Developed World ex-US 40/60 Momentum Portfolio vs Bill Bernstein Sheltered Sam 60/40 Portfolio Portfolio Comparison

Simulation Settings
Period: August 2009 - December 2024 (~15 years)
Consolidated Returns as of 31 December 2024
Rebalancing: at every Jan 1st
Currency: USD
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Results
10 Years
All (since August 2009)
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
January 2015
1.45$
Final Capital
December 2024
3.79%
Yearly Return
6.99%
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
1.00$
Initial Capital
August 2009
2.14$
Final Capital
December 2024
5.06%
Yearly Return
6.94%
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Bill Bernstein Sheltered Sam 60/40 Portfolio
1.00$
Initial Capital
January 2015
1.77$
Final Capital
December 2024
5.91%
Yearly Return
9.41%
Std Deviation
-16.48%
Max Drawdown
27months
Recovery Period
1.00$
Initial Capital
August 2009
2.99$
Final Capital
December 2024
7.36%
Yearly Return
9.11%
Std Deviation
-16.48%
Max Drawdown
27months
Recovery Period

As of December 2024, over the analyzed timeframe, the Developed World ex-US 40/60 Momentum Portfolio obtained a 5.06% compound annual return, with a 6.94% standard deviation. It suffered a maximum drawdown of -19.40% that required 35 months to be recovered.

As of December 2024, over the analyzed timeframe, the Bill Bernstein Sheltered Sam 60/40 Portfolio obtained a 7.36% compound annual return, with a 9.11% standard deviation. It suffered a maximum drawdown of -16.48% that required 27 months to be recovered.

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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Developed World ex-US 40/60 Momentum Portfolio
Weight
(%)		 ETF
Ticker		 Name
40.00
IMTM
iShares MSCI Intl Momentum Factor ETF
60.00
BNDX
Vanguard Total International Bond
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
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Portfolio Returns as of Dec 31, 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 August 2009 - 31 December 2024 (~15 years)
Swipe left to see all data
Return (%) as of Dec 31, 2024
YTD
(12M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_world.webp Developed World ex-US 40/60 Momentum
-- Market Benchmark 		7.00 -1.83 1.50 7.00 2.80 3.79 5.06
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_bernstein.webp Sheltered Sam 60/40
Bill Bernstein 		8.73 -3.39 4.78 8.73 5.79 5.91 7.36
Return over 1 year are annualized.
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Capital Growth as of Dec 31, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since January 2015, now would be worth 1.45$, with a total return of 45.13% (3.79% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since January 2015, now would be worth 1.77$, with a total return of 77.50% (5.91% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.14$, with a total return of 114.16% (5.06% annualized).

Bill Bernstein Sheltered Sam 60/40 Portfolio: an investment of 1$, since August 2009, now would be worth 2.99$, with a total return of 198.68% (7.36% annualized).


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Portfolio Metrics as of Dec 31, 2024

The following metrics, updated as of 31 December 2024, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 January 2024 - 31 December 2024 (1 year)
Period: 1 January 2020 - 31 December 2024 (5 years)
Period: 1 January 2015 - 31 December 2024 (10 years)
Period: 1 August 2009 - 31 December 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 7.00 8.73
Infl. Adjusted Return (%) 4.40 6.09
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -3.39
Start to Recovery (months) 4 1*
Longest Drawdown Depth (%) -2.55 -2.92
Start to Recovery (months) 4 3
Longest Negative Period (months) 5* 4*
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.07 7.95
Sharpe Ratio 0.30 0.44
Sortino Ratio 0.37 0.57
Ulcer Index 1.18 1.34
Ratio: Return / Standard Deviation 1.15 1.10
Ratio: Return / Deepest Drawdown 2.75 2.58
Metrics calculated over the period 1 January 2024 - 31 December 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 2.80 5.79
Infl. Adjusted Return (%) -1.26 1.61
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Negative Period (months) 46 32
RISK INDICATORS
Standard Deviation (%) 8.74 11.46
Sharpe Ratio 0.05 0.30
Sortino Ratio 0.07 0.40
Ulcer Index 7.53 5.88
Ratio: Return / Standard Deviation 0.32 0.50
Ratio: Return / Deepest Drawdown 0.14 0.35
Metrics calculated over the period 1 January 2020 - 31 December 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 3.79 5.91
Infl. Adjusted Return (%) 0.81 2.86
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.99 9.41
Sharpe Ratio 0.31 0.46
Sortino Ratio 0.41 0.61
Ulcer Index 5.55 4.48
Ratio: Return / Standard Deviation 0.54 0.63
Ratio: Return / Deepest Drawdown 0.20 0.36
Metrics calculated over the period 1 January 2015 - 31 December 2024
Swipe left to see all data
Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Author Bill Bernstein
ASSET ALLOCATION
Stocks 40% 58.2%
Fixed Income 60% 40%
Commodities 0% 1.8%
PERFORMANCES
Annualized Return (%) 5.06 7.36
Infl. Adjusted Return (%) 2.45 4.69
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -16.48
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 32
RISK INDICATORS
Standard Deviation (%) 6.94 9.11
Sharpe Ratio 0.58 0.69
Sortino Ratio 0.77 0.93
Ulcer Index 4.69 3.92
Ratio: Return / Standard Deviation 0.73 0.81
Ratio: Return / Deepest Drawdown 0.26 0.45
Metrics calculated over the period 1 August 2009 - 31 December 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 January 2015 - 31 December 2024 (10 years)
Period: 1 August 2009 - 31 December 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-7.94 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-6.29 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.44 2 May 2019
Jun 2019
-3.39 1* Dec 2024
In progress
-3.16 6 Feb 2018
Jul 2018
-2.92 3 Apr 2024
Jun 2024
-2.52 3* Oct 2024
In progress
-2.50 2 Sep 2021
Oct 2021

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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-16.48 27 Jan 2022
Mar 2024
-14.38 11 Jan 2020
Nov 2020
-11.25 10 May 2011
Feb 2012
-8.94 15 May 2011
Jul 2012
-7.94 8 Sep 2018
Apr 2019
-7.72 5 Feb 2020
Jun 2020
-7.59 6 May 2010
Oct 2010
-6.29 13 Jun 2015
Jun 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.47 5 Apr 2012
Aug 2012
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010

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
Annualized Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 August 2009 - 31 December 2024 (~15 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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Developed World ex-US 40/60 Momentum Sheltered Sam 60/40
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 7.00 -2.55 8.73 -3.39
2023
 10.83 -4.47 10.82 -6.95
2022
 -14.37 -19.07 -10.58 -16.48
2021
 1.27 -2.17 14.69 -2.50
2020
 11.65 -7.72 7.21 -14.38
2019
 14.52 -0.27 17.21 -3.44
2018
 -4.03 -6.00 -5.00 -7.94
2017
 11.62 -0.20 11.37 0.00
2016
 2.96 -4.27 9.92 -2.59
2015
 0.07 -5.38 -1.72 -6.23
2014
 1.57 -1.52 6.04 -2.73
2013
 8.39 -5.17 14.05 -2.24
2012
 12.90 -3.09 11.12 -4.47
2011
 -0.59 -8.94 1.31 -11.25
2010
 10.77 -4.04 12.35 -7.59
Mastering Etf Investing
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Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
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English book
Buy now
Italian book