Harry Browne Canadian Permanent Portfolio: Rebalancing Strategy

Data Source: from May 1994 to September 2024
Consolidated Returns as of 30 September 2024

Managing the Harry Browne Canadian Permanent Portfolio with a yearly rebalancing, you would have obtained a 6.17% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.18%.

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 Sep 30, 2024

Implementing different rebalancing strategies, the Harry Browne Canadian Permanent Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on May 1994.

Portfolio returns are calculated in CAD, 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)
HARRY BROWNE CANADIAN PERMANENT PORTFOLIO RETURNS
Period: May 1994 - September 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Sep 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~30Y)
No Rebalancing 24.92 (0) 5.58 (0) 5.35 (0) 6.17 (0) 6.12 (0)
Yearly Rebalancing 22.03 (1) 5.68 (5) 5.26 (10) 6.21 (30) 6.17 (30)
Half Yearly Rebalancing 21.77 (2) 5.70 (10) 5.29 (20) 6.18 (60) 6.14 (61)
Quarterly Rebalancing 21.94 (4) 5.78 (20) 5.35 (40) 6.23 (120) 6.19 (121)
5% Tolerance per asset 22.04 (0) 6.05 (5) 5.41 (6) 6.26 (16) 6.21 (16)
10% Tolerance per asset 24.73 (0) 6.14 (0) 5.47 (0) 6.30 (3) 6.25 (3)

In order to have complete information about the portfolio, please refer to the Harry Browne Canadian Permanent Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of Harry Browne Canadian Permanent Portfolio, after implementing different rebalancing strategies.

HARRY BROWNE CANADIAN PERMANENT PORTFOLIO PERFORMANCES
Period: May 1994 - September 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 6.12 (0) 6.63 0.92 -12.50 0.49
Yearly Rebalancing 6.17 (30) 6.12 1.01 -10.09 0.61
Half Yearly Rebalancing 6.14 (61) 6.09 1.01 -9.98 0.62
Quarterly Rebalancing 6.19 (121) 6.10 1.01 -10.44 0.59
5% Tolerance per asset 6.21 (16) 6.15 1.01 -10.40 0.60
10% Tolerance per asset 6.25 (3) 6.36 0.98 -11.55 0.54
(*) Since May 1994 (~30 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Harry Browne Canadian Permanent Portfolio, after implementing different rebalancing strategies.

HARRY BROWNE CANADIAN PERMANENT PORTFOLIO DRAWDOWNS
Period: May 1994 - September 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-12.50
Jul 2008 - Nov 2009
-10.09
Jul 2008 - Jun 2009
-9.98
Jul 2008 - Jun 2009
-10.44
Jul 2008 - Aug 2009
-10.40
Jul 2008 - Aug 2009
-11.55
Jul 2008 - May 2009
-11.86
Jan 2022 - Mar 2024
-8.51
Jan 2022 - Apr 2023
-8.43
Jan 2022 - Apr 2023
-8.57
Jan 2022 - Apr 2023
-8.63
Jan 2022 - Apr 2023
-9.53
Jan 2022 - Apr 2023
-10.99
Sep 2000 - Aug 2003
-8.35
Sep 2000 - Dec 2002
-8.06
Oct 2012 - Feb 2014
-8.13
Oct 2012 - Feb 2014
-8.29
Oct 2012 - Jun 2014
-9.53
Sep 2000 - Jan 2003
-8.91
May 1998 - Oct 1999
-8.09
Oct 2012 - Feb 2014
-7.72
May 1998 - Sep 1999
-7.66
May 1998 - Jan 1999
-8.10
May 1998 - Oct 1999
-9.02
Oct 2012 - Jun 2014
-8.24
Oct 2012 - Feb 2014
-7.95
May 1998 - Sep 1999
-7.71
Sep 2000 - Dec 2002
-7.58
Sep 2000 - May 2002
-8.02
Sep 2000 - May 2002
-7.95
May 1998 - Oct 1999
5 Worst Drawdowns - Average
-10.50 -8.60 -8.38 -8.48 -8.69 -9.52
10 Worst Drawdowns - Average
-7.86 -6.89 -6.69 -6.72 -6.90 -7.46

For a deeper insight, please refer to the Harry Browne Canadian Permanent Portfolio: ETF allocation and returns page.