portfolio
Author Bill Bernstein Value Stock Geek
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 20%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 20.40 27.38
Infl. Adjusted Return (%) 17.57 24.39
DRAWDOWN
Deepest Drawdown Depth (%) -2.92 -4.13
Start to Recovery (months) 3 4
Longest Drawdown Depth (%) -2.92 -4.13
Start to Recovery (months) 3 4
Longest Negative Period (months) 2 6
RISK INDICATORS
Standard Deviation (%) 8.59 13.99
Sharpe Ratio 1.75 1.57
Sortino Ratio 2.37 2.22
Ulcer Index 1.00 1.80
Ratio: Return / Standard Deviation 2.38 1.96
Ratio: Return / Deepest Drawdown 6.98 6.64
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Sheltered Sam 60/40 Weird Portfolio
Author Bill Bernstein Value Stock Geek
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 20%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 7.24 5.84
Infl. Adjusted Return (%) 2.93 1.59
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -24.18
Start to Recovery (months) 27 33
Longest Drawdown Depth (%) -16.48 -24.18
Start to Recovery (months) 27 33
Longest Negative Period (months) 32 47
RISK INDICATORS
Standard Deviation (%) 11.25 14.37
Sharpe Ratio 0.45 0.25
Sortino Ratio 0.59 0.35
Ulcer Index 5.86 10.30
Ratio: Return / Standard Deviation 0.64 0.41
Ratio: Return / Deepest Drawdown 0.44 0.24
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Sheltered Sam 60/40 Weird Portfolio
Author Bill Bernstein Value Stock Geek
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 20%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 6.42 6.62
Infl. Adjusted Return (%) 3.47 3.66
DRAWDOWN
Deepest Drawdown Depth (%) -16.48 -24.18
Start to Recovery (months) 27 33
Longest Drawdown Depth (%) -16.48 -24.18
Start to Recovery (months) 27 33
Longest Negative Period (months) 32 47
RISK INDICATORS
Standard Deviation (%) 9.29 11.54
Sharpe Ratio 0.53 0.44
Sortino Ratio 0.71 0.61
Ulcer Index 4.47 7.62
Ratio: Return / Standard Deviation 0.69 0.57
Ratio: Return / Deepest Drawdown 0.39 0.27
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Sheltered Sam 60/40 Weird Portfolio
Author Bill Bernstein Value Stock Geek
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 20%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 7.68 8.70
Infl. Adjusted Return (%) 5.03 6.03
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -32.97
Start to Recovery (months) 38 29
Longest Drawdown Depth (%) -34.12 -24.18
Start to Recovery (months) 38 33
Longest Negative Period (months) 62 47
RISK INDICATORS
Standard Deviation (%) 9.23 10.92
Sharpe Ratio 0.58 0.59
Sortino Ratio 0.76 0.78
Ulcer Index 5.84 6.62
Ratio: Return / Standard Deviation 0.83 0.80
Ratio: Return / Deepest Drawdown 0.22 0.26
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Sheltered Sam 60/40 Weird Portfolio
Author Bill Bernstein Value Stock Geek
ASSET ALLOCATION
Stocks 58.2% 60%
Fixed Income 40% 20%
Commodities 1.8% 20%
PERFORMANCES
Annualized Return (%) 9.11 9.64
Infl. Adjusted Return (%) 6.15 6.67
DRAWDOWN
Deepest Drawdown Depth (%) -34.12 -32.97
Start to Recovery (months) 38 29
Longest Drawdown Depth (%) -34.12 -24.18
Start to Recovery (months) 38 33
Longest Negative Period (months) 62 47
RISK INDICATORS
Standard Deviation (%) 9.29 10.48
Sharpe Ratio 0.64 0.62
Sortino Ratio 0.83 0.82
Ulcer Index 5.39 6.12
Ratio: Return / Standard Deviation 0.98 0.92
Ratio: Return / Deepest Drawdown 0.27 0.29
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 Weird Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-32.97 29 Nov 2007
Mar 2010
-24.18 33 Jan 2022
Sep 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-13.36 6 Feb 2020
Jul 2020
-13.23 27 Apr 1998
Jun 2000
-11.25 10 May 2011
Feb 2012
-10.89 8 May 1998
Dec 1998
-10.65 13 Jun 2002
Jun 2003
-8.66 8 Sep 2018
Apr 2019
-8.65 12 Jun 2002
May 2003
-7.95 14 Feb 2001
Mar 2002
-7.94 8 Sep 2018
Apr 2019
-7.32 6 Apr 2004
Sep 2004

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Sheltered Sam 60/40 Weird Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-34.12 38 Nov 2007
Dec 2010
-32.97 29 Nov 2007
Mar 2010
-24.18 33 Jan 2022
Sep 2024
-16.48 27 Jan 2022
Mar 2024
-16.24 18 Dec 1989
May 1991
-16.09 17 Sep 1987
Jan 1989
-14.38 11 Jan 2020
Nov 2020
-13.36 6 Feb 2020
Jul 2020
-13.23 27 Apr 1998
Jun 2000
-12.71 14 Sep 1987
Oct 1988
-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
-8.66 8 Sep 2018
Apr 2019

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 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 Weird Portfolio
Year Return Drawdown Return Drawdown
2024
 10.96% -2.92% 11.87% -4.13%
2023
 10.82% -6.95% 10.94% -12.66%
2022
 -10.58% -16.48% -18.17% -24.18%
2021
 14.69% -2.50% 14.49% -3.51%
2020
 7.21% -14.38% 10.52% -13.36%
2019
 17.21% -3.44% 21.93% -1.68%
2018
 -5.00% -7.94% -8.01% -8.66%
2017
 11.37% 0.00% 14.20% -0.31%
2016
 9.92% -2.59% 10.34% -6.58%
2015
 -1.72% -6.23% -1.57% -7.20%
2014
 6.04% -2.73% 11.39% -5.08%
2013
 14.05% -2.24% 5.71% -6.89%
2012
 11.12% -4.47% 13.28% -4.45%
2011
 1.31% -11.25% 7.07% -5.96%
2010
 12.35% -7.59% 22.57% -4.90%
2009
 18.56% -14.17% 19.50% -17.34%
2008
 -20.58% -24.12% -15.22% -24.57%
2007
 5.25% -3.35% 4.32% -4.58%
2006
 14.67% -2.30% 21.26% -3.05%
2005
 7.42% -2.17% 13.51% -2.30%
2004
 12.90% -3.90% 20.31% -7.32%
2003
 24.15% -2.61% 32.68% -1.93%
2002
 -3.47% -10.65% 7.55% -8.65%
2001
 0.06% -7.95% 4.90% -4.41%
2000
 6.26% -3.25% 11.88% -2.51%
1999
 10.16% -2.69% 2.11% -4.11%
1998
 8.53% -10.89% -0.30% -13.23%
1997
 15.72% -2.73% 4.80% -3.83%
1996
 12.97% -2.50% 10.07% -2.17%
1995
 22.13% -1.03% 14.94% -1.53%
1994
 -1.78% -6.11% -4.11% -7.57%
1993
 19.41% -2.18% 21.05% -2.35%
1992
 8.86% -1.38% 10.23% -2.71%
1991
 24.84% -2.94% 18.76% -2.61%
1990
 -3.41% -9.53% -10.86% -16.22%
1989
 21.08% -1.37% 13.23% -1.43%
1988
 14.93% -1.85% 12.98% -1.18%
1987
 3.35% -16.09% 8.44% -12.71%
1986
 21.08% -3.67% 28.08% -2.01%
1985
 28.54% -1.57% 30.14% -1.95%