Consolidated Returns as of 30 November 2024
Managing the Davide Pisicchio Margherita Portfolio with a yearly rebalancing, you would have obtained a 8.12% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 6.91%.
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 Davide Pisicchio Margherita 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 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.
| Return (%) and number of rebalances as of Nov 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~31Y) |
|||||
| No Rebalancing | 30.85 | (0) | 11.72 | (0) | 9.82 | (0) | 8.12 | (0) | 7.66 | (0) |
| Yearly Rebalancing | 18.20 | (1) | 6.44 | (5) | 5.96 | (10) | 7.11 | (30) | 6.69 | (31) |
| Half Yearly Rebalancing | 17.65 | (2) | 6.27 | (10) | 5.89 | (20) | 6.91 | (60) | 6.50 | (62) |
| Quarterly Rebalancing | 17.54 | (4) | 6.30 | (20) | 5.94 | (40) | 7.02 | (120) | 6.60 | (124) |
| 5% Tolerance per asset | 18.07 | (1) | 6.39 | (3) | 6.00 | (5) | 7.01 | (17) | 6.59 | (17) |
| 10% Tolerance per asset | 20.33 | (0) | 7.07 | (1) | 6.45 | (2) | 7.35 | (7) | 6.92 | (7) |
In order to have complete information about the portfolio, please refer to the Davide Pisicchio Margherita Portfolio: ETF allocation and returns page.
Performances as of Nov 30, 2024
Historical returns and stats of Davide Pisicchio Margherita Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 7.66 | (0) | 7.97 | 0.96 | -21.40 | 0.36 |
| Yearly Rebalancing | 6.69 | (31) | 5.72 | 1.17 | -10.54 | 0.63 |
| Half Yearly Rebalancing | 6.50 | (62) | 5.64 | 1.15 | -10.50 | 0.62 |
| Quarterly Rebalancing | 6.60 | (124) | 5.66 | 1.17 | -10.46 | 0.63 |
| 5% Tolerance per asset | 6.59 | (17) | 5.81 | 1.13 | -10.68 | 0.62 |
| 10% Tolerance per asset | 6.92 | (7) | 5.94 | 1.17 | -10.63 | 0.65 |
Drawdowns as of Nov 30, 2024
Historical Drawdowns of Davide Pisicchio Margherita Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-21.40
Sep 2000 - Oct 2006
|
-10.54
Jan 2022 - Feb 2024
|
-10.50
Jan 2022 - Feb 2024
|
-10.46
Jan 2022 - Feb 2024
|
-10.68
Jan 2022 - Feb 2024
|
-10.63
Jan 2022 - Feb 2024
|
|
-12.89
Jan 2022 - Dec 2023
|
-7.50
Feb 1994 - May 1995
|
-7.51
Apr 2002 - Oct 2003
|
-7.55
Feb 1994 - May 1995
|
-7.71
Apr 2002 - Jan 2004
|
-7.50
Feb 1994 - May 1995
|
|
-11.06
Jun 2007 - Dec 2009
|
-6.72
Jul 1998 - Nov 1998
|
-7.50
Feb 1994 - May 1995
|
-7.30
Apr 2002 - Oct 2003
|
-7.50
Feb 1994 - May 1995
|
-7.23
Jul 1998 - Dec 1998
|
|
-10.62
Feb 2020 - Aug 2020
|
-6.64
Sep 2000 - Aug 2003
|
-7.12
Jan 2008 - Aug 2009
|
-7.12
Nov 2007 - Aug 2009
|
-7.02
Jul 1998 - Dec 1998
|
-6.66
Sep 2000 - Aug 2003
|
|
-9.21
Jul 1998 - Dec 1998
|
-5.88
Jan 2008 - Jul 2009
|
-6.21
Jul 1998 - Nov 1998
|
-6.21
Jul 1998 - Nov 1998
|
-6.87
Feb 2008 - Aug 2009
|
-6.58
Nov 2007 - Sep 2009
|
| 5 Worst Drawdowns - Average | |||||
| -13.04 | -7.46 | -7.77 | -7.73 | -7.95 | -7.72 |
| 10 Worst Drawdowns - Average | |||||
| -9.57 | -5.70 | -5.98 | -5.93 | -6.21 | -5.97 |
For a deeper insight, please refer to the Davide Pisicchio Margherita Portfolio: ETF allocation and returns page.
