Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 29 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.39%
1 Day
Dec 29 2023
5.28%
Current Month
December 2023
The Bill Bernstein Sheltered Sam 70/30 Portfolio is a High Risk portfolio and can be implemented with 12 ETFs.
It's exposed for 67.9% on the Stock Market and for 2.1% on Commodities.
In the last 30 Years, the Bill Bernstein Sheltered Sam 70/30 Portfolio obtained a 7.69% compound annual return, with a 10.70% standard deviation.
Table of contents
Asset Allocation and ETFs
The Bill Bernstein Sheltered Sam 70/30 Portfolio has the following asset allocation:
67.9% Stocks
30% Fixed Income
2.1% Commodities
The Bill Bernstein Sheltered Sam 70/30 Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 17.50 | VTV | USD | Vanguard Value | Equity, U.S., Large Cap, Value |
| 14.00 | VV | USD | Vanguard Large-Cap | Equity, U.S., Large Cap |
| 10.50 | IJS | USD | iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value |
| 7.00 | VNQ | USD | Vanguard Real Estate | Real Estate, U.S. |
| 4.90 | EFV | USD | iShares MSCI EAFE Value | Equity, EAFE, Large Cap, Value |
| 3.50 | EEM | USD | iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap |
| 3.50 | IJR | USD | iShares Core S&P Small-Cap | Equity, U.S., Small Cap |
| 3.50 | VGK | USD | Vanguard FTSE Europe | Equity, Developed Europe, Large Cap |
| 3.50 | VPL | USD | Vanguard FTSE Pacific | Equity, Developed Asia Pacific, Large Cap |
| 18.00 | SHY | USD | iShares 1-3 Year Treasury Bond | Bond, U.S., Short Term |
| 12.00 | USD | iShares TIPS Bond | Bond, U.S., All-Term | |
| 2.10 | GLTR | USD | Aberdeen Standard Physical Precious Metals Basket Shares | Commodity, Broad Precious Metals |
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.
Portfolio and ETF Returns as of Nov 30, 2023
The Bill Bernstein Sheltered Sam 70/30 Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 29 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y | MAX (~39Y) | |||
| Bill Bernstein Sheltered Sam 70/30 Portfolio | -0.39 | 5.28 | 6.37 | 4.92 | 3.33 | 5.95 | 5.88 | 7.69 | 9.41 | |||
| US Inflation Adjusted return | 6.58 | 3.92 | 0.19 | 1.85 | 3.00 | 5.05 | 6.44 | |||||
| Components | ||||||||||||
VTV | USD | Vanguard Value | -0.21 | Dec 29 2023 | 5.09 | 6.68 | 7.69 | 0.61 | 8.52 | 9.41 | 9.12 | 10.72 |
VV | USD | Vanguard Large-Cap | -0.43 | Dec 29 2023 | 4.50 | 9.48 | 10.62 | 14.57 | 12.47 | 11.69 | 10.07 | 11.31 |
IJS | USD | iShares S&P Small-Cap 600 Value | -1.40 | Dec 29 2023 | 13.34 | 9.07 | 4.59 | -5.38 | 5.50 | 6.78 | 10.07 | 11.60 |
VNQ | USD | Vanguard Real Estate | -1.19 | Dec 29 2023 | 9.45 | 12.08 | 4.30 | -2.99 | 3.66 | 6.41 | 8.34 | 9.08 |
EFV | USD | iShares MSCI EAFE Value | 0.13 | Dec 29 2023 | 5.08 | 6.94 | 9.04 | 12.93 | 4.80 | 2.65 | 5.54 | 8.82 |
EEM | USD | iShares MSCI Emerging Markets | -0.05 | Dec 29 2023 | 3.57 | 7.79 | 4.40 | 2.42 | 1.46 | 1.42 | 4.65 | 8.63 |
IJR | USD | iShares Core S&P Small-Cap | -1.37 | Dec 29 2023 | 12.77 | 8.27 | 5.00 | -3.96 | 5.56 | 7.47 | 9.65 | 10.69 |
VGK | USD | Vanguard FTSE Europe | 0.09 | Dec 29 2023 | 5.40 | 9.76 | 4.62 | 12.15 | 7.14 | 4.12 | 6.96 | 9.73 |
VPL | USD | Vanguard FTSE Pacific | -0.06 | Dec 29 2023 | 5.75 | 7.02 | 4.05 | 7.24 | 3.95 | 3.91 | 3.12 | 6.04 |
SHY | USD | iShares 1-3 Year Treasury Bond | 0.05 | Dec 29 2023 | 1.10 | 1.05 | 1.53 | 2.96 | 1.04 | 0.77 | 3.00 | 4.33 |
TIP | USD | iShares TIPS Bond | -0.12 | Dec 29 2023 | 2.44 | 2.77 | -1.03 | -0.52 | 2.25 | 1.70 | 4.90 | 6.69 |
GLTR | USD | Aberdeen Standard Physical Precious Metals Basket Shares | -0.61 | Dec 29 2023 | -0.19 | 3.57 | 1.50 | 5.42 | 8.91 | 2.99 | 6.01 | 7.06 |
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Nov 2023. Current inflation (annualized) is 1Y: 3.14% , 5Y: 4.03% , 10Y: 2.80% , 30Y: 2.51%
Live update: World Markets and Indexes
In 2022, the Bill Bernstein Sheltered Sam 70/30 Portfolio granted a 2.34% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 70/30 Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993, now would be worth 9.24$, with a total return of 823.80% (7.69% annualized).
The Inflation Adjusted Capital now would be 4.39$, with a net total return of 338.66% (5.05% annualized).
An investment of 1$, since January 1985, now would be worth 33.09$, with a total return of 3208.56% (9.41% annualized).
The Inflation Adjusted Capital now would be 11.35$, with a net total return of 1034.64% (6.44% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of Bill Bernstein Sheltered Sam 70/30 Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX (~39Y) | |
| Investment Return (%) | 6.37 | 0.33 | 4.92 | 3.33 | 4.66 | 5.95 | 5.88 | 6.88 | 7.69 | 9.41 |
| Infl. Adjusted Return (%) details | 6.58 | 0.32 | 3.92 | 0.19 | -0.96 | 1.85 | 3.00 | 4.20 | 5.05 | 6.44 |
| US Inflation (%) | -0.20 | 0.01 | 0.96 | 3.14 | 5.67 | 4.03 | 2.80 | 2.58 | 2.51 | 2.79 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
DRAWDOWN Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -7.88 | -17.80 | -17.80 | -17.80 | -39.73 | -39.73 | -39.73 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 39 | 39 | 39 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 23 | 23 | 23 | |||
| End (yyyy mm) | - | - | - | - | 2011 01 | 2011 01 | 2011 01 | |||
| Longest Drawdown Depth (%) | -3.84 | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | |||
| Start to Recovery (# months) details | 5 | |||||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 23 | 23 | 23 | |||
| End (yyyy mm) | 2023 06 | - | - | - | 2011 01 | 2011 01 | 2011 01 | |||
| Longest negative period (# months) details | 11 | 31 | 31 | 33 | 63 | 63 | 63 | |||
| Period Start (yyyy mm) | 2022 12 | 2021 04 | 2021 04 | 2017 07 | 2003 12 | 2003 12 | 2003 12 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -3.11 | -1.11 | -1.11 | -0.05 | -0.13 | -0.13 | -0.13 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -8.47 | -22.78 | -22.78 | -22.78 | -40.65 | -40.65 | -40.65 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 62 | 62 | 62 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 46 | 46 | 46 | |||
| End (yyyy mm) | - | - | - | - | 2012 12 | 2012 12 | 2012 12 | |||
| Longest Drawdown Depth (%) | -5.41 | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | |||
| Start to Recovery (# months) details | 6 | |||||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 2 | 14 | 14 | 14 | 46 | 46 | 46 | |||
| End (yyyy mm) | 2023 07 | - | - | - | 2012 12 | 2012 12 | 2012 12 | |||
| Longest negative period (# months) details | 11 | 36* | 54 | 69 | 69 | 118 | 118 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2019 05 | 2018 02 | 2018 02 | 1999 05 | 1999 05 | |||
| Period End (yyyy mm) | 2023 10 | 2023 11 | 2023 10 | 2023 10 | 2023 10 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -6.53 | -0.96 | -0.13 | -0.26 | -0.26 | -0.16 | -0.16 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
RISK INDICATORS | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 11.75 | 12.09 | 13.26 | 10.51 | 11.21 | 10.70 | 10.71 | |||
| Sharpe Ratio | -0.13 | 0.23 | 0.32 | 0.46 | 0.50 | 0.51 | 0.51 | |||
| Sortino Ratio | -0.21 | 0.31 | 0.43 | 0.61 | 0.65 | 0.66 | 0.65 | |||
| Ulcer Index | 3.31 | 7.02 | 6.46 | 4.94 | 8.19 | 7.15 | 6.60 | |||
| Ratio: Return / Standard Deviation | 0.28 | 0.39 | 0.45 | 0.56 | 0.61 | 0.72 | 0.88 | |||
| Ratio: Return / Deepest Drawdown | 0.42 | 0.26 | 0.33 | 0.33 | 0.17 | 0.19 | 0.24 | |||
| % Positive Months details | 50% | 61% | 63% | 65% | 66% | 66% | 68% | |||
| Positive Months | 6 | 22 | 38 | 79 | 159 | 238 | 318 | |||
| Negative Months | 6 | 14 | 22 | 41 | 81 | 122 | 149 | |||
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 5.88 | 11.30 | 11.30 | 14.06 | ||||||
| Worst 10 Years Return (%) - Annualized | 5.00 | 3.12 | 3.12 | |||||||
| Best 10 Years Return (%) - Annualized | 3.00 | 9.37 | 9.37 | 10.78 | ||||||
| Worst 10 Years Return (%) - Annualized | 2.50 | 0.53 | 0.53 | |||||||
ROLLING PERIOD RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 44.00 | 20.83 | 17.13 | 11.30 | 9.01 | 7.69 | ||||
| Worst Rolling Return (%) - Annualized | -34.38 | -9.61 | -1.59 | 3.12 | 5.86 | |||||
| % Positive Periods | 79% | 90% | 99% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 40.98 | 18.03 | 14.79 | 9.37 | 6.55 | 5.05 | ||||
| Worst Rolling Return (%) - Annualized | -34.53 | -11.57 | -4.13 | 0.53 | 3.71 | |||||
| % Positive Periods | 74% | 85% | 94% | 100% | 100% | 100% | ||||
| Over all the available data source (Jan 1985 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 44.00 | 20.83 | 18.61 | 14.06 | 12.43 | 10.53 | ||||
| Worst Rolling Return (%) - Annualized | -34.38 | -9.61 | -1.59 | 3.12 | 5.86 | 7.38 | ||||
| % Positive Periods | 81% | 92% | 99% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 40.98 | 18.03 | 14.79 | 10.78 | 9.15 | 7.61 | ||||
| Worst Rolling Return (%) - Annualized | -34.53 | -11.57 | -4.13 | 0.53 | 3.71 | 4.74 | ||||
| % Positive Periods | 75% | 88% | 95% | 100% | 100% | 100% | ||||
WITHDRAWAL RATES (WR) | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 34.41 | 21.95 | 12.10 | 7.74 | 7.22 | 10.31 | ||||
| Perpetual WR (%) | 0.00 | 1.82 | 2.92 | 4.03 | 4.81 | 6.05 | ||||
Terms and Definitions
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation)
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.88 | 0.85 | 0.90 | 0.90 | 0.83 | 0.85 | 0.88 | 0.84 | 0.31 | 0.65 | 0.29 |
VV | 0.88 | - | 0.83 | 0.91 | 0.76 | 0.85 | 0.85 | 0.85 | 0.89 | 0.42 | 0.78 | 0.31 |
IJS | 0.85 | 0.83 | - | 0.91 | 0.86 | 0.81 | 0.99 | 0.83 | 0.81 | 0.08 | 0.51 | 0.02 |
VNQ | 0.90 | 0.91 | 0.91 | - | 0.88 | 0.87 | 0.90 | 0.93 | 0.91 | 0.40 | 0.74 | 0.31 |
EFV | 0.90 | 0.76 | 0.86 | 0.88 | - | 0.87 | 0.82 | 0.94 | 0.87 | 0.33 | 0.65 | 0.28 |
EEM | 0.83 | 0.85 | 0.81 | 0.87 | 0.87 | - | 0.79 | 0.87 | 0.99 | 0.54 | 0.77 | 0.50 |
IJR | 0.85 | 0.85 | 0.99 | 0.90 | 0.82 | 0.79 | - | 0.79 | 0.80 | 0.06 | 0.49 | -0.01 |
VGK | 0.88 | 0.85 | 0.83 | 0.93 | 0.94 | 0.87 | 0.79 | - | 0.91 | 0.48 | 0.83 | 0.42 |
VPL | 0.84 | 0.89 | 0.81 | 0.91 | 0.87 | 0.99 | 0.80 | 0.91 | - | 0.56 | 0.81 | 0.49 |
SHY | 0.31 | 0.42 | 0.08 | 0.40 | 0.33 | 0.54 | 0.06 | 0.48 | 0.56 | - | 0.83 | 0.86 |
TIP | 0.65 | 0.78 | 0.51 | 0.74 | 0.65 | 0.77 | 0.49 | 0.83 | 0.81 | 0.83 | - | 0.68 |
GLTR | 0.29 | 0.31 | 0.02 | 0.31 | 0.28 | 0.50 | -0.01 | 0.42 | 0.49 | 0.86 | 0.68 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.92 | 0.91 | 0.82 | 0.90 | 0.72 | 0.92 | 0.90 | 0.84 | -0.05 | 0.45 | 0.27 |
VV | 0.92 | - | 0.85 | 0.87 | 0.81 | 0.73 | 0.89 | 0.89 | 0.86 | 0.10 | 0.61 | 0.33 |
IJS | 0.91 | 0.85 | - | 0.78 | 0.87 | 0.75 | 0.99 | 0.84 | 0.83 | -0.11 | 0.39 | 0.17 |
VNQ | 0.82 | 0.87 | 0.78 | - | 0.75 | 0.68 | 0.81 | 0.83 | 0.78 | 0.10 | 0.66 | 0.33 |
EFV | 0.90 | 0.81 | 0.87 | 0.75 | - | 0.81 | 0.85 | 0.95 | 0.91 | 0.03 | 0.41 | 0.29 |
EEM | 0.72 | 0.73 | 0.75 | 0.68 | 0.81 | - | 0.75 | 0.82 | 0.87 | 0.20 | 0.47 | 0.46 |
IJR | 0.92 | 0.89 | 0.99 | 0.81 | 0.85 | 0.75 | - | 0.85 | 0.85 | -0.08 | 0.45 | 0.20 |
VGK | 0.90 | 0.89 | 0.84 | 0.83 | 0.95 | 0.82 | 0.85 | - | 0.92 | 0.17 | 0.57 | 0.40 |
VPL | 0.84 | 0.86 | 0.83 | 0.78 | 0.91 | 0.87 | 0.85 | 0.92 | - | 0.21 | 0.55 | 0.36 |
SHY | -0.05 | 0.10 | -0.11 | 0.10 | 0.03 | 0.20 | -0.08 | 0.17 | 0.21 | - | 0.62 | 0.33 |
TIP | 0.45 | 0.61 | 0.39 | 0.66 | 0.41 | 0.47 | 0.45 | 0.57 | 0.55 | 0.62 | - | 0.47 |
GLTR | 0.27 | 0.33 | 0.17 | 0.33 | 0.29 | 0.46 | 0.20 | 0.40 | 0.36 | 0.33 | 0.47 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.93 | 0.88 | 0.70 | 0.86 | 0.68 | 0.88 | 0.85 | 0.80 | -0.11 | 0.33 | 0.17 |
VV | 0.93 | - | 0.83 | 0.74 | 0.80 | 0.70 | 0.86 | 0.85 | 0.83 | 0.03 | 0.48 | 0.23 |
IJS | 0.88 | 0.83 | - | 0.68 | 0.77 | 0.64 | 0.99 | 0.74 | 0.74 | -0.14 | 0.29 | 0.10 |
VNQ | 0.70 | 0.74 | 0.68 | - | 0.59 | 0.54 | 0.70 | 0.66 | 0.63 | 0.16 | 0.63 | 0.28 |
EFV | 0.86 | 0.80 | 0.77 | 0.59 | - | 0.79 | 0.76 | 0.95 | 0.89 | -0.03 | 0.33 | 0.23 |
EEM | 0.68 | 0.70 | 0.64 | 0.54 | 0.79 | - | 0.63 | 0.78 | 0.86 | 0.15 | 0.42 | 0.41 |
IJR | 0.88 | 0.86 | 0.99 | 0.70 | 0.76 | 0.63 | - | 0.75 | 0.76 | -0.11 | 0.33 | 0.11 |
VGK | 0.85 | 0.85 | 0.74 | 0.66 | 0.95 | 0.78 | 0.75 | - | 0.87 | 0.10 | 0.46 | 0.30 |
VPL | 0.80 | 0.83 | 0.74 | 0.63 | 0.89 | 0.86 | 0.76 | 0.87 | - | 0.12 | 0.45 | 0.29 |
SHY | -0.11 | 0.03 | -0.14 | 0.16 | -0.03 | 0.15 | -0.11 | 0.10 | 0.12 | - | 0.62 | 0.33 |
TIP | 0.33 | 0.48 | 0.29 | 0.63 | 0.33 | 0.42 | 0.33 | 0.46 | 0.45 | 0.62 | - | 0.48 |
GLTR | 0.17 | 0.23 | 0.10 | 0.28 | 0.23 | 0.41 | 0.11 | 0.30 | 0.29 | 0.33 | 0.48 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.95 | 0.85 | 0.64 | 0.82 | 0.71 | 0.80 | 0.83 | 0.68 | -0.15 | 0.16 | 0.38 |
VV | 0.95 | - | 0.82 | 0.62 | 0.78 | 0.73 | 0.82 | 0.84 | 0.70 | -0.12 | 0.21 | 0.38 |
IJS | 0.85 | 0.82 | - | 0.69 | 0.75 | 0.67 | 0.96 | 0.74 | 0.62 | -0.17 | 0.13 | 0.38 |
VNQ | 0.64 | 0.62 | 0.69 | - | 0.61 | 0.52 | 0.65 | 0.61 | 0.50 | -0.02 | 0.33 | 0.39 |
EFV | 0.82 | 0.78 | 0.75 | 0.61 | - | 0.78 | 0.73 | 0.94 | 0.84 | -0.14 | 0.17 | 0.47 |
EEM | 0.71 | 0.73 | 0.67 | 0.52 | 0.78 | - | 0.70 | 0.78 | 0.76 | -0.09 | 0.19 | 0.62 |
IJR | 0.80 | 0.82 | 0.96 | 0.65 | 0.73 | 0.70 | - | 0.74 | 0.65 | -0.19 | 0.12 | 0.40 |
VGK | 0.83 | 0.84 | 0.74 | 0.61 | 0.94 | 0.78 | 0.74 | - | 0.74 | -0.10 | 0.21 | 0.45 |
VPL | 0.68 | 0.70 | 0.62 | 0.50 | 0.84 | 0.76 | 0.65 | 0.74 | - | -0.11 | 0.21 | 0.50 |
SHY | -0.15 | -0.12 | -0.17 | -0.02 | -0.14 | -0.09 | -0.19 | -0.10 | -0.11 | - | 0.62 | 0.04 |
TIP | 0.16 | 0.21 | 0.13 | 0.33 | 0.17 | 0.19 | 0.12 | 0.21 | 0.21 | 0.62 | - | 0.29 |
GLTR | 0.38 | 0.38 | 0.38 | 0.39 | 0.47 | 0.62 | 0.40 | 0.45 | 0.50 | 0.04 | 0.29 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.95 | 0.86 | 0.64 | 0.83 | 0.68 | 0.82 | 0.79 | 0.55 | -0.03 | 0.21 | 0.32 |
VV | 0.95 | - | 0.83 | 0.61 | 0.81 | 0.69 | 0.84 | 0.79 | 0.57 | -0.02 | 0.24 | 0.32 |
IJS | 0.86 | 0.83 | - | 0.70 | 0.77 | 0.64 | 0.96 | 0.71 | 0.51 | -0.10 | 0.14 | 0.33 |
VNQ | 0.64 | 0.61 | 0.70 | - | 0.60 | 0.49 | 0.65 | 0.57 | 0.42 | 0.02 | 0.30 | 0.33 |
EFV | 0.83 | 0.81 | 0.77 | 0.60 | - | 0.71 | 0.74 | 0.89 | 0.71 | -0.02 | 0.21 | 0.41 |
EEM | 0.68 | 0.69 | 0.64 | 0.49 | 0.71 | - | 0.66 | 0.68 | 0.59 | 0.02 | 0.21 | 0.44 |
IJR | 0.82 | 0.84 | 0.96 | 0.65 | 0.74 | 0.66 | - | 0.70 | 0.52 | -0.12 | 0.13 | 0.34 |
VGK | 0.79 | 0.79 | 0.71 | 0.57 | 0.89 | 0.68 | 0.70 | - | 0.68 | 0.02 | 0.23 | 0.41 |
VPL | 0.55 | 0.57 | 0.51 | 0.42 | 0.71 | 0.59 | 0.52 | 0.68 | - | 0.02 | 0.20 | 0.42 |
SHY | -0.03 | -0.02 | -0.10 | 0.02 | -0.02 | 0.02 | -0.12 | 0.02 | 0.02 | - | 0.71 | -0.02 |
TIP | 0.21 | 0.24 | 0.14 | 0.30 | 0.21 | 0.21 | 0.13 | 0.23 | 0.20 | 0.71 | - | 0.14 |
GLTR | 0.32 | 0.32 | 0.33 | 0.33 | 0.41 | 0.44 | 0.34 | 0.41 | 0.42 | -0.02 | 0.14 | - |
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
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.
BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -39.73% | Nov 2007 | Feb 2009 | 16 | Jan 2011 | 23 | 39 | 17.81 |
| -17.80% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 8.68 |
| -17.14% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 7.51 |
| -13.73% | Feb 2001 | Sep 2002 | 20 | Jul 2003 | 10 | 30 | 7.20 |
| -13.47% | May 2011 | Sep 2011 | 5 | Mar 2012 | 6 | 11 | 5.71 |
| -13.19% | May 1998 | Aug 1998 | 4 | Jan 1999 | 5 | 9 | 5.63 |
| -9.24% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 4.03 |
| -7.28% | Jun 2015 | Jan 2016 | 8 | Jun 2016 | 5 | 13 | 4.02 |
| -6.31% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 | 4.11 |
| -5.42% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 | 2.48 |
| -4.34% | Sep 2000 | Nov 2000 | 3 | Dec 2000 | 1 | 4 | 2.15 |
| -4.14% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 2.39 |
| -4.11% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 | 2.09 |
| -3.87% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 | 2.19 |
| -3.68% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 2.51 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -40.65% | Nov 2007 | Feb 2009 | 16 | Dec 2012 | 46 | 62 | 16.10 |
| -22.78% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 14.45 |
| -17.51% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 7.82 |
| -17.16% | Feb 2001 | Mar 2003 | 26 | Oct 2003 | 7 | 33 | 9.00 |
| -13.67% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 5.38 |
| -9.31% | Feb 2018 | Dec 2018 | 11 | Sep 2019 | 9 | 20 | 3.66 |
| -8.34% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.45 |
| -8.19% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 4.28 |
| -5.06% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 2.40 |
| -4.50% | Jan 2005 | Apr 2005 | 4 | Jul 2005 | 3 | 7 | 2.18 |
| -4.42% | Apr 2004 | Apr 2004 | 1 | Oct 2004 | 6 | 7 | 2.51 |
| -4.03% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 | 2.26 |
| -3.98% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 2.21 |
| -3.83% | Jan 2000 | Feb 2000 | 2 | Aug 2000 | 6 | 8 | 2.02 |
| -3.41% | Oct 1997 | Oct 1997 | 1 | Feb 1998 | 4 | 5 | 1.67 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -39.73% | Nov 2007 | Feb 2009 | 16 | Jan 2011 | 23 | 39 | 17.81 |
| -18.62% | Sep 1987 | Nov 1987 | 3 | Jan 1989 | 14 | 17 | 8.81 |
| -17.80% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 8.68 |
| -17.14% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 7.51 |
| -13.73% | Feb 2001 | Sep 2002 | 20 | Jul 2003 | 10 | 30 | 7.20 |
| -13.47% | May 2011 | Sep 2011 | 5 | Mar 2012 | 6 | 11 | 5.71 |
| -13.19% | May 1998 | Aug 1998 | 4 | Jan 1999 | 5 | 9 | 5.63 |
| -11.32% | Jan 1990 | Sep 1990 | 9 | Feb 1991 | 5 | 14 | 5.61 |
| -9.24% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 4.03 |
| -7.28% | Jun 2015 | Jan 2016 | 8 | Jun 2016 | 5 | 13 | 4.02 |
| -6.31% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 | 4.11 |
| -5.42% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 | 2.48 |
| -4.34% | Sep 2000 | Nov 2000 | 3 | Dec 2000 | 1 | 4 | 2.15 |
| -4.14% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 2.39 |
| -4.11% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 | 2.09 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -40.65% | Nov 2007 | Feb 2009 | 16 | Dec 2012 | 46 | 62 | 16.10 |
| -22.78% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 14.45 |
| -19.33% | Sep 1987 | Nov 1987 | 3 | May 1989 | 18 | 21 | 9.52 |
| -17.51% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 7.82 |
| -17.16% | Feb 2001 | Mar 2003 | 26 | Oct 2003 | 7 | 33 | 9.00 |
| -15.73% | Jan 1990 | Sep 1990 | 9 | May 1991 | 8 | 17 | 8.06 |
| -13.67% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 5.38 |
| -9.31% | Feb 2018 | Dec 2018 | 11 | Sep 2019 | 9 | 20 | 3.66 |
| -8.34% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.45 |
| -8.19% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 4.28 |
| -5.06% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 2.40 |
| -4.50% | Jan 2005 | Apr 2005 | 4 | Jul 2005 | 3 | 7 | 2.18 |
| -4.43% | Sep 1986 | Sep 1986 | 1 | Jan 1987 | 4 | 5 | 2.10 |
| -4.42% | Apr 2004 | Apr 2004 | 1 | Oct 2004 | 6 | 7 | 2.51 |
| -4.03% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 | 2.26 |
Rolling Returns
( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Inflation Adjusted:
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -34.38 | 03/2008 02/2009 | 0.65$ | -1.94 | 0.98$ | 9.82 | 1.09$ | 17.82 | 1.17$ | 44.00 | 03/2009 02/2010 | 1.44$ | 3.33 | 20.92% |
| 2Y | -19.21 | 03/2007 02/2009 | 0.65$ | 1.48 | 1.02$ | 9.19 | 1.19$ | 14.98 | 1.32$ | 30.81 | 03/2009 02/2011 | 1.71$ | -0.81 | 12.76% |
| 3Y | -9.61 | 03/2006 02/2009 | 0.73$ | 3.04 | 1.09$ | 8.38 | 1.27$ | 13.36 | 1.45$ | 20.83 | 03/2009 02/2012 | 1.76$ | 4.66 | 9.54% |
| 5Y | -1.59 | 03/2004 02/2009 | 0.92$ | 3.90 | 1.21$ | 7.53 | 1.43$ | 11.92 | 1.75$ | 17.13 | 03/2009 02/2014 | 2.20$ | 5.95 | 0.66% |
| 7Y | 1.95 | 03/2002 02/2009 | 1.14$ | 5.52 | 1.45$ | 7.56 | 1.66$ | 9.39 | 1.87$ | 11.99 | 03/2009 02/2016 | 2.20$ | 6.30 | 0.00% |
| 10Y | 3.12 | 03/1999 02/2009 | 1.36$ | 5.64 | 1.73$ | 7.47 | 2.05$ | 9.70 | 2.52$ | 11.30 | 03/2009 02/2019 | 2.91$ | 5.88 | 0.00% |
| 15Y | 4.86 | 10/2007 09/2022 | 2.03$ | 6.34 | 2.51$ | 7.08 | 2.79$ | 8.02 | 3.18$ | 8.98 | 02/2003 01/2018 | 3.63$ | 8.36 | 0.00% |
| 20Y | 5.86 | 04/2000 03/2020 | 3.12$ | 6.87 | 3.77$ | 7.53 | 4.27$ | 8.36 | 4.98$ | 9.01 | 12/1994 11/2014 | 5.61$ | 6.88 | 0.00% |
| 30Y | 7.69 | 12/1993 11/2023 | 9.23$ | 7.69 | 9.23$ | 7.69 | 9.23$ | 7.69 | 9.23$ | 7.69 | 12/1993 11/2023 | 9.23$ | 7.69 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -34.53 | 03/2008 02/2009 | 0.65$ | -4.56 | 0.95$ | 7.25 | 1.07$ | 15.50 | 1.15$ | 40.98 | 03/2009 02/2010 | 1.40$ | 0.19 | 25.50% |
| 2Y | -20.88 | 03/2007 02/2009 | 0.62$ | -0.96 | 0.98$ | 6.44 | 1.13$ | 12.48 | 1.26$ | 28.09 | 03/2009 02/2011 | 1.64$ | -5.63 | 18.10% |
| 3Y | -11.57 | 03/2006 02/2009 | 0.69$ | 0.22 | 1.00$ | 5.89 | 1.18$ | 10.56 | 1.35$ | 18.03 | 03/2009 02/2012 | 1.64$ | -0.96 | 14.15% |
| 5Y | -4.13 | 03/2004 02/2009 | 0.81$ | 1.22 | 1.06$ | 5.19 | 1.28$ | 9.12 | 1.54$ | 14.79 | 03/2009 02/2014 | 1.99$ | 1.85 | 5.65% |
| 7Y | -0.59 | 03/2002 02/2009 | 0.95$ | 3.14 | 1.24$ | 5.22 | 1.42$ | 6.91 | 1.59$ | 10.22 | 03/2009 02/2016 | 1.97$ | 2.70 | 0.72% |
| 10Y | 0.53 | 03/1999 02/2009 | 1.05$ | 3.53 | 1.41$ | 5.15 | 1.65$ | 7.10 | 1.98$ | 9.37 | 03/2009 02/2019 | 2.44$ | 3.00 | 0.00% |
| 15Y | 2.42 | 10/2007 09/2022 | 1.43$ | 4.12 | 1.83$ | 4.78 | 2.01$ | 5.52 | 2.23$ | 6.74 | 02/2003 01/2018 | 2.66$ | 5.73 | 0.00% |
| 20Y | 3.71 | 04/2000 03/2020 | 2.07$ | 4.57 | 2.44$ | 5.15 | 2.72$ | 5.96 | 3.18$ | 6.55 | 12/1994 11/2014 | 3.55$ | 4.20 | 0.00% |
| 30Y | 5.05 | 12/1993 11/2023 | 4.38$ | 5.05 | 4.38$ | 5.05 | 4.38$ | 5.05 | 4.38$ | 5.05 | 12/1993 11/2023 | 4.38$ | 5.05 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -34.38 | 03/2008 02/2009 | 0.65$ | -1.45 | 0.98$ | 10.93 | 1.10$ | 20.37 | 1.20$ | 44.00 | 03/2009 02/2010 | 1.44$ | 3.33 | 18.86% |
| 2Y | -19.21 | 03/2007 02/2009 | 0.65$ | 2.89 | 1.05$ | 9.74 | 1.20$ | 16.17 | 1.34$ | 30.81 | 03/2009 02/2011 | 1.71$ | -0.81 | 9.68% |
| 3Y | -9.61 | 03/2006 02/2009 | 0.73$ | 4.37 | 1.13$ | 9.75 | 1.32$ | 13.96 | 1.47$ | 20.83 | 03/2009 02/2012 | 1.76$ | 4.66 | 7.18% |
| 5Y | -1.59 | 03/2004 02/2009 | 0.92$ | 4.59 | 1.25$ | 9.10 | 1.54$ | 13.46 | 1.88$ | 18.61 | 01/1985 12/1989 | 2.34$ | 5.95 | 0.49% |
| 7Y | 1.95 | 03/2002 02/2009 | 1.14$ | 5.93 | 1.49$ | 8.28 | 1.74$ | 12.49 | 2.27$ | 16.41 | 10/1990 09/1997 | 2.89$ | 6.30 | 0.00% |
| 10Y | 3.12 | 03/1999 02/2009 | 1.36$ | 5.94 | 1.78$ | 8.52 | 2.26$ | 12.12 | 3.14$ | 14.06 | 12/1987 11/1997 | 3.72$ | 5.88 | 0.00% |
| 15Y | 4.86 | 10/2007 09/2022 | 2.03$ | 6.62 | 2.61$ | 7.75 | 3.06$ | 10.90 | 4.71$ | 14.17 | 01/1985 12/1999 | 7.30$ | 8.36 | 0.00% |
| 20Y | 5.86 | 04/2000 03/2020 | 3.12$ | 7.08 | 3.92$ | 8.39 | 5.01$ | 10.62 | 7.52$ | 12.43 | 01/1985 12/2004 | 10.41$ | 6.88 | 0.00% |
| 30Y | 7.38 | 11/1993 10/2023 | 8.47$ | 8.17 | 10.53$ | 8.86 | 12.77$ | 9.40 | 14.80$ | 10.53 | 01/1985 12/2014 | 20.15$ | 7.69 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -34.53 | 03/2008 02/2009 | 0.65$ | -4.07 | 0.95$ | 7.81 | 1.07$ | 16.78 | 1.16$ | 40.98 | 03/2009 02/2010 | 1.40$ | 0.19 | 24.12% |
| 2Y | -20.88 | 03/2007 02/2009 | 0.62$ | 0.44 | 1.00$ | 6.84 | 1.14$ | 12.92 | 1.27$ | 28.09 | 03/2009 02/2011 | 1.64$ | -5.63 | 13.96% |
| 3Y | -11.57 | 03/2006 02/2009 | 0.69$ | 1.74 | 1.05$ | 6.64 | 1.21$ | 10.78 | 1.35$ | 18.03 | 03/2009 02/2012 | 1.64$ | -0.96 | 11.11% |
| 5Y | -4.13 | 03/2004 02/2009 | 0.81$ | 1.72 | 1.08$ | 6.39 | 1.36$ | 10.22 | 1.62$ | 14.79 | 03/2009 02/2014 | 1.99$ | 1.85 | 4.17% |
| 7Y | -0.59 | 03/2002 02/2009 | 0.95$ | 3.45 | 1.26$ | 5.91 | 1.49$ | 8.85 | 1.81$ | 13.22 | 10/1990 09/1997 | 2.38$ | 2.70 | 0.52% |
| 10Y | 0.53 | 03/1999 02/2009 | 1.05$ | 3.81 | 1.45$ | 6.13 | 1.81$ | 8.74 | 2.31$ | 10.78 | 10/1990 09/2000 | 2.78$ | 3.00 | 0.00% |
| 15Y | 2.42 | 10/2007 09/2022 | 1.43$ | 4.26 | 1.86$ | 5.28 | 2.16$ | 7.91 | 3.13$ | 10.66 | 01/1985 12/1999 | 4.56$ | 5.73 | 0.00% |
| 20Y | 3.71 | 04/2000 03/2020 | 2.07$ | 4.76 | 2.53$ | 5.74 | 3.05$ | 7.31 | 4.10$ | 9.15 | 01/1985 12/2004 | 5.76$ | 4.20 | 0.00% |
| 30Y | 4.74 | 11/1993 10/2023 | 4.01$ | 5.52 | 5.01$ | 6.20 | 6.08$ | 6.67 | 6.92$ | 7.61 | 01/1985 12/2014 | 9.03$ | 5.05 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
If you need a deeper detail about rolling returns, please refer to the Bill Bernstein Sheltered Sam 70/30 Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Bill Bernstein Sheltered Sam 70/30 Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the
page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 1.65 | -0.82 | -1.24 | 1.57 | -0.27 | 0.83 | 2.34 | -0.41 | -2.77 | 1.58 | 3.97 | 0.26 |
| Best | 6.3 2019 | 3.1 2021 | 3.1 2021 | 6.9 2020 | 2.5 2020 | 4.6 2019 | 4.9 2022 | 3.4 2020 | 2.0 2019 | 5.9 2022 | 8.7 2020 | 4.0 2021 |
| Worst | -2.9 2022 | -5.5 2020 | -11.2 2020 | -4.7 2022 | -4.1 2019 | -6.1 2022 | 0.4 2021 | -3.3 2022 | -7.4 2022 | -2.3 2023 | -2.0 2021 | -5.6 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 0.60 | 0.07 | -0.05 | 1.08 | 0.20 | 0.67 | 1.72 | -0.31 | -1.67 | 0.95 | 2.68 | 0.35 |
| Best | 6.3 2019 | 3.3 2014 | 5.6 2016 | 6.9 2020 | 2.5 2020 | 4.6 2019 | 4.9 2022 | 3.4 2020 | 2.0 2019 | 5.9 2022 | 8.7 2020 | 4.0 2021 |
| Worst | -3.2 2016 | -5.5 2020 | -11.2 2020 | -4.7 2022 | -4.1 2019 | -6.1 2022 | -1.4 2014 | -4.3 2015 | -7.4 2022 | -5.0 2018 | -2.0 2021 | -5.6 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 1.03 | 0.57 | 0.97 | 1.43 | 0.86 | 0.41 | 1.12 | -0.01 | -0.36 | 0.45 | 1.39 | 1.79 |
| Best | 8.3 1987 | 6.1 1986 | 6.5 2009 | 9.3 2009 | 5.8 1990 | 4.6 2019 | 6.6 2009 | 5.9 1986 | 6.2 2010 | 8.1 2011 | 8.7 2020 | 8.1 1991 |
| Worst | -8.4 2009 | -8.6 2009 | -11.2 2020 | -4.7 2022 | -5.8 2010 | -6.1 2022 | -6.7 2002 | -10.2 1998 | -7.4 2022 | -15.1 1987 | -5.5 2008 | -5.6 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Bill Bernstein Sheltered Sam 70/30 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
BILL BERNSTEIN SHELTERED SAM 70/30 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
238 Positive Months (66%) - 122 Negative Months (34%)
318 Positive Months (68%) - 149 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to December 2010, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- VTV - Vanguard Value (VTV), up to December 2004
- VV - Vanguard Large-Cap (VV), up to December 2004
- IJS - iShares S&P Small-Cap 600 Value (IJS), up to December 2000
- VNQ - Vanguard Real Estate (VNQ), up to December 2004
- EFV - iShares MSCI EAFE Value (EFV), up to December 2005
- EEM - iShares MSCI Emerging Markets (EEM), up to December 2003
- IJR - iShares Core S&P Small-Cap (IJR), up to December 2000
- VGK - Vanguard FTSE Europe (VGK), up to December 2005
- VPL - Vanguard FTSE Pacific (VPL), up to December 2005
- SHY - iShares 1-3 Year Treasury Bond (SHY), up to December 2002
- TIP - iShares TIPS Bond (TIP), up to December 2003
- GLTR - Aberdeen Standard Physical Precious Metals Basket Shares (GLTR), up to December 2010
Portfolio efficiency
The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) | % Allocation | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | Author | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 60/40 Momentum | +9.34 | 9.56 | -32.52 | 60 | 40 | 0 | |||
| Simple Path to Wealth | JL Collins | +8.78 | 11.75 | -38.53 | 75 | 25 | 0 | ||
| Shield Strategy | Aim Ways | +8.61 | 8.84 | -19.36 | 42 | 38 | 20 | ||
| Aim Bold Strategy | Aim Ways | +8.24 | 9.93 | -30.09 | 45 | 40 | 15 | ||
| Weird Portfolio | Value Stock Geek | +8.02 | 10.75 | -32.97 | 60 | 20 | 20 | ||
| Stocks/Bonds 60/40 | +7.99 | 9.61 | -30.55 | 60 | 40 | 0 | |||
| Yale Endowment | David Swensen | +7.98 | 10.99 | -39.48 | 70 | 30 | 0 | ||
| Couch Potato | Scott Burns | +7.83 | 8.76 | -27.04 | 50 | 50 | 0 | ||
| Edge Select Moderately Aggressive | Merrill Lynch | +7.83 | 11.16 | -38.23 | 69 | 31 | 0 | ||
| Stocks/Bonds 40/60 Momentum | +7.75 | 6.99 | -21.11 | 40 | 60 | 0 | |||
| Six Ways from Sunday | Scott Burns | +7.71 | 10.91 | -39.14 | 66.7 | 33.3 | 0 | ||
| Sheltered Sam 70/30 | Bill Bernstein | +7.69 | 10.70 | -39.73 | 67.9 | 30 | 2.1 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.
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30 Years Stats (%) | % Allocation | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | Author | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 60/40 Momentum | +9.34 | 9.56 | -32.52 | 60 | 40 | 0 | |||
| Simple Path to Wealth | JL Collins | +8.78 | 11.75 | -38.53 | 75 | 25 | 0 | ||
| Shield Strategy | Aim Ways | +8.61 | 8.84 | -19.36 | 42 | 38 | 20 | ||
| Aim Bold Strategy | Aim Ways | +8.24 | 9.93 | -30.09 | 45 | 40 | 15 | ||
| Late Sixties and Beyond | Burton Malkiel | +8.13 | 11.69 | -41.80 | 71 | 29 | 0 | ||
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