Consolidated Returns as of 31 August 2024
Managing the Bill Schultheis Coffeehouse To EUR Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 9.43% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 7.65%.
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 Bill Schultheis Coffeehouse To EUR Bond Hedged 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)
- 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.
| Return (%) and number of rebalances as of Aug 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~55Y) |
|||||
| No Rebalancing | 16.30 | (0) | 11.23 | (0) | 9.76 | (0) | 9.43 | (0) | 10.17 | (0) |
| Yearly Rebalancing | 12.97 | (1) | 6.36 | (5) | 6.63 | (10) | 7.78 | (30) | 9.22 | (55) |
| Half Yearly Rebalancing | 13.16 | (2) | 6.38 | (10) | 6.70 | (20) | 7.65 | (60) | 9.21 | (110) |
| Quarterly Rebalancing | 13.03 | (4) | 6.53 | (20) | 6.82 | (40) | 7.81 | (120) | 9.22 | (219) |
| 5% Tolerance per asset | 13.17 | (0) | 6.37 | (2) | 6.65 | (4) | 7.81 | (20) | 9.20 | (36) |
| 10% Tolerance per asset | 14.47 | (1) | 6.86 | (2) | 6.98 | (3) | 8.10 | (8) | 9.52 | (14) |
In order to have complete information about the portfolio, please refer to the Bill Schultheis Coffeehouse To EUR Bond Hedged Portfolio: ETF allocation and returns page.
Performances as of Aug 31, 2024
Historical returns and stats of Bill Schultheis Coffeehouse To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 10.17 | (0) | 14.72 | 0.69 | -46.79 | 0.22 |
| Yearly Rebalancing | 9.22 | (55) | 10.77 | 0.86 | -30.62 | 0.30 |
| Half Yearly Rebalancing | 9.21 | (110) | 10.70 | 0.86 | -31.63 | 0.29 |
| Quarterly Rebalancing | 9.22 | (219) | 10.70 | 0.86 | -31.34 | 0.29 |
| 5% Tolerance per asset | 9.20 | (36) | 10.75 | 0.86 | -31.85 | 0.29 |
| 10% Tolerance per asset | 9.52 | (14) | 10.90 | 0.87 | -30.25 | 0.31 |
Drawdowns as of Aug 31, 2024
Historical Drawdowns of Bill Schultheis Coffeehouse To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-46.79
Jun 2007 - Jan 2012
|
-30.62
Jun 2007 - Apr 2010
|
-31.63
Jun 2007 - Apr 2010
|
-31.34
Jun 2007 - Apr 2010
|
-31.85
Jun 2007 - Apr 2010
|
-30.25
Jun 2007 - Nov 2010
|
|
-35.03
Sep 1989 - Feb 1992
|
-28.79
Jan 1973 - Jan 1976
|
-29.07
Jan 1973 - Jan 1976
|
-29.52
Jan 1973 - Jan 1976
|
-29.38
Jan 1973 - Jan 1976
|
-28.08
Jan 1973 - Jan 1976
|
|
-34.30
Apr 2002 - Jun 2005
|
-23.67
Sep 1989 - Apr 1991
|
-23.64
Sep 1989 - Apr 1991
|
-24.06
Sep 1989 - Apr 1991
|
-24.38
Sep 1989 - May 1991
|
-22.75
Sep 1989 - Apr 1991
|
|
-28.22
Sep 1987 - Jan 1989
|
-21.91
Sep 1987 - Sep 1988
|
-20.34
Sep 1987 - Jul 1988
|
-19.65
Apr 2002 - Jan 2005
|
-20.81
Sep 1987 - Sep 1988
|
-21.67
Sep 1987 - Jan 1989
|
|
-28.01
Jan 2020 - Dec 2020
|
-19.08
Apr 2002 - Dec 2004
|
-19.80
Apr 2002 - Jan 2005
|
-19.42
Sep 1987 - Jun 1988
|
-19.72
Apr 2002 - Dec 2004
|
-17.85
Apr 2002 - Nov 2004
|
| 5 Worst Drawdowns - Average | |||||
| -34.47 | -24.81 | -24.89 | -24.80 | -25.23 | -24.12 |
| 10 Worst Drawdowns - Average | |||||
| -26.98 | -18.86 | -18.84 | -18.80 | -19.05 | -18.90 |
For a deeper insight, please refer to the Bill Schultheis Coffeehouse To EUR Bond Hedged Portfolio: ETF allocation and returns page.
