Consolidated Returns as of 31 August 2024
Managing the All Country World 20/80 To EUR Portfolio with a yearly rebalancing, you would have obtained a 6.80% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 5.04%.
How do returns and drawdowns change, implementing different rebalancing strategies?
Rebalancing Strategies
In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.
At fixed time intervals:
- Yearly: Jan 1st
- Half Yearly: Jan 1st, Jul 1st
- Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
Portfolio Returns as of Aug 31, 2024
Implementing different rebalancing strategies, the All Country World 20/80 To EUR Portfolio guaranteed the following returns.
Portfolio returns are calculated in EUR, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
- the adjustment for actual currency exchange rates (simulation derived from original US returns)
| Return (%) and number of rebalances as of Aug 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~52Y) |
|||||
| No Rebalancing | 16.55 | (0) | 8.19 | (0) | 7.94 | (0) | 6.80 | (0) | 6.54 | (0) |
| Yearly Rebalancing | 7.75 | (1) | 1.20 | (5) | 3.57 | (10) | 5.12 | (30) | 5.15 | (52) |
| Half Yearly Rebalancing | 7.77 | (2) | 1.19 | (10) | 3.59 | (20) | 5.04 | (60) | 5.12 | (104) |
| Quarterly Rebalancing | 7.69 | (4) | 1.22 | (20) | 3.61 | (40) | 5.08 | (120) | 5.14 | (208) |
| 5% Tolerance per asset | 8.19 | (1) | 1.28 | (2) | 3.67 | (3) | 5.17 | (11) | 5.17 | (16) |
| 10% Tolerance per asset | 8.22 | (0) | 1.63 | (1) | 3.81 | (1) | 5.31 | (4) | 5.33 | (7) |
In order to have complete information about the portfolio, please refer to the All Country World 20/80 To EUR Portfolio: ETF allocation and returns page.
Performances as of Aug 31, 2024
Historical returns and stats of All Country World 20/80 To EUR Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 6.54 | (0) | 11.36 | 0.58 | -39.13 | 0.17 |
| Yearly Rebalancing | 5.15 | (52) | 8.76 | 0.59 | -39.48 | 0.13 |
| Half Yearly Rebalancing | 5.12 | (104) | 8.74 | 0.59 | -39.54 | 0.13 |
| Quarterly Rebalancing | 5.14 | (208) | 8.73 | 0.59 | -39.19 | 0.13 |
| 5% Tolerance per asset | 5.17 | (16) | 8.74 | 0.59 | -39.89 | 0.13 |
| 10% Tolerance per asset | 5.33 | (7) | 8.73 | 0.61 | -39.05 | 0.14 |
Drawdowns as of Aug 31, 2024
Historical Drawdowns of All Country World 20/80 To EUR Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-39.13
Jan 1973 - Jun 1982
|
-39.48
Jan 1973 - Aug 1982
|
-39.54
Jan 1973 - Aug 1982
|
-39.19
Jan 1973 - Aug 1982
|
-39.89
Jan 1973 - Aug 1982
|
-39.05
Jan 1973 - Aug 1982
|
|
-35.75
Sep 2000 - Jan 2012
|
-19.52
Feb 1994 - Sep 1996
|
-19.57
Feb 1994 - Sep 1996
|
-19.58
Feb 1994 - Sep 1996
|
-19.73
Feb 1994 - Sep 1996
|
-19.80
Feb 1994 - Sep 1996
|
|
-28.36
Sep 1989 - Feb 1993
|
-17.42
Sep 1989 - May 1991
|
-17.61
Sep 1989 - May 1991
|
-17.77
Sep 1989 - May 1991
|
-17.45
Sep 1989 - May 1991
|
-17.24
Sep 1989 - May 1991
|
|
-19.98
Sep 1987 - Jul 1988
|
-13.41
Nov 2000 - Nov 2005
|
-13.94
Nov 2000 - Nov 2005
|
-13.34
Jun 2001 - Nov 2005
|
-12.76
Jun 2001 - Jun 2005
|
-12.57
Jun 2001 - Dec 2005
|
|
-15.43
Feb 1994 - Jan 1996
|
-11.72
Jan 2022 - In progress
|
-11.63
Jan 2022 - In progress
|
-11.67
Jan 2022 - In progress
|
-11.74
Jan 2022 - In progress
|
-11.68
Jan 2022 - In progress
|
| 5 Worst Drawdowns - Average | |||||
| -27.73 | -20.31 | -20.46 | -20.31 | -20.31 | -20.07 |
| 10 Worst Drawdowns - Average | |||||
| -19.71 | -14.85 | -14.74 | -14.67 | -14.71 | -14.53 |
For a deeper insight, please refer to the All Country World 20/80 To EUR Portfolio: ETF allocation and returns page.
