Consolidated Returns as of 30 November 2024
Managing the Developed World 40/60 To EUR Portfolio with a yearly rebalancing, you would have obtained a 6.60% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 5.94%.
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 40/60 To EUR Portfolio guaranteed the following returns.
Portfolio returns are calculated in EUR, 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)
| Return (%) and number of rebalances as of Nov 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~53Y) |
|||||
| No Rebalancing | 25.26 | (0) | 8.27 | (0) | 8.04 | (0) | 6.60 | (0) | 6.85 | (0) |
| Yearly Rebalancing | 17.02 | (1) | 4.29 | (5) | 5.62 | (10) | 6.05 | (30) | 6.60 | (53) |
| Half Yearly Rebalancing | 16.77 | (2) | 4.24 | (10) | 5.62 | (20) | 5.94 | (60) | 6.53 | (106) |
| Quarterly Rebalancing | 16.63 | (4) | 4.30 | (20) | 5.67 | (40) | 5.99 | (120) | 6.56 | (212) |
| 5% Tolerance per asset | 17.02 | (0) | 4.31 | (3) | 5.64 | (4) | 6.00 | (15) | 6.58 | (22) |
| 10% Tolerance per asset | 17.92 | (0) | 4.66 | (1) | 5.93 | (2) | 6.14 | (6) | 6.62 | (7) |
In order to have complete information about the portfolio, please refer to the Developed World 40/60 To EUR Portfolio: ETF allocation and returns page.
Performances as of Nov 30, 2024
Historical returns and stats of Developed World 40/60 To EUR Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 6.85 | (0) | 8.19 | 0.84 | -30.01 | 0.23 |
| Yearly Rebalancing | 6.60 | (53) | 7.39 | 0.89 | -22.71 | 0.29 |
| Half Yearly Rebalancing | 6.53 | (106) | 7.36 | 0.89 | -23.54 | 0.28 |
| Quarterly Rebalancing | 6.56 | (212) | 7.37 | 0.89 | -22.91 | 0.29 |
| 5% Tolerance per asset | 6.58 | (22) | 7.44 | 0.89 | -23.26 | 0.28 |
| 10% Tolerance per asset | 6.62 | (7) | 7.42 | 0.89 | -24.01 | 0.28 |
Drawdowns as of Nov 30, 2024
Historical Drawdowns of Developed World 40/60 To EUR Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-30.01
Sep 2000 - Dec 2010
|
-22.71
Sep 2000 - May 2007
|
-23.54
Sep 2000 - Feb 2010
|
-22.91
Sep 2000 - Feb 2010
|
-23.26
Sep 2000 - May 2007
|
-24.01
Sep 2000 - May 2007
|
|
-19.74
Feb 1994 - Apr 1996
|
-19.53
Feb 1994 - Apr 1996
|
-19.52
Feb 1994 - Apr 1996
|
-19.52
Feb 1994 - Apr 1996
|
-19.59
Feb 1994 - Apr 1996
|
-19.38
Feb 1994 - Apr 1996
|
|
-17.95
Jan 1973 - Nov 1975
|
-17.55
Jan 1973 - Oct 1975
|
-17.70
Jan 1973 - Nov 1975
|
-17.54
Jan 1973 - Nov 1975
|
-17.58
Jan 1973 - Nov 1975
|
-17.95
Jan 1973 - Nov 1975
|
|
-14.88
Oct 1987 - Jan 1989
|
-15.20
Jun 2007 - Jan 2010
|
-13.41
Jan 2022 - Jul 2024
|
-13.40
Jan 2022 - Jul 2024
|
-16.42
Jun 2007 - Jan 2010
|
-16.65
Jun 2007 - Jan 2010
|
|
-13.66
Sep 1989 - Apr 1991
|
-13.52
Jan 2022 - Jul 2024
|
-12.59
Oct 1987 - Jul 1988
|
-12.26
Sep 1989 - Mar 1991
|
-13.52
Jan 2022 - Jul 2024
|
-13.35
Jan 2022 - Jul 2024
|
| 5 Worst Drawdowns - Average | |||||
| -19.25 | -17.70 | -17.35 | -17.12 | -18.07 | -18.27 |
| 10 Worst Drawdowns - Average | |||||
| -14.76 | -13.83 | -12.94 | -12.82 | -13.94 | -14.00 |
For a deeper insight, please refer to the Developed World 40/60 To EUR Portfolio: ETF allocation and returns page.
