Bill Bernstein Sheltered Sam 90/10 Portfolio: ETF allocation and returns (2024)

Table of contents

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.
• the actual US Inflation rates.

May 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.

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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.
• the actual US Inflation rates.

• 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• Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
  For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
• Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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