Robert Shiller Cape US Sector Value Portfolio: Rebalancing Strategy

Data Source: from November 2012 to January 2024
Consolidated Returns as of 31 January 2024

Managing the Robert Shiller Cape US Sector Value Portfolio with a yearly rebalancing, you would have obtained a 14.14% compound annual return in the last 10 Years.

With a quarterly rebalancing, over the same period, the return would have been 14.14%.

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 Jan 31, 2024

Implementing different rebalancing strategies, the Robert Shiller Cape US Sector Value Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on November 2012.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO RETURNS
Period: November 2012 - January 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Jan 31, 2024
Rebalancing Strategy 1Y 5Y 10Y MAX
(~11Y)
Yearly Rebalancing 14.83 (1) 14.62 (5) 14.14 (10) 15.18 (12)
Half Yearly Rebalancing 14.83 (2) 14.62 (10) 14.14 (20) 15.18 (23)
Quarterly Rebalancing 14.83 (4) 14.62 (20) 14.14 (40) 15.18 (45)
5% Tolerance per asset 14.83 (0) 14.62 (0) 14.14 (0) 15.18 (0)
10% Tolerance per asset 14.83 (0) 14.62 (0) 14.14 (0) 15.18 (0)

In order to have complete information about the portfolio, please refer to the Robert Shiller Cape US Sector Value Portfolio: ETF allocation and returns page.

Performances as of Jan 31, 2024

Historical returns and stats of Robert Shiller Cape US Sector Value Portfolio, after implementing different rebalancing strategies.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO PERFORMANCES
Period: November 2012 - January 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 15.18 (12) 15.30 0.99 -21.00 0.72
Half Yearly Rebalancing 15.18 (23) 15.30 0.99 -21.00 0.72
Quarterly Rebalancing 15.18 (45) 15.30 0.99 -21.00 0.72
5% Tolerance per asset 15.18 (0) 15.30 0.99 -21.00 0.72
10% Tolerance per asset 15.18 (0) 15.30 0.99 -21.00 0.72
(*) Since Nov 2012 (~11 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Jan 31, 2024

Historical Drawdowns of Robert Shiller Cape US Sector Value Portfolio, after implementing different rebalancing strategies.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO DRAWDOWNS
Period: November 2012 - January 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-21.00
Feb 2020 - Jul 2020
-21.00
Feb 2020 - Jul 2020
-21.00
Feb 2020 - Jul 2020
-21.00
Feb 2020 - Jul 2020
-21.00
Feb 2020 - Jul 2020
-20.07
Jan 2022 - Jul 2023
-20.07
Jan 2022 - Jul 2023
-20.07
Jan 2022 - Jul 2023
-20.07
Jan 2022 - Jul 2023
-20.07
Jan 2022 - Jul 2023
-15.27
Oct 2018 - Apr 2019
-15.27
Oct 2018 - Apr 2019
-15.27
Oct 2018 - Apr 2019
-15.27
Oct 2018 - Apr 2019
-15.27
Oct 2018 - Apr 2019
-8.74
Aug 2015 - Oct 2015
-8.74
Aug 2015 - Oct 2015
-8.74
Aug 2015 - Oct 2015
-8.74
Aug 2015 - Oct 2015
-8.74
Aug 2015 - Oct 2015
-8.27
Aug 2023 - Dec 2023
-8.27
Aug 2023 - Dec 2023
-8.27
Aug 2023 - Dec 2023
-8.27
Aug 2023 - Dec 2023
-8.27
Aug 2023 - Dec 2023
5 Worst Drawdowns - Average
-14.67 -14.67 -14.67 -14.67 -14.67
10 Worst Drawdowns - Average
-9.86 -9.86 -9.86 -9.86 -9.86

For a deeper insight, please refer to the Robert Shiller Cape US Sector Value Portfolio: ETF allocation and returns page.