Consolidated Returns as of 30 November 2024
Managing the Developed World ex-US 40/60 Momentum Portfolio with a yearly rebalancing, you would have obtained a 3.95% compound annual return in the last 10 Years.
With a quarterly rebalancing, over the same period, the return would have been 3.94%.
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 Developed World ex-US 40/60 Momentum Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
| Return (%) and number of rebalances as of Nov 30, 2024 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y |
MAX (~15Y) |
||||
| No Rebalancing | 13.55 | (0) | 3.70 | (0) | 3.95 | (0) | 5.12 | (0) |
| Yearly Rebalancing | 12.64 | (1) | 3.42 | (5) | 3.93 | (10) | 5.22 | (15) |
| Half Yearly Rebalancing | 12.76 | (2) | 3.47 | (10) | 3.94 | (20) | 5.29 | (30) |
| Quarterly Rebalancing | 12.76 | (4) | 3.61 | (20) | 4.01 | (40) | 5.32 | (61) |
| 5% Tolerance per asset | 13.07 | (1) | 3.52 | (2) | 3.86 | (2) | 5.06 | (2) |
| 10% Tolerance per asset | 13.92 | (1) | 3.77 | (1) | 3.98 | (1) | 5.14 | (1) |
In order to have complete information about the portfolio, please refer to the Developed World ex-US 40/60 Momentum Portfolio: ETF allocation and returns page.
Performances as of Nov 30, 2024
Historical returns and stats of Developed World ex-US 40/60 Momentum Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 5.12 | (0) | 7.22 | 0.71 | -20.47 | 0.25 |
| Yearly Rebalancing | 5.22 | (15) | 6.93 | 0.75 | -19.40 | 0.27 |
| Half Yearly Rebalancing | 5.29 | (30) | 6.99 | 0.76 | -19.59 | 0.27 |
| Quarterly Rebalancing | 5.32 | (61) | 7.00 | 0.76 | -19.61 | 0.27 |
| 5% Tolerance per asset | 5.06 | (2) | 7.04 | 0.72 | -19.72 | 0.26 |
| 10% Tolerance per asset | 5.14 | (1) | 7.20 | 0.71 | -20.47 | 0.25 |
Drawdowns as of Nov 30, 2024
Historical Drawdowns of Developed World ex-US 40/60 Momentum Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-20.47
Sep 2021 - Mar 2024
|
-19.40
Sep 2021 - Jul 2024
|
-19.59
Sep 2021 - Mar 2024
|
-19.61
Sep 2021 - Mar 2024
|
-19.72
Sep 2021 - Mar 2024
|
-20.47
Sep 2021 - Mar 2024
|
|
-9.71
May 2011 - Aug 2012
|
-8.94
May 2011 - Jul 2012
|
-8.76
May 2011 - Jul 2012
|
-8.74
May 2011 - Jul 2012
|
-9.71
May 2011 - Aug 2012
|
-9.71
May 2011 - Aug 2012
|
|
-7.93
Feb 2020 - Jun 2020
|
-7.72
Feb 2020 - Jun 2020
|
-7.72
Feb 2020 - Jun 2020
|
-7.72
Feb 2020 - Jun 2020
|
-7.93
Feb 2020 - Jun 2020
|
-7.93
Feb 2020 - Jun 2020
|
|
-6.57
Feb 2018 - Apr 2019
|
-6.00
Feb 2018 - Mar 2019
|
-6.09
Feb 2018 - Apr 2019
|
-5.99
Feb 2018 - Mar 2019
|
-6.57
Feb 2018 - Apr 2019
|
-6.57
Feb 2018 - Apr 2019
|
|
-5.29
May 2015 - Jun 2016
|
-5.38
May 2015 - Jun 2016
|
-5.17
May 2013 - Oct 2013
|
-5.15
May 2015 - May 2016
|
-5.29
May 2015 - Jun 2016
|
-5.29
May 2015 - Jun 2016
|
| 5 Worst Drawdowns - Average | |||||
| -9.99 | -9.49 | -9.47 | -9.44 | -9.84 | -9.99 |
| 10 Worst Drawdowns - Average | |||||
| -6.86 | -6.51 | -6.55 | -6.52 | -6.73 | -6.80 |
For a deeper insight, please refer to the Developed World ex-US 40/60 Momentum Portfolio: ETF allocation and returns page.
