Managing the Roger Gibson Five Asset Portfolio with a yearly rebalancing, you would have obtained a 7.78% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 7.65%.
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 Jul 31, 2022
Implementing different rebalancing strategies, the Roger Gibson Five Asset 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 Jul 31, 2022
|
||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y(*) | 10Y(*) | 30Y(*) |
(**)Since Inception |
|||||
| Yearly Rebalancing | -0.06 | (1) | 7.75 | (5) | 6.41 | (10) | 7.78 | (30) | 8.76 | (37) |
| Half Yearly Rebalancing | 0.32 | (2) | 7.90 | (10) | 6.44 | (20) | 7.72 | (60) | 8.69 | (74) |
| Quarterly Rebalancing | -0.48 | (4) | 7.79 | (20) | 6.28 | (40) | 7.65 | (120) | 8.71 | (147) |
| 5% Tolerance per asset | -0.58 | (1) | 7.57 | (2) | 6.31 | (5) | 7.79 | (20) | 8.79 | (24) |
| 10% Tolerance per asset | 1.67 | (1) | 8.63 | (2) | 7.03 | (3) | 7.54 | (5) | 8.71 | (7) |
In order to have complete information about the portfolio, please refer to the Roger Gibson Five Asset Portfolio: ETF allocation and returns page.
Performances as of Jul 31, 2022
Historical returns and stats of Roger Gibson Five Asset Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | (*)Return (%) | StDev(%) | Ret/StDev | MaxDD(%) | Ret/MaxDD | |
| Yearly Rebalancing | 8.76 | (37) | 10.58 | 0.83 | -44.75 | 0.20 |
| Half Yearly Rebalancing | 8.69 | (74) | 10.55 | 0.82 | -43.46 | 0.20 |
| Quarterly Rebalancing | 8.71 | (147) | 10.59 | 0.82 | -44.10 | 0.20 |
| 5% Tolerance per asset | 8.79 | (24) | 10.65 | 0.83 | -43.92 | 0.20 |
| 10% Tolerance per asset | 8.71 | (7) | 10.39 | 0.84 | -43.68 | 0.20 |
Drawdowns as of Jul 31, 2022
Historical Drawdowns of Roger Gibson Five Asset Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
|||
|---|---|---|---|---|
| Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-44.75
Jun 2008 - Feb 2011
|
-43.46
Jun 2008 - Jan 2011
|
-44.10
Jun 2008 - Feb 2011
|
-43.92
Jun 2008 - Feb 2011
|
-43.68
Jun 2008 - Apr 2011
|
|
-19.30
Jan 2020 - Nov 2020
|
-19.30
Jan 2020 - Nov 2020
|
-19.30
Jan 2020 - Nov 2020
|
-19.42
Jan 2020 - Nov 2020
|
-19.37
Jan 2020 - Nov 2020
|
|
-15.14
May 2011 - Aug 2012
|
-15.04
May 2011 - Aug 2012
|
-14.96
May 2011 - Aug 2012
|
-15.39
May 2011 - Aug 2012
|
-14.55
May 2011 - Aug 2012
|
|
-13.25
Apr 1998 - Apr 1999
|
-13.25
Sep 2014 - Jan 2017
|
-13.78
Sep 2014 - Feb 2017
|
-13.35
Apr 1998 - Apr 1999
|
-13.58
Sep 2000 - Jul 2003
|
|
-13.03
Sep 2014 - Jan 2017
|
-13.23
Apr 1998 - Apr 1999
|
-13.51
Oct 1997 - Apr 1999
|
-12.96
Sep 2014 - Jan 2017
|
-13.22
Apr 1998 - Apr 1999
|
| 5 Worst Drawdowns - Average | ||||
| -21.09 | -20.85 | -21.13 | -21.01 | -20.88 |
| 10 Worst Drawdowns - Average | ||||
| -15.42 | -15.35 | -15.55 | -15.48 | -15.31 |
For a deeper insight, please refer to the Roger Gibson Five Asset Portfolio: ETF allocation and returns page.