US Stocks/Bonds 80/20 To CAD Bond Hedged Portfolio: Rebalancing Strategy

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

Managing the US Stocks/Bonds 80/20 To CAD Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 10.16% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 9.41%.

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 80/20 To CAD Bond 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 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.

US STOCKS/BONDS 80/20 TO CAD BOND HEDGED PORTFOLIO RETURNS

Period: January 1960 - October 2024

Annualized Returns

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	Return (%) and number of rebalances as of Oct 31, 2024
Rebalancing Strategy	1Y		5Y		10Y		30Y		MAX (~65Y)
No Rebalancing	37.27	(0)	14.83	(0)	13.72	(0)	10.16	(0)	10.61	(0)
Yearly Rebalancing	32.23	(1)	12.15	(5)	11.66	(10)	9.47	(30)	10.35	(65)
Half Yearly Rebalancing	32.03	(2)	12.11	(10)	11.66	(20)	9.41	(60)	10.34	(130)
Quarterly Rebalancing	31.91	(4)	12.12	(20)	11.66	(40)	9.43	(120)	10.34	(260)
5% Tolerance per asset	32.59	(1)	12.30	(2)	11.85	(4)	9.54	(9)	10.35	(14)
10% Tolerance per asset	34.38	(0)	12.80	(0)	12.35	(1)	9.52	(1)	10.35	(2)

In order to have complete information about the portfolio, please refer to the US Stocks/Bonds 80/20 To CAD Bond Hedged Portfolio: ETF allocation and returns page.

Performances as of Oct 31, 2024

Historical returns and stats of US Stocks/Bonds 80/20 To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.

US STOCKS/BONDS 80/20 TO CAD BOND HEDGED PORTFOLIO PERFORMANCES

Period: January 1960 - October 2024

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			Standard Deviation		Max Drawdown (%)
Rebalancing Strategy	Return %		Std Dev(%)	Ret. / Std Dev	MaxDD(%)	Ret. / MaxDD
No Rebalancing	10.61	(0)	12.45	0.85	-42.47	0.25
Yearly Rebalancing	10.35	(65)	11.44	0.90	-37.61	0.28
Half Yearly Rebalancing	10.34	(130)	11.44	0.90	-38.17	0.27
Quarterly Rebalancing	10.34	(260)	11.45	0.90	-38.18	0.27
5% Tolerance per asset	10.35	(14)	11.48	0.90	-38.02	0.27
10% Tolerance per asset	10.35	(2)	11.72	0.88	-39.45	0.26

(*) Since Jan 1960 (~65 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of US Stocks/Bonds 80/20 To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.

US STOCKS/BONDS 80/20 TO CAD BOND HEDGED PORTFOLIO DRAWDOWNS

Period: January 1960 - October 2024

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Rebalancing				Tolerance per asset
No Rebalancing	Yearly	Half Yearly	Quarterly	5%	10%
-42.47 Sep 2000 - Feb 2013	-37.61 Jan 1973 - Jan 1976	-38.17 Jan 1973 - Jan 1976	-38.18 Jan 1973 - Mar 1976	-38.02 Jan 1973 - Jan 1976	-39.45 Jan 1973 - Aug 1976
-39.45 Jan 1973 - Aug 1976	-33.21 Sep 2000 - Feb 2012	-33.77 Sep 2000 - Mar 2012	-33.47 Sep 2000 - Feb 2012	-33.71 Sep 2000 - Mar 2012	-36.13 Sep 2000 - Dec 2012
-26.68 Sep 1987 - Jul 1989	-24.70 Dec 1968 - Apr 1971	-24.72 Dec 1968 - Apr 1971	-24.92 Dec 1968 - Apr 1971	-25.18 Dec 1968 - Apr 1971	-26.50 Dec 1968 - Apr 1971
-26.50 Dec 1968 - Apr 1971	-24.65 Sep 1987 - Jul 1989	-23.80 Sep 1987 - May 1989	-23.45 Sep 1987 - May 1989	-24.70 Sep 1987 - Jul 1989	-23.41 Sep 1987 - May 1989
-20.02 Jan 2022 - Jul 2023	-18.35 Jan 2022 - Dec 2023	-18.35 Jan 2022 - Dec 2023	-18.36 Jan 2022 - Dec 2023	-18.43 Jan 2022 - Dec 2023	-18.92 Jan 2022 - Nov 2023
5 Worst Drawdowns - Average
-31.02	-27.70	-27.76	-27.68	-28.01	-28.88
10 Worst Drawdowns - Average
-22.39	-20.10	-20.14	-20.12	-20.33	-20.81

For a deeper insight, please refer to the US Stocks/Bonds 80/20 To CAD Bond Hedged Portfolio: ETF allocation and returns page.