Data Source: from March 1987 to July 2022
Consolidated Returns as of 31 July 2022

Managing the Craig Israelsen 7Twelve Portfolio with a yearly rebalancing, you would have obtained a 7.16% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 7.05%.

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 Jul 31, 2022

Implementing different rebalancing strategies, the Craig Israelsen 7Twelve Portfolio guaranteed the following returns.

According to the available data source, let's assume we built the portfolio on March 1987.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
CRAIG ISRAELSEN 7TWELVE PORTFOLIO RETURNS
Period: March 1987 - July 2022
Swipe left to see all data
 
Return (%) and number of rebalances as of Jul 31, 2022
Rebalancing Strategy 1Y 5Y(*) 10Y(*) 30Y(*) (**)Since
Inception
Yearly Rebalancing 0.20 (1) 6.20 (5) 5.11 (10) 7.16 (30) 7.99 (35)
Half Yearly Rebalancing 0.44 (2) 6.48 (10) 5.18 (20) 7.09 (60) 7.85 (71)
Quarterly Rebalancing -0.28 (4) 6.55 (20) 5.10 (40) 7.05 (120) 7.88 (142)
5% Tolerance per asset 0.14 (2) 7.05 (5) 5.64 (8) 7.51 (22) 8.36 (26)
10% Tolerance per asset 0.89 (1) 7.61 (2) 6.61 (3) 7.61 (6) 8.29 (7)
(*) Returns over 1 year are annualized
(**) Since Mar 1987 (~35 yrs) | Annualized Returns

In order to have complete information about the portfolio, please refer to the Craig Israelsen 7Twelve Portfolio: ETF allocation and returns page.

Performances as of Jul 31, 2022

Historical returns and stats of Craig Israelsen 7Twelve Portfolio, after implementing different rebalancing strategies.

CRAIG ISRAELSEN 7TWELVE PORTFOLIO PERFORMANCES
Period: March 1987 - July 2022
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy (*)Return (%) StDev(%) Ret/StDev MaxDD(%) Ret/MaxDD
Yearly Rebalancing 7.99 (35) 9.41 0.85 -37.96 0.21
Half Yearly Rebalancing 7.85 (71) 9.39 0.84 -36.33 0.22
Quarterly Rebalancing 7.88 (142) 9.47 0.83 -38.04 0.21
5% Tolerance per asset 8.36 (26) 9.59 0.87 -37.25 0.22
10% Tolerance per asset 8.29 (7) 9.82 0.84 -36.69 0.23
(*) Since Mar 1987 (~35 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Jul 31, 2022

Historical Drawdowns of Craig Israelsen 7Twelve Portfolio, after implementing different rebalancing strategies.

CRAIG ISRAELSEN 7TWELVE PORTFOLIO DRAWDOWNS
Period: March 1987 - July 2022
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-37.96
Jun 2008 - Feb 2011
-36.33
Jun 2008 - Dec 2010
-38.04
Jun 2008 - Feb 2011
-37.25
Jun 2008 - Dec 2010
-36.69
Jun 2008 - Dec 2010
-17.90
Jan 2020 - Nov 2020
-17.90
Jan 2020 - Nov 2020
-17.90
Jan 2020 - Nov 2020
-17.53
Jan 2020 - Nov 2020
-17.80
Jan 2020 - Nov 2020
-14.54
Jul 2014 - Jul 2017
-14.68
Jul 2014 - Jul 2017
-15.23
Jul 2014 - Sep 2017
-14.61
May 2011 - Dec 2012
-15.70
May 2011 - Dec 2012
-13.54
Apr 1998 - Apr 1999
-13.77
Apr 1998 - Apr 1999
-14.00
Oct 1997 - Apr 1999
-14.49
Jul 2014 - Jul 2017
-13.93
Apr 1998 - Apr 1999
-13.50
May 2011 - Dec 2012
-13.39
Sep 1987 - Oct 1988
-13.27
May 2011 - Sep 2012
-13.58
Apr 1998 - Apr 1999
-12.25
Sep 1987 - Oct 1988
5 Worst Drawdowns - Average
-19.49 -19.21 -19.69 -19.49 -19.27
10 Worst Drawdowns - Average
-14.30 -14.25 -14.47 -14.37 -14.44

For a deeper insight, please refer to the Craig Israelsen 7Twelve Portfolio: ETF allocation and returns page.

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