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

Data Source: from January 1950 to August 2024
Consolidated Returns as of 31 August 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 Hedged Portfolio with a yearly rebalancing, you would have obtained a 9.57% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 7.21%.

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 Aug 31, 2024

Implementing different rebalancing strategies, the Fulvio Marchese In Saecula Saeculorum To EUR Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1950.

Portfolio returns are calculated in EUR, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • 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 HEDGED PORTFOLIO RETURNS
Period: January 1950 - August 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Aug 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~75Y)
No Rebalancing 24.27 (0) 13.39 (0) 10.59 (0) 9.57 (0) 9.91 (0)
Yearly Rebalancing 16.33 (1) 6.66 (5) 5.76 (10) 7.35 (30) 8.37 (75)
Half Yearly Rebalancing 16.21 (2) 6.65 (10) 5.81 (20) 7.21 (60) 8.28 (150)
Quarterly Rebalancing 16.14 (4) 6.77 (20) 5.89 (40) 7.32 (120) 8.26 (299)
5% Tolerance per asset 16.41 (1) 6.90 (4) 5.96 (6) 7.40 (22) 8.33 (46)
10% Tolerance per asset 17.37 (0) 7.03 (1) 6.07 (2) 7.67 (8) 8.58 (18)

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

Performances as of Aug 31, 2024

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

FULVIO MARCHESE IN SAECULA SAECULORUM TO EUR HEDGED PORTFOLIO PERFORMANCES
Period: January 1950 - August 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 9.91 (0) 13.27 0.75 -46.93 0.21
Yearly Rebalancing 8.37 (75) 7.95 1.05 -19.73 0.42
Half Yearly Rebalancing 8.28 (150) 7.92 1.05 -19.89 0.42
Quarterly Rebalancing 8.26 (299) 7.93 1.04 -20.35 0.41
5% Tolerance per asset 8.33 (46) 8.02 1.04 -20.18 0.41
10% Tolerance per asset 8.58 (18) 8.22 1.04 -20.11 0.43
(*) Since Jan 1950 (~75 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Aug 31, 2024

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

FULVIO MARCHESE IN SAECULA SAECULORUM TO EUR HEDGED PORTFOLIO DRAWDOWNS
Period: January 1950 - August 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-46.93
Nov 2007 - Feb 2011
-19.73
Jan 2022 - Jun 2024
-19.89
Nov 2007 - Nov 2009
-20.35
Nov 2007 - Nov 2009
-20.18
Jun 2008 - Nov 2009
-20.11
Jan 2022 - Mar 2024
-41.27
Apr 2000 - Mar 2006
-18.94
Nov 2007 - Sep 2009
-19.71
Jan 2022 - Jun 2024
-19.76
Jan 2022 - Jun 2024
-20.11
Jan 2022 - Jun 2024
-18.56
Nov 2007 - Sep 2009
-39.43
Jan 1973 - Dec 1976
-18.41
Mar 1974 - May 1975
-19.43
Mar 1974 - May 1975
-18.95
Mar 1974 - May 1975
-19.44
Mar 1974 - May 1975
-18.23
Dec 1980 - Oct 1982
-28.53
Dec 1968 - Mar 1971
-17.33
Dec 1968 - Jan 1971
-17.41
Dec 1968 - Jan 1971
-17.61
Dec 1968 - Jan 1971
-17.47
Dec 1968 - Jan 1971
-18.09
Dec 1968 - Jan 1971
-26.70
Sep 1987 - Jul 1989
-16.94
Dec 1980 - Oct 1982
-16.68
Dec 1980 - Oct 1982
-16.65
Dec 1980 - Oct 1982
-16.38
Dec 1980 - Oct 1982
-17.86
Mar 1974 - May 1975
5 Worst Drawdowns - Average
-36.57 -18.27 -18.63 -18.66 -18.72 -18.57
10 Worst Drawdowns - Average
-28.92 -14.62 -14.75 -14.63 -14.74 -14.92

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