Consolidated Returns as of 30 September 2024
Managing the Scott Burns Five Fold Portfolio with a yearly rebalancing, you would have obtained a 7.88% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 7.66%.
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 Sep 30, 2024
Implementing different rebalancing strategies, the Scott Burns Five Fold 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 Sep 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~40Y) |
|||||
| No Rebalancing | 28.73 | (0) | 8.50 | (0) | 7.91 | (0) | 7.88 | (0) | 9.06 | (0) |
| Yearly Rebalancing | 22.66 | (1) | 6.20 | (5) | 6.27 | (10) | 7.76 | (30) | 9.02 | (40) |
| Half Yearly Rebalancing | 22.71 | (2) | 6.20 | (10) | 6.25 | (20) | 7.66 | (60) | 8.94 | (80) |
| Quarterly Rebalancing | 22.75 | (4) | 6.32 | (20) | 6.32 | (40) | 7.75 | (120) | 9.01 | (159) |
| 5% Tolerance per asset | 23.03 | (0) | 6.06 | (1) | 6.29 | (3) | 7.83 | (13) | 9.04 | (16) |
| 10% Tolerance per asset | 24.15 | (0) | 6.31 | (0) | 6.45 | (1) | 7.56 | (3) | 8.84 | (4) |
In order to have complete information about the portfolio, please refer to the Scott Burns Five Fold Portfolio: ETF allocation and returns page.
Performances as of Sep 30, 2024
Historical returns and stats of Scott Burns Five Fold Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 9.06 | (0) | 10.99 | 0.82 | -42.52 | 0.21 |
| Yearly Rebalancing | 9.02 | (40) | 9.61 | 0.94 | -37.94 | 0.24 |
| Half Yearly Rebalancing | 8.94 | (80) | 9.62 | 0.93 | -38.57 | 0.23 |
| Quarterly Rebalancing | 9.01 | (159) | 9.66 | 0.93 | -38.46 | 0.23 |
| 5% Tolerance per asset | 9.04 | (16) | 9.76 | 0.93 | -38.07 | 0.24 |
| 10% Tolerance per asset | 8.84 | (4) | 9.46 | 0.93 | -36.60 | 0.24 |
Drawdowns as of Sep 30, 2024
Historical Drawdowns of Scott Burns Five Fold Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-42.52
Nov 2007 - Feb 2011
|
-37.94
Nov 2007 - Oct 2010
|
-38.57
Nov 2007 - Oct 2010
|
-38.46
Nov 2007 - Sep 2010
|
-38.07
Nov 2007 - Sep 2010
|
-36.60
Nov 2007 - Jan 2011
|
|
-24.16
Jan 2022 - Jul 2024
|
-21.60
Jan 2022 - Aug 2024
|
-21.67
Jan 2022 - Aug 2024
|
-21.71
Jan 2022 - Aug 2024
|
-22.39
Jan 2022 - Aug 2024
|
-22.39
Jan 2022 - Jul 2024
|
|
-17.51
Feb 2020 - Aug 2020
|
-13.82
Feb 2020 - Aug 2020
|
-13.82
Feb 2020 - Aug 2020
|
-13.82
Feb 2020 - Aug 2020
|
-14.10
Feb 2020 - Aug 2020
|
-14.10
Feb 2020 - Aug 2020
|
|
-16.42
Jan 1990 - May 1991
|
-12.21
Jan 1990 - Feb 1991
|
-12.56
Jan 1990 - Feb 1991
|
-12.44
Jan 1990 - Feb 1991
|
-12.82
Jan 1990 - Feb 1991
|
-13.40
Jan 1990 - Feb 1991
|
|
-14.76
Sep 2000 - Sep 2003
|
-11.82
Sep 1987 - Jun 1988
|
-10.69
Sep 1987 - Apr 1988
|
-10.24
Sep 1987 - Mar 1988
|
-11.00
Sep 1987 - Apr 1988
|
-11.34
Sep 1987 - Apr 1988
|
| 5 Worst Drawdowns - Average | |||||
| -23.08 | -19.48 | -19.46 | -19.33 | -19.67 | -19.56 |
| 10 Worst Drawdowns - Average | |||||
| -16.55 | -13.80 | -13.80 | -13.74 | -13.97 | -13.66 |
For a deeper insight, please refer to the Scott Burns Five Fold Portfolio: ETF allocation and returns page.
