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Bill Bernstein No Brainer Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of May 11, 2025, the Bill Bernstein No Brainer Portfolio returned 1.17% Year-To-Date and 7.22% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Bill Bernstein No Brainer Portfolio1.17%7.46%-1.59%7.14%9.97%7.22%
VEA
Vanguard FTSE Developed Markets ETF
12.77%11.62%8.93%10.01%11.74%5.66%
VB
Vanguard Small-Cap ETF
-6.65%10.05%-11.06%1.87%12.36%7.93%
BND
Vanguard Total Bond Market ETF
2.21%0.98%1.19%5.53%-0.78%1.51%
VOO
Vanguard S&P 500 ETF
-3.41%7.59%-5.06%9.79%15.86%12.42%
*Annualized

Monthly Returns

The table below presents the monthly returns of Bill Bernstein No Brainer Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.91%-0.43%-2.88%0.26%1.41%1.17%
2024-0.58%3.08%3.07%-4.08%3.83%0.34%3.40%1.67%1.62%-2.30%4.55%-3.81%10.79%
20237.20%-2.74%1.30%0.90%-1.60%4.87%2.82%-2.50%-4.16%-3.23%7.91%5.99%16.94%
2022-4.76%-1.49%0.75%-6.93%0.68%-7.07%6.85%-3.83%-8.23%5.72%6.55%-3.68%-15.77%
2021-0.15%2.48%1.99%3.29%1.11%0.92%0.66%1.51%-3.06%3.81%-2.37%2.97%13.70%
2020-0.77%-5.60%-12.33%9.27%4.75%2.16%3.65%3.84%-2.13%-1.12%10.57%4.39%15.45%
20197.06%2.66%0.84%2.61%-4.29%5.22%0.19%-1.20%1.45%1.84%2.29%2.18%22.45%
20182.94%-3.49%-0.29%0.29%1.69%-0.04%1.91%1.67%-0.19%-6.60%1.29%-5.79%-6.92%
20171.79%1.97%0.75%1.23%1.11%0.86%1.63%0.06%2.12%1.41%1.73%0.99%16.80%
2016-4.18%-0.40%5.71%1.21%0.83%0.16%3.37%0.23%0.54%-2.30%2.02%1.72%8.91%
2015-0.47%4.00%-0.18%0.61%0.67%-1.71%1.06%-4.87%-2.48%5.25%0.27%-2.08%-0.33%
2014-2.31%3.97%0.04%0.16%1.60%2.03%-2.26%2.59%-2.85%1.82%1.17%-0.65%5.16%

Expense Ratio

Bill Bernstein No Brainer Portfolio has an expense ratio of 0.04%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Bill Bernstein No Brainer Portfolio is 40, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Bill Bernstein No Brainer Portfolio is 4040
Overall Rank
The Sharpe Ratio Rank of Bill Bernstein No Brainer Portfolio is 3636
Sharpe Ratio Rank
The Sortino Ratio Rank of Bill Bernstein No Brainer Portfolio is 3737
Sortino Ratio Rank
The Omega Ratio Rank of Bill Bernstein No Brainer Portfolio is 3434
Omega Ratio Rank
The Calmar Ratio Rank of Bill Bernstein No Brainer Portfolio is 4545
Calmar Ratio Rank
The Martin Ratio Rank of Bill Bernstein No Brainer Portfolio is 5050
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VEA
Vanguard FTSE Developed Markets ETF
0.591.001.130.802.42
VB
Vanguard Small-Cap ETF
0.070.301.040.090.28
BND
Vanguard Total Bond Market ETF
1.001.451.170.422.54
VOO
Vanguard S&P 500 ETF
0.520.891.130.572.18

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Bill Bernstein No Brainer Portfolio Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.51
  • 5-Year: 0.72
  • 10-Year: 0.52
  • All Time: 0.65

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Bill Bernstein No Brainer Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Bill Bernstein No Brainer Portfolio provided a 2.38% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.38%2.39%2.31%2.20%1.90%1.74%2.26%2.47%2.11%2.27%2.27%2.44%
VEA
Vanguard FTSE Developed Markets ETF
2.91%3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%
VB
Vanguard Small-Cap ETF
1.51%1.30%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%
BND
Vanguard Total Bond Market ETF
3.75%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Bill Bernstein No Brainer Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Bill Bernstein No Brainer Portfolio was 27.91%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current Bill Bernstein No Brainer Portfolio drawdown is 3.09%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.91%Feb 13, 202027Mar 23, 202099Aug 12, 2020126
-23.68%Nov 9, 2021235Oct 14, 2022345Mar 1, 2024580
-17.46%May 2, 2011108Oct 3, 2011114Mar 16, 2012222
-14.96%Aug 30, 201880Dec 24, 201875Apr 12, 2019155
-13.97%May 22, 2015183Feb 11, 2016117Jul 29, 2016300

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 4.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBNDVEAVBVOOPortfolio
^GSPC1.00-0.100.820.881.000.94
BND-0.101.00-0.06-0.10-0.10-0.01
VEA0.82-0.061.000.770.820.91
VB0.88-0.100.771.000.880.94
VOO1.00-0.100.820.881.000.94
Portfolio0.94-0.010.910.940.941.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010

AI Insight on Diversification


The portfolio is moderately diversified but leans toward concentration in certain equity positions. The correlation matrix reveals that the equity ETFs—VEA (international developed markets), VB (small-cap US stocks), and VOO (large-cap US stocks)—are highly correlated with each other, with correlations ranging from 0.77 to 0.88. This high correlation among equity holdings suggests that these positions move closely together, which limits the diversification benefits within the equity portion of the portfolio.

In contrast, BND (a bond ETF) shows very low or slightly negative correlations with the equity ETFs, ranging from -0.1 to -0.06. This low correlation indicates that BND provides meaningful diversification by behaving differently from the equity positions, helping to reduce overall portfolio volatility.

Looking at the correlation of individual positions with the portfolio as a whole, VEA, VB, and VOO all have very high correlations with the portfolio (0.91 to 0.94), indicating that these equity holdings dominate the portfolio’s behavior. BND has a near-zero correlation with the portfolio (-0.01), reflecting its smaller influence or allocation relative to the equity components.

Overall, the portfolio is not highly concentrated in a single position but is heavily weighted toward equities that are closely correlated, which limits diversification benefits within that asset class. The inclusion of BND adds valuable diversification by introducing an asset class with low correlation to equities. However, the portfolio’s risk and return profile will largely be driven by the equity positions due to their dominant correlations with the portfolio.

Last updated May 11, 2025