Francesco Casarella Conservative Permanent Portfolio: Rebalancing Strategy

Data Source: from July 1980 to November 2024
Consolidated Returns as of 30 November 2024

Managing the Francesco Casarella Conservative Permanent Portfolio with a yearly rebalancing, you would have obtained a 6.32% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 5.53%.

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 Nov 30, 2024

Implementing different rebalancing strategies, the Francesco Casarella Conservative Permanent Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on July 1980.

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)
FRANCESCO CASARELLA CONSERVATIVE PERMANENT PORTFOLIO RETURNS
Period: July 1980 - November 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Nov 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~44Y)
No Rebalancing 26.25 (0) 9.28 (0) 8.31 (0) 6.32 (0) 6.54 (0)
Yearly Rebalancing 19.37 (1) 6.60 (5) 5.97 (10) 5.65 (30) 5.77 (44)
Half Yearly Rebalancing 18.94 (2) 6.53 (10) 5.98 (20) 5.53 (60) 5.70 (89)
Quarterly Rebalancing 18.77 (4) 6.51 (20) 6.00 (40) 5.56 (120) 5.72 (178)
5% Tolerance per asset 19.48 (1) 6.84 (4) 6.11 (6) 5.69 (16) 5.81 (21)
10% Tolerance per asset 20.96 (0) 7.22 (1) 6.37 (2) 6.03 (7) 6.12 (9)

In order to have complete information about the portfolio, please refer to the Francesco Casarella Conservative Permanent Portfolio: ETF allocation and returns page.

Performances as of Nov 30, 2024

Historical returns and stats of Francesco Casarella Conservative Permanent Portfolio, after implementing different rebalancing strategies.

FRANCESCO CASARELLA CONSERVATIVE PERMANENT PORTFOLIO PERFORMANCES
Period: July 1980 - November 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 6.54 (0) 7.80 0.84 -28.74 0.23
Yearly Rebalancing 5.77 (44) 6.55 0.88 -13.66 0.42
Half Yearly Rebalancing 5.70 (89) 6.53 0.87 -14.30 0.40
Quarterly Rebalancing 5.72 (178) 6.53 0.88 -13.76 0.42
5% Tolerance per asset 5.81 (21) 6.55 0.89 -14.09 0.41
10% Tolerance per asset 6.12 (9) 6.54 0.94 -13.57 0.45
(*) Since Jul 1980 (~44 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Nov 30, 2024

Historical Drawdowns of Francesco Casarella Conservative Permanent Portfolio, after implementing different rebalancing strategies.

FRANCESCO CASARELLA CONSERVATIVE PERMANENT PORTFOLIO DRAWDOWNS
Period: July 1980 - November 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-28.74
Sep 2000 - May 2010
-13.66
Feb 1994 - Apr 1996
-14.30
Sep 2000 - Jun 2005
-13.76
Feb 1994 - Apr 1996
-14.09
Feb 1994 - Apr 1996
-13.57
Feb 1994 - Apr 1996
-15.78
Feb 1994 - Apr 1996
-13.60
Sep 2000 - Jun 2005
-13.71
Feb 1994 - Apr 1996
-13.70
Sep 2000 - Jun 2005
-13.22
Sep 2000 - Jun 2005
-12.00
Sep 2000 - Jun 2005
-13.33
Oct 1987 - Jan 1989
-10.33
Oct 1987 - Jan 1989
-9.89
Oct 1987 - Jul 1988
-9.59
Oct 1987 - Jul 1988
-10.55
Oct 1987 - Jan 1989
-11.46
Oct 1987 - Jan 1989
-11.53
Jan 2022 - Dec 2023
-9.23
Sep 1989 - Apr 1991
-9.10
Sep 1989 - Apr 1991
-8.89
Sep 1989 - Apr 1991
-9.03
Sep 1989 - Apr 1991
-9.15
Sep 1989 - Apr 1991
-10.54
Feb 2020 - Nov 2020
-8.20
Jul 1991 - Feb 1993
-8.08
Jul 1991 - Feb 1993
-8.37
Mar 2008 - Sep 2009
-8.24
Oct 2012 - Nov 2014
-7.79
Mar 2008 - Sep 2009
5 Worst Drawdowns - Average
-15.98 -11.01 -11.02 -10.86 -11.02 -10.80
10 Worst Drawdowns - Average
-12.21 -8.96 -9.04 -8.99 -9.07 -8.81

For a deeper insight, please refer to the Francesco Casarella Conservative Permanent Portfolio: ETF allocation and returns page.