Consolidated Returns as of 31 October 2024
Managing the Developed World 60/40 To EUR Hedged Portfolio with a yearly rebalancing, you would have obtained a 6.48% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 5.90%.
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 Oct 31, 2024
Implementing different rebalancing strategies, the Developed World 60/40 To EUR Hedged 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 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.
| Return (%) and number of rebalances as of Oct 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~46Y) |
|||||
| No Rebalancing | 28.07 | (0) | 8.64 | (0) | 7.15 | (0) | 6.48 | (0) | 7.95 | (0) |
| Yearly Rebalancing | 21.25 | (1) | 5.50 | (5) | 5.21 | (10) | 5.97 | (30) | 7.67 | (46) |
| Half Yearly Rebalancing | 21.02 | (2) | 5.51 | (10) | 5.23 | (20) | 5.90 | (60) | 7.62 | (92) |
| Quarterly Rebalancing | 20.89 | (4) | 5.58 | (20) | 5.29 | (40) | 5.96 | (120) | 7.66 | (184) |
| 5% Tolerance per asset | 21.01 | (0) | 5.72 | (4) | 5.34 | (6) | 6.04 | (20) | 7.67 | (23) |
| 10% Tolerance per asset | 21.83 | (0) | 5.88 | (1) | 5.45 | (2) | 6.13 | (7) | 7.82 | (9) |
In order to have complete information about the portfolio, please refer to the Developed World 60/40 To EUR Hedged Portfolio: ETF allocation and returns page.
Performances as of Oct 31, 2024
Historical returns and stats of Developed World 60/40 To EUR Hedged Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 7.95 | (0) | 10.49 | 0.76 | -40.91 | 0.19 |
| Yearly Rebalancing | 7.67 | (46) | 9.09 | 0.84 | -34.68 | 0.22 |
| Half Yearly Rebalancing | 7.62 | (92) | 9.10 | 0.84 | -35.16 | 0.22 |
| Quarterly Rebalancing | 7.66 | (184) | 9.15 | 0.84 | -35.82 | 0.21 |
| 5% Tolerance per asset | 7.67 | (23) | 9.19 | 0.83 | -35.47 | 0.22 |
| 10% Tolerance per asset | 7.82 | (9) | 9.49 | 0.82 | -36.12 | 0.22 |
Drawdowns as of Oct 31, 2024
Historical Drawdowns of Developed World 60/40 To EUR Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-40.91
Nov 2007 - Jan 2013
|
-34.68
Nov 2007 - Apr 2011
|
-35.16
Nov 2007 - Feb 2012
|
-35.82
Nov 2007 - Feb 2012
|
-35.47
Nov 2007 - Feb 2012
|
-36.12
Nov 2007 - Apr 2011
|
|
-32.24
Apr 2000 - Aug 2005
|
-25.01
Apr 2000 - Nov 2004
|
-25.92
Apr 2000 - Nov 2004
|
-25.72
Apr 2000 - Nov 2004
|
-25.59
Apr 2000 - Nov 2004
|
-25.97
Apr 2000 - Nov 2004
|
|
-21.36
Jan 2022 - Feb 2024
|
-19.15
Jan 2022 - Jun 2024
|
-19.12
Jan 2022 - Jun 2024
|
-19.11
Jan 2022 - Jun 2024
|
-19.36
Jan 2022 - Jun 2024
|
-19.20
Jan 2022 - Jun 2024
|
|
-17.30
Jan 1990 - May 1991
|
-15.24
Jan 1990 - Apr 1991
|
-15.58
Jan 1990 - Apr 1991
|
-15.43
Jan 1990 - Apr 1991
|
-15.85
Jan 1990 - May 1991
|
-17.10
Jan 1990 - May 1991
|
|
-15.45
Jan 2020 - Aug 2020
|
-13.22
Sep 1987 - Oct 1988
|
-12.19
Sep 1987 - Jul 1988
|
-11.86
Sep 1987 - Jul 1988
|
-12.71
Sep 1987 - Jul 1988
|
-13.93
Sep 1987 - Oct 1988
|
| 5 Worst Drawdowns - Average | |||||
| -25.45 | -21.46 | -21.59 | -21.59 | -21.80 | -22.47 |
| 10 Worst Drawdowns - Average | |||||
| -17.99 | -15.21 | -15.20 | -15.17 | -15.34 | -15.94 |
For a deeper insight, please refer to the Developed World 60/40 To EUR Hedged Portfolio: ETF allocation and returns page.
