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

Data Source: from January 1960 to November 2024
Consolidated Returns as of 30 November 2024

Managing the US Stocks/Bonds 80/20 To CAD Hedged Portfolio with a yearly rebalancing, you would have obtained a 10.05% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 9.30%.

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 US Stocks/Bonds 80/20 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 80/20 TO CAD HEDGED PORTFOLIO RETURNS
Period: January 1960 - 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
(~65Y)
No Rebalancing 32.29 (0) 13.01 (0) 10.98 (0) 10.05 (0) 10.98 (0)
Yearly Rebalancing 27.55 (1) 10.64 (5) 9.31 (10) 9.39 (30) 10.69 (65)
Half Yearly Rebalancing 27.32 (2) 10.63 (10) 9.30 (20) 9.30 (60) 10.67 (130)
Quarterly Rebalancing 27.25 (4) 10.73 (20) 9.37 (40) 9.37 (120) 10.70 (260)
5% Tolerance per asset 27.94 (1) 10.78 (2) 9.42 (3) 9.52 (13) 10.73 (17)
10% Tolerance per asset 29.30 (0) 11.11 (0) 9.78 (1) 9.65 (3) 10.78 (4)

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

Performances as of Nov 30, 2024

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

US STOCKS/BONDS 80/20 TO CAD HEDGED PORTFOLIO PERFORMANCES
Period: January 1960 - November 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 10.98 (0) 13.97 0.79 -47.41 0.23
Yearly Rebalancing 10.69 (65) 12.52 0.85 -40.58 0.26
Half Yearly Rebalancing 10.67 (130) 12.52 0.85 -41.07 0.26
Quarterly Rebalancing 10.70 (260) 12.55 0.85 -41.39 0.26
5% Tolerance per asset 10.73 (17) 12.63 0.85 -41.03 0.26
10% Tolerance per asset 10.78 (4) 12.81 0.84 -42.45 0.25
(*) Since Jan 1960 (~65 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Nov 30, 2024

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

US STOCKS/BONDS 80/20 TO CAD HEDGED PORTFOLIO DRAWDOWNS
Period: January 1960 - November 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-47.41
Nov 2007 - Apr 2011
-40.58
Nov 2007 - Jan 2011
-41.07
Nov 2007 - Jan 2011
-41.39
Nov 2007 - Feb 2011
-41.03
Nov 2007 - Jan 2011
-42.45
Nov 2007 - Mar 2011
-41.13
Sep 2000 - Jan 2006
-37.90
Jan 1973 - Jan 1976
-38.41
Jan 1973 - Jan 1976
-38.41
Jan 1973 - Jan 1976
-38.40
Jan 1973 - Jan 1976
-40.56
Jan 1973 - Mar 1976
-40.56
Jan 1973 - Mar 1976
-33.33
Sep 2000 - Dec 2004
-33.93
Sep 2000 - Dec 2004
-33.57
Sep 2000 - Dec 2004
-33.23
Sep 2000 - Dec 2004
-32.52
Sep 2000 - Dec 2004
-26.77
Dec 1968 - Mar 1971
-24.83
Dec 1968 - Feb 1971
-24.85
Dec 1968 - Feb 1971
-25.05
Dec 1968 - Feb 1971
-25.50
Dec 1968 - Mar 1971
-26.77
Dec 1968 - Mar 1971
-26.20
Sep 1987 - Mar 1989
-24.11
Sep 1987 - Jan 1989
-23.73
Jan 2022 - Feb 2024
-23.72
Jan 2022 - Feb 2024
-24.03
Sep 1987 - Jan 1989
-24.35
Jan 2022 - Feb 2024
5 Worst Drawdowns - Average
-36.42 -32.15 -32.40 -32.43 -32.44 -33.33
10 Worst Drawdowns - Average
-27.87 -24.58 -24.60 -24.58 -24.88 -25.38

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