Consolidated Returns as of 31 August 2024
Managing the US Stocks/Bonds 40/60 To CAD Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 8.64% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 6.81%.
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 Aug 31, 2024
Implementing different rebalancing strategies, the US Stocks/Bonds 40/60 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 Aug 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~65Y) |
|||||
| No Rebalancing | 22.56 | (0) | 12.05 | (0) | 11.26 | (0) | 8.64 | (0) | 9.56 | (0) |
| Yearly Rebalancing | 13.89 | (1) | 5.49 | (5) | 6.31 | (10) | 6.89 | (30) | 8.83 | (65) |
| Half Yearly Rebalancing | 13.92 | (2) | 5.46 | (10) | 6.32 | (20) | 6.81 | (60) | 8.81 | (130) |
| Quarterly Rebalancing | 13.74 | (4) | 5.47 | (20) | 6.32 | (40) | 6.84 | (120) | 8.82 | (259) |
| 5% Tolerance per asset | 14.18 | (1) | 5.60 | (4) | 6.43 | (6) | 6.91 | (17) | 8.85 | (32) |
| 10% Tolerance per asset | 14.70 | (0) | 5.90 | (1) | 6.73 | (3) | 7.02 | (6) | 8.95 | (11) |
In order to have complete information about the portfolio, please refer to the US Stocks/Bonds 40/60 To CAD Bond Hedged Portfolio: ETF allocation and returns page.
Performances as of Aug 31, 2024
Historical returns and stats of US Stocks/Bonds 40/60 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 | 9.56 | (0) | 8.88 | 1.08 | -25.09 | 0.38 |
| Yearly Rebalancing | 8.83 | (65) | 7.08 | 1.25 | -18.19 | 0.49 |
| Half Yearly Rebalancing | 8.81 | (130) | 7.05 | 1.25 | -19.14 | 0.46 |
| Quarterly Rebalancing | 8.82 | (259) | 7.06 | 1.25 | -19.14 | 0.46 |
| 5% Tolerance per asset | 8.85 | (32) | 7.10 | 1.25 | -19.05 | 0.46 |
| 10% Tolerance per asset | 8.95 | (11) | 7.17 | 1.25 | -17.77 | 0.50 |
Drawdowns as of Aug 31, 2024
Historical Drawdowns of US Stocks/Bonds 40/60 To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-25.09
Sep 2000 - Dec 2006
|
-18.19
Jan 1973 - May 1975
|
-19.14
Jan 1973 - May 1975
|
-19.14
Jan 1973 - May 1975
|
-19.05
Jan 1973 - May 1975
|
-17.77
Jan 1973 - May 1975
|
|
-23.56
Feb 2007 - Feb 2011
|
-16.22
Jan 2022 - Mar 2024
|
-16.03
Jan 2022 - Mar 2024
|
-16.05
Jan 2022 - Mar 2024
|
-16.32
Jan 2022 - Mar 2024
|
-16.24
Jan 2022 - Mar 2024
|
|
-21.77
Jan 1973 - Jun 1975
|
-13.13
Dec 1968 - Dec 1970
|
-13.16
Dec 1968 - Dec 1970
|
-13.49
Dec 1968 - Dec 1970
|
-13.41
Dec 1968 - Dec 1970
|
-13.77
Feb 2007 - Apr 2010
|
|
-18.73
Jan 2022 - Nov 2023
|
-12.60
May 2007 - Nov 2009
|
-13.13
May 2007 - Feb 2010
|
-13.45
May 2007 - Feb 2010
|
-12.71
May 2007 - Dec 2009
|
-13.41
Dec 1968 - Dec 1970
|
|
-17.05
Sep 1987 - Apr 1989
|
-12.53
Sep 1987 - Jan 1989
|
-11.08
Sep 1987 - Oct 1988
|
-10.53
Sep 1987 - Oct 1988
|
-10.99
Sep 1987 - Oct 1988
|
-10.47
Sep 1987 - Oct 1988
|
| 5 Worst Drawdowns - Average | |||||
| -21.24 | -14.53 | -14.51 | -14.53 | -14.50 | -14.33 |
| 10 Worst Drawdowns - Average | |||||
| -16.07 | -10.80 | -10.87 | -10.91 | -11.01 | -11.03 |
For a deeper insight, please refer to the US Stocks/Bonds 40/60 To CAD Bond Hedged Portfolio: ETF allocation and returns page.
