All Country World 40/60 To EUR Bond Hedged Portfolio: Rebalancing Strategy

Data Source: from August 1974 to September 2024
Consolidated Returns as of 30 September 2024

Managing the All Country World 40/60 To EUR Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 6.97% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.11%.

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.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Sep 30, 2024

Implementing different rebalancing strategies, the All Country World 40/60 To EUR Bond Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on August 1974.

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)
  • the currency hedging (simulation taking into account the interest rate differentials of the countries). It is also assumed that hedged instruments have an additional expense ratio of 0.25% (yearly), compared to the US original instrument.
ALL COUNTRY WORLD 40/60 TO EUR BOND HEDGED PORTFOLIO RETURNS
Period: August 1974 - September 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Sep 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~50Y)
No Rebalancing 20.48 (0) 8.08 (0) 7.45 (0) 6.97 (0) 9.00 (0)
Yearly Rebalancing 14.64 (1) 3.94 (5) 4.55 (10) 6.26 (30) 8.61 (50)
Half Yearly Rebalancing 14.71 (2) 3.88 (10) 4.55 (20) 6.11 (60) 8.54 (100)
Quarterly Rebalancing 14.58 (4) 3.92 (20) 4.61 (40) 6.21 (120) 8.60 (200)
5% Tolerance per asset 15.03 (1) 3.95 (3) 4.62 (5) 6.21 (19) 8.64 (31)
10% Tolerance per asset 15.09 (0) 4.22 (1) 4.84 (2) 6.55 (9) 8.71 (10)

In order to have complete information about the portfolio, please refer to the All Country World 40/60 To EUR Bond Hedged Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of All Country World 40/60 To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.

ALL COUNTRY WORLD 40/60 TO EUR BOND HEDGED PORTFOLIO PERFORMANCES
Period: August 1974 - September 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 9.00 (0) 10.04 0.90 -31.69 0.28
Yearly Rebalancing 8.61 (50) 8.05 1.07 -22.18 0.39
Half Yearly Rebalancing 8.54 (100) 8.01 1.07 -22.48 0.38
Quarterly Rebalancing 8.60 (200) 8.01 1.07 -22.71 0.38
5% Tolerance per asset 8.64 (31) 8.01 1.08 -22.42 0.39
10% Tolerance per asset 8.71 (10) 8.16 1.07 -24.24 0.36
(*) Since Aug 1974 (~50 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of All Country World 40/60 To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.

ALL COUNTRY WORLD 40/60 TO EUR BOND HEDGED PORTFOLIO DRAWDOWNS
Period: August 1974 - September 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-31.69
Sep 2000 - Oct 2006
-22.18
Sep 1989 - Nov 1992
-22.48
Sep 1989 - Nov 1992
-22.71
Sep 1989 - Nov 1992
-22.42
Sep 1989 - Nov 1992
-24.24
Sep 1989 - Nov 1992
-28.01
Jun 2007 - Dec 2010
-16.78
Nov 2007 - Dec 2009
-18.14
Nov 2007 - Mar 2010
-18.42
Nov 2007 - Mar 2010
-18.60
Nov 2007 - Mar 2010
-17.35
Nov 2007 - Feb 2010
-27.75
Sep 1989 - Feb 1993
-14.36
Sep 1987 - Jun 1988
-14.81
Sep 2000 - Dec 2004
-13.78
Sep 2000 - Aug 2004
-14.15
Sep 2000 - Dec 2004
-15.07
Sep 1987 - Jun 1988
-18.77
Sep 1987 - Jun 1988
-13.76
Sep 2000 - Nov 2004
-13.50
Jan 2022 - Jun 2024
-13.45
Jan 2022 - Jun 2024
-13.37
Jan 2022 - Jun 2024
-13.54
Jan 2022 - Jun 2024
-13.57
Jan 2022 - Jan 2024
-13.54
Jan 2022 - Jun 2024
-12.85
Sep 1987 - May 1988
-12.00
Sep 1987 - May 1988
-12.95
Sep 1987 - May 1988
-12.73
Sep 2000 - Feb 2004
5 Worst Drawdowns - Average
-23.96 -16.12 -16.36 -16.07 -16.30 -16.59
10 Worst Drawdowns - Average
-17.12 -12.09 -12.17 -12.01 -12.12 -12.27

For a deeper insight, please refer to the All Country World 40/60 To EUR Bond Hedged Portfolio: ETF allocation and returns page.