Developed World 80/20 To EUR Hedged Portfolio: Rebalancing Strategy

Data Source: from January 1979 to October 2024
Consolidated Returns as of 31 October 2024

Managing the Developed World 80/20 To EUR Hedged Portfolio with a yearly rebalancing, you would have obtained a 6.96% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.67%.

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 Developed World 80/20 To EUR Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1979.

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.
DEVELOPED WORLD 80/20 TO EUR HEDGED PORTFOLIO RETURNS
Period: January 1979 - October 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Oct 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~46Y)
No Rebalancing 30.03 (0) 9.85 (0) 8.02 (0) 6.96 (0) 8.46 (0)
Yearly Rebalancing 26.31 (1) 8.12 (5) 6.95 (10) 6.72 (30) 8.34 (46)
Half Yearly Rebalancing 26.15 (2) 8.13 (10) 6.97 (20) 6.67 (60) 8.31 (92)
Quarterly Rebalancing 26.06 (4) 8.19 (20) 7.02 (40) 6.70 (120) 8.33 (184)
5% Tolerance per asset 26.94 (1) 8.33 (2) 7.08 (3) 6.71 (8) 8.36 (12)
10% Tolerance per asset 27.76 (0) 8.46 (0) 7.32 (1) 6.90 (3) 8.42 (3)

In order to have complete information about the portfolio, please refer to the Developed World 80/20 To EUR Hedged Portfolio: ETF allocation and returns page.

Performances as of Oct 31, 2024

Historical returns and stats of Developed World 80/20 To EUR Hedged Portfolio, after implementing different rebalancing strategies.

DEVELOPED WORLD 80/20 TO EUR HEDGED PORTFOLIO PERFORMANCES
Period: January 1979 - October 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 8.46 (0) 12.62 0.67 -47.79 0.18
Yearly Rebalancing 8.34 (46) 11.76 0.71 -44.30 0.19
Half Yearly Rebalancing 8.31 (92) 11.77 0.71 -44.61 0.19
Quarterly Rebalancing 8.33 (184) 11.81 0.71 -45.02 0.19
5% Tolerance per asset 8.36 (12) 11.95 0.70 -45.25 0.18
10% Tolerance per asset 8.42 (3) 12.10 0.70 -46.34 0.18
(*) Since Jan 1979 (~46 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of Developed World 80/20 To EUR Hedged Portfolio, after implementing different rebalancing strategies.

DEVELOPED WORLD 80/20 TO EUR HEDGED PORTFOLIO DRAWDOWNS
Period: January 1979 - October 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-47.79
Nov 2007 - Feb 2013
-44.30
Nov 2007 - Jan 2013
-44.61
Nov 2007 - Jan 2013
-45.02
Nov 2007 - Jan 2013
-45.25
Nov 2007 - Jan 2013
-46.34
Nov 2007 - Feb 2013
-40.60
Apr 2000 - Jan 2006
-36.67
Apr 2000 - Aug 2005
-37.21
Apr 2000 - Sep 2005
-37.10
Apr 2000 - Sep 2005
-37.47
Apr 2000 - Sep 2005
-35.79
Apr 2000 - Jul 2005
-22.05
Jan 2022 - Feb 2024
-20.84
Jan 2022 - Feb 2024
-20.82
Jan 2022 - Feb 2024
-20.81
Jan 2022 - Feb 2024
-20.99
Jan 2022 - Feb 2024
-21.25
Jan 2022 - Feb 2024
-21.18
Jan 1990 - Oct 1991
-19.90
Jan 1990 - Oct 1991
-20.13
Jan 1990 - Oct 1991
-20.03
Jan 1990 - Sep 1991
-20.73
Jan 1990 - Oct 1991
-21.18
Jan 1990 - Oct 1991
-17.83
Jan 2020 - Aug 2020
-17.29
Sep 1987 - Nov 1988
-17.61
Dec 1980 - Dec 1982
-17.87
Dec 1980 - Dec 1982
-17.78
Dec 1980 - Dec 1982
-17.81
Sep 1987 - Nov 1988
5 Worst Drawdowns - Average
-29.89 -27.80 -28.08 -28.17 -28.44 -28.48
10 Worst Drawdowns - Average
-21.93 -20.32 -20.37 -20.38 -20.65 -20.76

For a deeper insight, please refer to the Developed World 80/20 To EUR Hedged Portfolio: ETF allocation and returns page.