Consolidated Returns as of 31 August 2024
Managing the Robert Shiller Cape US Sector Value Portfolio with a yearly rebalancing, you would have obtained a 13.81% compound annual return in the last 10 Years.
With a quarterly rebalancing, over the same period, the return would have been 13.81%.
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 Robert Shiller Cape US Sector Value Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
Return (%) and number of rebalances as of Aug 31, 2024 | ||||||||
---|---|---|---|---|---|---|---|---|
Rebalancing Strategy | 1Y | 5Y | 10Y |
MAX (~12Y) |
||||
No Rebalancing | 19.16 | (0) | 14.90 | (0) | 13.81 | (0) | 15.50 | (0) |
Yearly Rebalancing | 19.16 | (1) | 14.90 | (5) | 13.81 | (10) | 15.50 | (12) |
Half Yearly Rebalancing | 19.16 | (2) | 14.90 | (10) | 13.81 | (20) | 15.50 | (24) |
Quarterly Rebalancing | 19.16 | (4) | 14.90 | (20) | 13.81 | (40) | 15.50 | (47) |
5% Tolerance per asset | 19.16 | (0) | 14.90 | (0) | 13.81 | (0) | 15.50 | (0) |
10% Tolerance per asset | 19.16 | (0) | 14.90 | (0) | 13.81 | (0) | 15.50 | (0) |
In order to have complete information about the portfolio, please refer to the Robert Shiller Cape US Sector Value Portfolio: ETF allocation and returns page.
Performances as of Aug 31, 2024
Historical returns and stats of Robert Shiller Cape US Sector Value Portfolio, after implementing different rebalancing strategies.
Standard Deviation
|
Max Drawdown (%)
|
|||||
---|---|---|---|---|---|---|
Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
No Rebalancing | 15.50 | (0) | 15.10 | 1.03 | -21.00 | 0.74 |
Yearly Rebalancing | 15.50 | (12) | 15.10 | 1.03 | -21.00 | 0.74 |
Half Yearly Rebalancing | 15.50 | (24) | 15.10 | 1.03 | -21.00 | 0.74 |
Quarterly Rebalancing | 15.50 | (47) | 15.10 | 1.03 | -21.00 | 0.74 |
5% Tolerance per asset | 15.50 | (0) | 15.10 | 1.03 | -21.00 | 0.74 |
10% Tolerance per asset | 15.50 | (0) | 15.10 | 1.03 | -21.00 | 0.74 |
Drawdowns as of Aug 31, 2024
Historical Drawdowns of Robert Shiller Cape US Sector Value Portfolio, after implementing different rebalancing strategies.
Rebalancing
|
Tolerance per asset
|
||||
---|---|---|---|---|---|
No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
-21.00
Feb 2020 - Jul 2020
|
-21.00
Feb 2020 - Jul 2020
|
-21.00
Feb 2020 - Jul 2020
|
-21.00
Feb 2020 - Jul 2020
|
-21.00
Feb 2020 - Jul 2020
|
-21.00
Feb 2020 - Jul 2020
|
-20.07
Jan 2022 - Jul 2023
|
-20.07
Jan 2022 - Jul 2023
|
-20.07
Jan 2022 - Jul 2023
|
-20.07
Jan 2022 - Jul 2023
|
-20.07
Jan 2022 - Jul 2023
|
-20.07
Jan 2022 - Jul 2023
|
-15.27
Oct 2018 - Apr 2019
|
-15.27
Oct 2018 - Apr 2019
|
-15.27
Oct 2018 - Apr 2019
|
-15.27
Oct 2018 - Apr 2019
|
-15.27
Oct 2018 - Apr 2019
|
-15.27
Oct 2018 - Apr 2019
|
-8.74
Aug 2015 - Oct 2015
|
-8.74
Aug 2015 - Oct 2015
|
-8.74
Aug 2015 - Oct 2015
|
-8.74
Aug 2015 - Oct 2015
|
-8.74
Aug 2015 - Oct 2015
|
-8.74
Aug 2015 - Oct 2015
|
-8.27
Aug 2023 - Dec 2023
|
-8.27
Aug 2023 - Dec 2023
|
-8.27
Aug 2023 - Dec 2023
|
-8.27
Aug 2023 - Dec 2023
|
-8.27
Aug 2023 - Dec 2023
|
-8.27
Aug 2023 - Dec 2023
|
5 Worst Drawdowns - Average | |||||
-14.67 | -14.67 | -14.67 | -14.67 | -14.67 | -14.67 |
10 Worst Drawdowns - Average | |||||
-9.99 | -9.99 | -9.99 | -9.99 | -9.99 | -9.99 |
For a deeper insight, please refer to the Robert Shiller Cape US Sector Value Portfolio: ETF allocation and returns page.