Short Term Treasury Portfolio: Rebalancing Strategy

Data Source: from January 1871 to November 2024
Consolidated Returns as of 30 November 2024

Managing the Short Term Treasury Portfolio with a yearly rebalancing, you would have obtained a 3.17% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 3.17%.

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.

Rebalancing can be performed in several ways.

At fixed time intervals:

Yearly: Jan 1st
Half Yearly: Jan 1st, Jul 1st
Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st

When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Nov 30, 2024

Implementing different rebalancing strategies, the Short Term Treasury Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1871.

Portfolio returns are calculated in USD, assuming:

No fees or capital gain taxes
the reinvestment of dividends, if existing

SHORT TERM TREASURY PORTFOLIO RETURNS

Period: January 1871 - November 2024

Annualized Returns

Swipe left to see all data

	Return (%) and number of rebalances as of Nov 30, 2024
Rebalancing Strategy	1Y		5Y		10Y		30Y		MAX (~154Y)
No Rebalancing	4.80	(0)	1.20	(0)	1.19	(0)	3.17	(0)	4.43	(0)
Yearly Rebalancing	4.80	(1)	1.20	(5)	1.19	(10)	3.17	(30)	4.43	(154)
Half Yearly Rebalancing	4.80	(2)	1.20	(10)	1.19	(20)	3.17	(60)	4.43	(308)
Quarterly Rebalancing	4.80	(4)	1.20	(20)	1.19	(40)	3.17	(120)	4.43	(616)
5% Tolerance per asset	4.80	(0)	1.20	(0)	1.19	(0)	3.17	(0)	4.43	(0)
10% Tolerance per asset	4.80	(0)	1.20	(0)	1.19	(0)	3.17	(0)	4.43	(0)

In order to have complete information about the portfolio, please refer to the Short Term Treasury Portfolio: ETF allocation and returns page.

Performances as of Nov 30, 2024

Historical returns and stats of Short Term Treasury Portfolio, after implementing different rebalancing strategies.

SHORT TERM TREASURY PORTFOLIO PERFORMANCES

Period: January 1871 - November 2024

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			Standard Deviation		Max Drawdown (%)
Rebalancing Strategy	Return %		Std Dev(%)	Ret. / Std Dev	MaxDD(%)	Ret. / MaxDD
No Rebalancing	4.43	(0)	3.46	1.28	-8.52	0.52
Yearly Rebalancing	4.43	(154)	3.46	1.28	-8.52	0.52
Half Yearly Rebalancing	4.43	(308)	3.46	1.28	-8.52	0.52
Quarterly Rebalancing	4.43	(616)	3.46	1.28	-8.52	0.52
5% Tolerance per asset	4.43	(0)	3.46	1.28	-8.52	0.52
10% Tolerance per asset	4.43	(0)	3.46	1.28	-8.52	0.52

(*) Since Jan 1871 (~154 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Nov 30, 2024

Historical Drawdowns of Short Term Treasury Portfolio, after implementing different rebalancing strategies.

SHORT TERM TREASURY PORTFOLIO DRAWDOWNS

Period: January 1871 - November 2024

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Rebalancing				Tolerance per asset
No Rebalancing	Yearly	Half Yearly	Quarterly	5%	10%
-8.52 Apr 1971 - Apr 1972	-8.52 Apr 1971 - Apr 1972	-8.52 Apr 1971 - Apr 1972	-8.52 Apr 1971 - Apr 1972	-8.52 Apr 1971 - Apr 1972	-8.52 Apr 1971 - Apr 1972
-7.53 Jul 1895 - Nov 1896	-7.53 Jul 1895 - Nov 1896	-7.53 Jul 1895 - Nov 1896	-7.53 Jul 1895 - Nov 1896	-7.53 Jul 1895 - Nov 1896	-7.53 Jul 1895 - Nov 1896
-6.84 Mar 1970 - Nov 1970	-6.84 Mar 1970 - Nov 1970	-6.84 Mar 1970 - Nov 1970	-6.84 Mar 1970 - Nov 1970	-6.84 Mar 1970 - Nov 1970	-6.84 Mar 1970 - Nov 1970
-6.17 Sep 1931 - Jul 1932	-6.17 Sep 1931 - Jul 1932	-6.17 Sep 1931 - Jul 1932	-6.17 Sep 1931 - Jul 1932	-6.17 Sep 1931 - Jul 1932	-6.17 Sep 1931 - Jul 1932
-5.89 Feb 1898 - Jul 1898	-5.89 Feb 1898 - Jul 1898	-5.89 Feb 1898 - Jul 1898	-5.89 Feb 1898 - Jul 1898	-5.89 Feb 1898 - Jul 1898	-5.89 Feb 1898 - Jul 1898
5 Worst Drawdowns - Average
-6.99	-6.99	-6.99	-6.99	-6.99	-6.99
10 Worst Drawdowns - Average
-5.91	-5.91	-5.91	-5.91	-5.91	-5.91

For a deeper insight, please refer to the Short Term Treasury Portfolio: ETF allocation and returns page.