Consolidated Returns as of 31 October 2024
Managing the Scott Burns US Couch Potato To CAD Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 8.84% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 8.34%.
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 Scott Burns US Couch Potato To CAD Bond Hedged Portfolio guaranteed the following returns.
Portfolio returns are calculated in CAD, 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 Oct 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~40Y) |
|||||
| No Rebalancing | 30.20 | (0) | 12.40 | (0) | 10.69 | (0) | 8.84 | (0) | 10.09 | (0) |
| Yearly Rebalancing | 21.66 | (1) | 9.71 | (5) | 8.62 | (10) | 8.45 | (30) | 9.82 | (40) |
| Half Yearly Rebalancing | 21.17 | (2) | 9.71 | (10) | 8.63 | (20) | 8.34 | (60) | 9.76 | (80) |
| Quarterly Rebalancing | 21.08 | (4) | 9.68 | (20) | 8.61 | (40) | 8.37 | (120) | 9.82 | (160) |
| 5% Tolerance per asset | 21.73 | (1) | 9.69 | (2) | 8.66 | (5) | 8.41 | (16) | 9.83 | (20) |
| 10% Tolerance per asset | 22.57 | (1) | 9.84 | (1) | 8.95 | (3) | 8.75 | (9) | 10.02 | (9) |
In order to have complete information about the portfolio, please refer to the Scott Burns US Couch Potato To CAD Bond Hedged Portfolio: ETF allocation and returns page.
Performances as of Oct 31, 2024
Historical returns and stats of Scott Burns US Couch Potato To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 10.09 | (0) | 8.76 | 1.15 | -19.55 | 0.52 |
| Yearly Rebalancing | 9.82 | (40) | 7.87 | 1.25 | -19.07 | 0.51 |
| Half Yearly Rebalancing | 9.76 | (80) | 7.81 | 1.25 | -19.57 | 0.50 |
| Quarterly Rebalancing | 9.82 | (160) | 7.81 | 1.26 | -19.79 | 0.50 |
| 5% Tolerance per asset | 9.83 | (20) | 7.89 | 1.25 | -19.19 | 0.51 |
| 10% Tolerance per asset | 10.02 | (9) | 7.97 | 1.26 | -18.82 | 0.53 |
Drawdowns as of Oct 31, 2024
Historical Drawdowns of Scott Burns US Couch Potato To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-19.55
Feb 2007 - Sep 2010
|
-19.07
May 2007 - Apr 2010
|
-19.57
Sep 2008 - Apr 2010
|
-19.79
May 2007 - Sep 2010
|
-19.19
Sep 2008 - Apr 2010
|
-18.82
Feb 2007 - Apr 2010
|
|
-17.85
Sep 2000 - May 2005
|
-15.60
Sep 1987 - Apr 1989
|
-13.94
Sep 1987 - Jan 1989
|
-13.18
Sep 1987 - Jan 1989
|
-14.00
Sep 1987 - Jan 1989
|
-15.57
Sep 1987 - Apr 1989
|
|
-15.82
Jan 2022 - Aug 2023
|
-11.27
Jan 2022 - Aug 2023
|
-11.00
Jan 2022 - Jul 2023
|
-11.21
Jan 2022 - Aug 2023
|
-11.76
Jan 2022 - Nov 2023
|
-12.20
Jan 2022 - Nov 2023
|
|
-15.57
Sep 1987 - Apr 1989
|
-8.59
Feb 2020 - May 2020
|
-8.73
Sep 2000 - Oct 2003
|
-8.59
Feb 2020 - May 2020
|
-9.05
Feb 2020 - May 2020
|
-8.65
Feb 2020 - May 2020
|
|
-11.84
Feb 2020 - Jun 2020
|
-7.54
Sep 2000 - Oct 2003
|
-8.59
Feb 2020 - May 2020
|
-8.26
Sep 2000 - Oct 2003
|
-8.48
Apr 2002 - Oct 2003
|
-7.14
Sep 2018 - Mar 2019
|
| 5 Worst Drawdowns - Average | |||||
| -16.13 | -12.41 | -12.37 | -12.21 | -12.50 | -12.48 |
| 10 Worst Drawdowns - Average | |||||
| -11.58 | -9.35 | -9.26 | -9.17 | -9.51 | -9.54 |
For a deeper insight, please refer to the Scott Burns US Couch Potato To CAD Bond Hedged Portfolio: ETF allocation and returns page.
