US Stocks/Bonds 40/60 To CAD Hedged Portfolio: Rebalancing Strategy

Data Source: from January 1960 to October 2024
Consolidated Returns as of 31 October 2024

Managing the US Stocks/Bonds 40/60 To CAD Hedged Portfolio with a yearly rebalancing, you would have obtained a 8.68% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.73%.

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 Oct 31, 2024

Implementing different rebalancing strategies, the US Stocks/Bonds 40/60 To CAD Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1960.

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.
US STOCKS/BONDS 40/60 TO CAD HEDGED PORTFOLIO RETURNS
Period: January 1960 - October 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Oct 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~65Y)
No Rebalancing 32.77 (0) 10.80 (0) 9.24 (0) 8.68 (0) 9.86 (0)
Yearly Rebalancing 19.78 (1) 4.59 (5) 4.95 (10) 6.84 (30) 8.97 (65)
Half Yearly Rebalancing 19.45 (2) 4.57 (10) 4.94 (20) 6.73 (60) 8.96 (130)
Quarterly Rebalancing 19.35 (4) 4.70 (20) 5.04 (40) 6.83 (120) 8.99 (260)
5% Tolerance per asset 19.77 (0) 4.80 (4) 5.09 (6) 6.96 (24) 9.00 (36)
10% Tolerance per asset 19.53 (0) 4.87 (2) 5.17 (2) 7.09 (8) 9.11 (12)

In order to have complete information about the portfolio, please refer to the US Stocks/Bonds 40/60 To CAD Hedged Portfolio: ETF allocation and returns page.

Performances as of Oct 31, 2024

Historical returns and stats of US Stocks/Bonds 40/60 To CAD Hedged Portfolio, after implementing different rebalancing strategies.

US STOCKS/BONDS 40/60 TO CAD HEDGED PORTFOLIO PERFORMANCES
Period: January 1960 - October 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 9.86 (0) 10.50 0.94 -36.14 0.27
Yearly Rebalancing 8.97 (65) 7.61 1.18 -19.32 0.46
Half Yearly Rebalancing 8.96 (130) 7.60 1.18 -19.33 0.46
Quarterly Rebalancing 8.99 (260) 7.62 1.18 -19.82 0.45
5% Tolerance per asset 9.00 (36) 7.69 1.17 -19.95 0.45
10% Tolerance per asset 9.11 (12) 7.73 1.18 -20.36 0.45
(*) Since Jan 1960 (~65 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of US Stocks/Bonds 40/60 To CAD Hedged Portfolio, after implementing different rebalancing strategies.

US STOCKS/BONDS 40/60 TO CAD HEDGED PORTFOLIO DRAWDOWNS
Period: January 1960 - October 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-36.14
Nov 2007 - Jan 2011
-19.32
Jan 2022 - Jul 2024
-19.33
Jan 2022 - Jul 2024
-19.82
Nov 2007 - Feb 2010
-19.95
Nov 2007 - Feb 2010
-20.36
Nov 2007 - Dec 2009
-30.07
Sep 2000 - Dec 2004
-18.46
Nov 2007 - Nov 2009
-19.26
Nov 2007 - Dec 2009
-19.31
Jan 2022 - Jul 2024
-19.82
Jan 2022 - Jul 2024
-20.26
Jan 2022 - Jul 2024
-24.54
Jan 2022 - Feb 2024
-18.38
Jan 1973 - May 1975
-19.24
Jan 1973 - May 1975
-19.24
Jan 1973 - May 1975
-19.60
Jan 1973 - May 1975
-18.42
Jan 1973 - May 1975
-23.79
Jan 1973 - Dec 1975
-13.24
Dec 1968 - Nov 1970
-13.27
Dec 1968 - Nov 1970
-13.56
Dec 1968 - Nov 1970
-13.80
Dec 1968 - Nov 1970
-13.80
Dec 1968 - Nov 1970
-18.24
Feb 2020 - Jul 2020
-12.58
Sep 1987 - Sep 1988
-10.78
Sep 1987 - Jun 1988
-10.08
Sep 1987 - Jun 1988
-11.19
Sep 1987 - Jun 1988
-11.17
Sep 1987 - Jun 1988
5 Worst Drawdowns - Average
-26.56 -16.40 -16.37 -16.40 -16.87 -16.80
10 Worst Drawdowns - Average
-20.36 -12.22 -12.33 -12.30 -12.59 -12.52

For a deeper insight, please refer to the US Stocks/Bonds 40/60 To CAD Hedged Portfolio: ETF allocation and returns page.