Consolidated Returns as of 31 August 2024
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.
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 Fulvio Marchese In Saecula Saeculorum To EUR Hedged Portfolio guaranteed the following returns.
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.
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.
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 |
Drawdowns as of Aug 31, 2024
Historical Drawdowns of Fulvio Marchese In Saecula Saeculorum To EUR Hedged Portfolio, after implementing different rebalancing strategies.
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.