Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio: Rebalancing Strategy

Data Source: from August 1953 to September 2024
Consolidated Returns as of 30 September 2024
This asset allocation includes ETFs not denominated in EUR. Returns are calculated using exchange rates or, if applicable, interest rate differentials for currency hedging.

Managing the Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 10.62% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 7.96%.

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 Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on August 1953.

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.
FULVIO MARCHESE IN SAECULA SAECULORUM TO EUR BOND HEDGED PORTFOLIO RETURNS
Period: August 1953 - 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
(~71Y)
No Rebalancing 28.48 (0) 14.27 (0) 13.67 (0) 10.62 (0) 9.92 (0)
Yearly Rebalancing 21.02 (1) 7.63 (5) 7.77 (10) 8.16 (30) 8.62 (71)
Half Yearly Rebalancing 21.05 (2) 7.56 (10) 7.78 (20) 7.96 (60) 8.53 (142)
Quarterly Rebalancing 20.90 (4) 7.65 (20) 7.87 (40) 8.12 (120) 8.52 (284)
5% Tolerance per asset 21.04 (0) 7.87 (4) 7.99 (7) 8.12 (22) 8.57 (52)
10% Tolerance per asset 21.25 (0) 7.91 (2) 8.11 (3) 8.33 (8) 8.78 (18)

In order to have complete information about the portfolio, please refer to the Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.

FULVIO MARCHESE IN SAECULA SAECULORUM TO EUR BOND HEDGED PORTFOLIO PERFORMANCES
Period: August 1953 - September 2024
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Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 9.92 (0) 13.85 0.72 -52.09 0.19
Yearly Rebalancing 8.62 (71) 8.37 1.03 -18.53 0.47
Half Yearly Rebalancing 8.53 (142) 8.30 1.03 -19.61 0.44
Quarterly Rebalancing 8.52 (284) 8.31 1.03 -19.27 0.44
5% Tolerance per asset 8.57 (52) 8.37 1.02 -19.57 0.44
10% Tolerance per asset 8.78 (18) 8.51 1.03 -18.43 0.48
(*) Since Aug 1953 (~71 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.

FULVIO MARCHESE IN SAECULA SAECULORUM TO EUR BOND HEDGED PORTFOLIO DRAWDOWNS
Period: August 1953 - September 2024
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Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-52.09
Sep 2000 - Feb 2013
-18.53
Mar 1974 - Jun 1975
-19.61
Mar 1974 - Jul 1975
-19.27
Mar 1974 - Nov 1975
-19.57
Mar 1974 - Nov 1975
-18.43
Sep 2000 - Jun 2005
-36.36
Jan 1973 - Sep 1976
-17.93
Aug 1987 - Jan 1989
-17.89
Sep 2000 - Jun 2005
-16.35
Sep 2000 - May 2005
-17.47
Sep 2000 - May 2005
-18.35
Mar 1974 - Jun 1975
-30.97
Sep 1987 - Apr 1989
-16.77
Sep 2000 - May 2005
-16.40
Aug 1987 - Jan 1989
-16.33
Dec 1968 - Dec 1970
-17.04
Aug 1987 - Jan 1989
-16.71
Sep 1987 - Jan 1989
-29.50
Sep 1989 - May 1991
-16.08
Dec 1968 - Jan 1971
-16.14
Dec 1968 - Dec 1970
-15.39
Aug 1987 - Sep 1988
-16.58
Dec 1968 - Jan 1971
-15.85
Dec 1968 - Jan 1971
-24.77
Dec 1968 - Mar 1971
-15.62
Sep 1989 - Mar 1991
-15.15
Nov 2007 - Dec 2009
-15.19
Sep 1989 - Mar 1991
-15.27
Sep 1989 - Mar 1991
-15.40
Jun 2007 - Dec 2009
5 Worst Drawdowns - Average
-34.74 -16.99 -17.04 -16.51 -17.18 -16.95
10 Worst Drawdowns - Average
-25.74 -14.11 -14.21 -13.98 -14.34 -14.34

For a deeper insight, please refer to the Fulvio Marchese In Saecula Saeculorum To EUR Bond Hedged Portfolio: ETF allocation and returns page.