Consolidated Returns as of 30 November 2024
Managing the US Stocks/Bonds 20/80 To CAD Hedged Portfolio with a yearly rebalancing, you would have obtained a 7.76% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 5.57%.
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 US Stocks/Bonds 20/80 To CAD 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 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 Nov 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~65Y) |
|||||
| No Rebalancing | 25.89 | (0) | 9.07 | (0) | 7.81 | (0) | 7.76 | (0) | 9.03 | (0) |
| Yearly Rebalancing | 11.62 | (1) | 2.04 | (5) | 3.02 | (10) | 5.65 | (30) | 8.02 | (65) |
| Half Yearly Rebalancing | 11.40 | (2) | 2.01 | (10) | 3.00 | (20) | 5.57 | (60) | 8.00 | (130) |
| Quarterly Rebalancing | 11.33 | (4) | 2.09 | (20) | 3.06 | (40) | 5.64 | (120) | 8.02 | (260) |
| 5% Tolerance per asset | 11.88 | (1) | 2.08 | (2) | 3.09 | (4) | 5.69 | (11) | 8.07 | (20) |
| 10% Tolerance per asset | 13.30 | (0) | 2.57 | (1) | 3.41 | (1) | 6.00 | (5) | 8.14 | (6) |
In order to have complete information about the portfolio, please refer to the US Stocks/Bonds 20/80 To CAD Hedged Portfolio: ETF allocation and returns page.
Performances as of Nov 30, 2024
Historical returns and stats of US Stocks/Bonds 20/80 To CAD Hedged Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 9.03 | (0) | 8.07 | 1.12 | -23.48 | 0.38 |
| Yearly Rebalancing | 8.02 | (65) | 6.00 | 1.34 | -17.12 | 0.47 |
| Half Yearly Rebalancing | 8.00 | (130) | 6.00 | 1.33 | -17.23 | 0.46 |
| Quarterly Rebalancing | 8.02 | (260) | 6.01 | 1.34 | -17.22 | 0.47 |
| 5% Tolerance per asset | 8.07 | (20) | 6.01 | 1.34 | -17.33 | 0.47 |
| 10% Tolerance per asset | 8.14 | (6) | 6.09 | 1.34 | -17.66 | 0.46 |
Drawdowns as of Nov 30, 2024
Historical Drawdowns of US Stocks/Bonds 20/80 To CAD Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-23.48
Nov 2007 - Sep 2010
|
-17.12
Sep 2021 - In progress
|
-17.23
Sep 2021 - In progress
|
-17.22
Sep 2021 - In progress
|
-17.33
Sep 2021 - In progress
|
-17.66
Jan 2022 - Nov 2024
|
|
-22.87
Jan 2022 - Feb 2024
|
-8.56
Sep 1968 - Nov 1970
|
-8.97
Nov 1973 - Jan 1975
|
-8.87
Nov 1973 - Jan 1975
|
-8.39
Jan 1973 - Jan 1975
|
-8.08
Dec 1968 - Nov 1970
|
|
-16.65
Sep 2000 - Dec 2003
|
-8.44
Nov 1973 - Jan 1975
|
-8.59
Sep 1968 - Nov 1970
|
-8.76
May 2008 - Jul 2009
|
-8.08
Dec 1968 - Oct 1970
|
-7.75
Oct 1979 - Apr 1980
|
|
-14.06
Feb 2020 - Jul 2020
|
-8.07
May 2008 - Jul 2009
|
-8.47
May 2008 - Jul 2009
|
-8.74
Sep 1968 - Nov 1970
|
-7.89
May 2008 - Jul 2009
|
-7.59
Nov 1973 - Jan 1975
|
|
-12.02
Jan 1973 - May 1975
|
-7.64
Oct 1979 - Apr 1980
|
-7.66
Oct 1979 - Apr 1980
|
-7.69
Oct 1979 - Apr 1980
|
-7.69
Oct 1979 - Apr 1980
|
-7.02
May 2008 - Dec 2008
|
| 5 Worst Drawdowns - Average | |||||
| -17.82 | -9.97 | -10.18 | -10.26 | -9.88 | -9.62 |
| 10 Worst Drawdowns - Average | |||||
| -13.57 | -7.69 | -7.70 | -7.76 | -7.61 | -7.79 |
For a deeper insight, please refer to the US Stocks/Bonds 20/80 To CAD Hedged Portfolio: ETF allocation and returns page.
