Consolidated Returns as of 31 October 2024
Managing the Roger Gibson Talmud Portfolio with a yearly rebalancing, you would have obtained a 10.36% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 8.61%.
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 Oct 31, 2024
Implementing different rebalancing strategies, the Roger Gibson Talmud Portfolio 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 Oct 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~97Y) |
|||||
| No Rebalancing | 37.34 | (0) | 13.35 | (0) | 11.61 | (0) | 10.36 | (0) | 8.82 | (0) |
| Yearly Rebalancing | 27.29 | (1) | 6.34 | (5) | 6.83 | (10) | 8.72 | (30) | 7.82 | (97) |
| Half Yearly Rebalancing | 27.41 | (2) | 6.29 | (10) | 6.82 | (20) | 8.61 | (60) | 7.83 | (194) |
| Quarterly Rebalancing | 27.48 | (4) | 6.37 | (20) | 6.89 | (40) | 8.73 | (120) | 7.88 | (388) |
| 5% Tolerance per asset | 27.67 | (1) | 6.27 | (3) | 6.84 | (5) | 8.74 | (22) | 7.86 | (67) |
| 10% Tolerance per asset | 27.42 | (0) | 6.47 | (1) | 7.04 | (2) | 8.99 | (8) | 8.05 | (24) |
In order to have complete information about the portfolio, please refer to the Roger Gibson Talmud Portfolio: ETF allocation and returns page.
Performances as of Oct 31, 2024
Historical returns and stats of Roger Gibson Talmud Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 8.82 | (0) | 14.19 | 0.62 | -54.61 | 0.16 |
| Yearly Rebalancing | 7.82 | (97) | 12.35 | 0.63 | -57.05 | 0.14 |
| Half Yearly Rebalancing | 7.83 | (194) | 12.55 | 0.62 | -56.82 | 0.14 |
| Quarterly Rebalancing | 7.88 | (388) | 12.65 | 0.62 | -57.18 | 0.14 |
| 5% Tolerance per asset | 7.86 | (67) | 12.67 | 0.62 | -57.93 | 0.14 |
| 10% Tolerance per asset | 8.05 | (24) | 12.72 | 0.63 | -57.98 | 0.14 |
Drawdowns as of Oct 31, 2024
Historical Drawdowns of Roger Gibson Talmud Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-54.61
Sep 1929 - May 1943
|
-57.05
Sep 1929 - Jan 1937
|
-56.82
Sep 1929 - Oct 1936
|
-57.18
Sep 1929 - Mar 1936
|
-57.93
Sep 1929 - Aug 1936
|
-57.98
Sep 1929 - Mar 1936
|
|
-51.06
Nov 2007 - Feb 2012
|
-40.17
Jun 2007 - Oct 2010
|
-40.72
Jun 2007 - Oct 2010
|
-40.54
Jun 2007 - Oct 2010
|
-41.24
Jun 2007 - Oct 2010
|
-39.89
Jun 2007 - Oct 2010
|
|
-41.51
Jan 1973 - Sep 1976
|
-29.48
Aug 1937 - Feb 1943
|
-29.90
Aug 1937 - Feb 1943
|
-30.24
Aug 1937 - Jan 1943
|
-30.35
Aug 1937 - Feb 1943
|
-30.82
Aug 1937 - Mar 1943
|
|
-39.01
Sep 2000 - Jul 2005
|
-25.53
Dec 1972 - Jan 1976
|
-26.08
Dec 1972 - Jan 1976
|
-25.98
Dec 1972 - Jan 1976
|
-26.41
Dec 1972 - Jan 1976
|
-25.15
Dec 1972 - Jan 1976
|
|
-27.15
Dec 1968 - Mar 1971
|
-22.88
Jan 2022 - Aug 2024
|
-22.94
Jan 2022 - Aug 2024
|
-22.94
Jan 2022 - Aug 2024
|
-23.31
Jan 2022 - Aug 2024
|
-23.83
Jan 2022 - Aug 2024
|
| 5 Worst Drawdowns - Average | |||||
| -42.67 | -35.02 | -35.29 | -35.38 | -35.85 | -35.53 |
| 10 Worst Drawdowns - Average | |||||
| -32.23 | -24.49 | -24.50 | -24.55 | -25.03 | -25.01 |
For a deeper insight, please refer to the Roger Gibson Talmud Portfolio: ETF allocation and returns page.
