Consolidated Returns as of 30 November 2024
Managing the Developed World ex-US Stocks Momentum Portfolio with a yearly rebalancing, you would have obtained a 6.25% compound annual return in the last 10 Years.
With a quarterly rebalancing, over the same period, the return would have been 6.25%.
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 Nov 30, 2024
Implementing different rebalancing strategies, the Developed World ex-US Stocks Momentum 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 Nov 30, 2024 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y |
MAX (~15Y) |
||||
| No Rebalancing | 20.03 | (0) | 8.09 | (0) | 6.25 | (0) | 6.68 | (0) |
| Yearly Rebalancing | 20.03 | (1) | 8.09 | (5) | 6.25 | (10) | 6.68 | (15) |
| Half Yearly Rebalancing | 20.03 | (2) | 8.09 | (10) | 6.25 | (20) | 6.68 | (30) |
| Quarterly Rebalancing | 20.03 | (4) | 8.09 | (20) | 6.25 | (40) | 6.68 | (61) |
| 5% Tolerance per asset | 20.03 | (0) | 8.09 | (0) | 6.25 | (0) | 6.68 | (0) |
| 10% Tolerance per asset | 20.03 | (0) | 8.09 | (0) | 6.25 | (0) | 6.68 | (0) |
In order to have complete information about the portfolio, please refer to the Developed World ex-US Stocks Momentum Portfolio: ETF allocation and returns page.
Performances as of Nov 30, 2024
Historical returns and stats of Developed World ex-US Stocks Momentum Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 6.68 | (0) | 15.06 | 0.44 | -28.57 | 0.23 |
| Yearly Rebalancing | 6.68 | (15) | 15.06 | 0.44 | -28.57 | 0.23 |
| Half Yearly Rebalancing | 6.68 | (30) | 15.06 | 0.44 | -28.57 | 0.23 |
| Quarterly Rebalancing | 6.68 | (61) | 15.06 | 0.44 | -28.57 | 0.23 |
| 5% Tolerance per asset | 6.68 | (0) | 15.06 | 0.44 | -28.57 | 0.23 |
| 10% Tolerance per asset | 6.68 | (0) | 15.06 | 0.44 | -28.57 | 0.23 |
Drawdowns as of Nov 30, 2024
Historical Drawdowns of Developed World ex-US Stocks Momentum Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-28.57
Nov 2021 - Feb 2024
|
-28.57
Nov 2021 - Feb 2024
|
-28.57
Nov 2021 - Feb 2024
|
-28.57
Nov 2021 - Feb 2024
|
-28.57
Nov 2021 - Feb 2024
|
-28.57
Nov 2021 - Feb 2024
|
|
-26.91
May 2011 - Apr 2013
|
-26.91
May 2011 - Apr 2013
|
-26.91
May 2011 - Apr 2013
|
-26.91
May 2011 - Apr 2013
|
-26.91
May 2011 - Apr 2013
|
-26.91
May 2011 - Apr 2013
|
|
-19.22
Feb 2018 - Dec 2019
|
-19.22
Feb 2018 - Dec 2019
|
-19.22
Feb 2018 - Dec 2019
|
-19.22
Feb 2018 - Dec 2019
|
-19.22
Feb 2018 - Dec 2019
|
-19.22
Feb 2018 - Dec 2019
|
|
-16.18
Jul 2014 - May 2017
|
-16.18
Jul 2014 - May 2017
|
-16.18
Jul 2014 - May 2017
|
-16.18
Jul 2014 - May 2017
|
-16.18
Jul 2014 - May 2017
|
-16.18
Jul 2014 - May 2017
|
|
-15.97
Feb 2020 - Jun 2020
|
-15.97
Feb 2020 - Jun 2020
|
-15.97
Feb 2020 - Jun 2020
|
-15.97
Feb 2020 - Jun 2020
|
-15.97
Feb 2020 - Jun 2020
|
-15.97
Feb 2020 - Jun 2020
|
| 5 Worst Drawdowns - Average | |||||
| -21.37 | -21.37 | -21.37 | -21.37 | -21.37 | -21.37 |
| 10 Worst Drawdowns - Average | |||||
| -14.38 | -14.38 | -14.38 | -14.38 | -14.38 | -14.38 |
For a deeper insight, please refer to the Developed World ex-US Stocks Momentum Portfolio: ETF allocation and returns page.
