Consolidated Returns as of 30 November 2024
Managing the Roger Gibson Talmud Portfolio 2x Leveraged with a yearly rebalancing, you would have obtained a 13.27% compound annual return in the last 10 Years.
With a quarterly rebalancing, over the same period, the return would have been 9.25%.
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 Roger Gibson Talmud Portfolio 2x Leveraged guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
| Return (%) and number of rebalances as of Nov 30, 2024 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y |
MAX (~15Y) |
||||
| No Rebalancing | 56.07 | (0) | 13.29 | (0) | 13.27 | (0) | 16.70 | (0) |
| Yearly Rebalancing | 36.99 | (1) | 6.81 | (5) | 9.16 | (10) | 13.94 | (14) |
| Half Yearly Rebalancing | 37.47 | (2) | 6.89 | (10) | 9.25 | (20) | 13.97 | (29) |
| Quarterly Rebalancing | 37.15 | (4) | 7.52 | (20) | 9.75 | (40) | 14.56 | (59) |
| 5% Tolerance per asset | 36.66 | (2) | 7.27 | (9) | 9.51 | (13) | 14.34 | (23) |
| 10% Tolerance per asset | 37.85 | (0) | 7.37 | (4) | 9.43 | (5) | 13.94 | (6) |
In order to have complete information about the portfolio, please refer to the Roger Gibson Talmud Portfolio 2x Leveraged: ETF allocation and returns page.
Performances as of Nov 30, 2024
Historical returns and stats of Roger Gibson Talmud Portfolio 2x Leveraged, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 16.70 | (0) | 24.43 | 0.68 | -46.34 | 0.36 |
| Yearly Rebalancing | 13.94 | (14) | 20.46 | 0.68 | -44.36 | 0.31 |
| Half Yearly Rebalancing | 13.97 | (29) | 20.55 | 0.68 | -44.50 | 0.31 |
| Quarterly Rebalancing | 14.56 | (59) | 20.73 | 0.70 | -44.69 | 0.33 |
| 5% Tolerance per asset | 14.34 | (23) | 20.95 | 0.68 | -44.75 | 0.32 |
| 10% Tolerance per asset | 13.94 | (6) | 21.30 | 0.65 | -44.81 | 0.31 |
Drawdowns as of Nov 30, 2024
Historical Drawdowns of Roger Gibson Talmud Portfolio 2x Leveraged, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-46.34
Jan 2022 - Aug 2024
|
-44.36
Jan 2022 - In progress
|
-44.50
Jan 2022 - In progress
|
-44.69
Jan 2022 - In progress
|
-44.75
Jan 2022 - In progress
|
-44.81
Jan 2022 - In progress
|
|
-37.71
Feb 2020 - Dec 2020
|
-25.50
Feb 2020 - Dec 2020
|
-25.50
Feb 2020 - Dec 2020
|
-25.50
Feb 2020 - Aug 2020
|
-26.49
Feb 2020 - Nov 2020
|
-28.16
Feb 2020 - Nov 2020
|
|
-19.88
Sep 2018 - Mar 2019
|
-16.87
Jun 2011 - Jan 2012
|
-16.04
Jun 2011 - Jan 2012
|
-15.92
Jun 2011 - Jan 2012
|
-17.83
Jun 2011 - Jan 2012
|
-19.36
Jun 2011 - Jan 2012
|
|
-19.36
Jun 2011 - Jan 2012
|
-14.56
Sep 2018 - Mar 2019
|
-14.17
Sep 2018 - Mar 2019
|
-13.32
Sep 2018 - Feb 2019
|
-13.94
Sep 2018 - Mar 2019
|
-14.64
Sep 2018 - Mar 2019
|
|
-13.74
May 2013 - Feb 2014
|
-13.21
May 2010 - Sep 2010
|
-13.21
May 2010 - Sep 2010
|
-12.94
May 2013 - Feb 2014
|
-12.53
May 2013 - Feb 2014
|
-13.74
May 2013 - Feb 2014
|
| 5 Worst Drawdowns - Average | |||||
| -27.41 | -22.90 | -22.69 | -22.48 | -23.11 | -24.14 |
| 10 Worst Drawdowns - Average | |||||
| -19.33 | -16.55 | -16.35 | -16.32 | -16.58 | -17.42 |
For a deeper insight, please refer to the Roger Gibson Talmud Portfolio 2x Leveraged: ETF allocation and returns page.
