Craig Israelsen 7Twelve Portfolio To EUR Bond Hedged: Rebalancing Strategy

Data Source: from January 1976 to April 2024
Consolidated Returns as of 30 April 2024

Managing the Craig Israelsen 7Twelve Portfolio To EUR Bond Hedged with a yearly rebalancing, you would have obtained a 6.97% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.87%.

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 Apr 30, 2024

Implementing different rebalancing strategies, the Craig Israelsen 7Twelve Portfolio To EUR Bond Hedged guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1976.

Portfolio returns are calculated in EUR, 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)
  • 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.
CRAIG ISRAELSEN 7TWELVE PORTFOLIO TO EUR BOND HEDGED RETURNS
Period: January 1976 - April 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Apr 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~48Y)
Yearly Rebalancing 10.19 (1) 5.99 (5) 5.82 (10) 6.97 (30) 8.94 (49)
Half Yearly Rebalancing 10.09 (2) 5.91 (10) 5.80 (20) 6.79 (60) 8.79 (97)
Quarterly Rebalancing 10.29 (4) 6.03 (20) 5.88 (40) 6.87 (120) 8.85 (194)
5% Tolerance per asset 10.14 (0) 6.11 (2) 6.05 (4) 6.97 (12) 9.06 (23)
10% Tolerance per asset 10.14 (0) 6.07 (1) 6.18 (2) 7.15 (5) 8.91 (6)

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

Performances as of Apr 30, 2024

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

CRAIG ISRAELSEN 7TWELVE PORTFOLIO TO EUR BOND HEDGED PERFORMANCES
Period: January 1976 - April 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 8.94 (49) 9.46 0.95 -26.32 0.34
Half Yearly Rebalancing 8.79 (97) 9.39 0.94 -25.76 0.34
Quarterly Rebalancing 8.85 (194) 9.37 0.94 -26.55 0.33
5% Tolerance per asset 9.06 (23) 9.55 0.95 -27.83 0.33
10% Tolerance per asset 8.91 (6) 10.22 0.87 -25.38 0.35
(*) Since Jan 1976 (~48 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Apr 30, 2024

Historical Drawdowns of Craig Israelsen 7Twelve Portfolio To EUR Bond Hedged, after implementing different rebalancing strategies.

CRAIG ISRAELSEN 7TWELVE PORTFOLIO TO EUR BOND HEDGED DRAWDOWNS
Period: January 1976 - April 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-26.32
Nov 2007 - Mar 2010
-25.76
Nov 2007 - Mar 2010
-26.55
Nov 2007 - Mar 2010
-27.83
Nov 2007 - Apr 2010
-25.38
Nov 2007 - Mar 2010
-19.65
Aug 1987 - Dec 1988
-19.81
Aug 1987 - Jan 1989
-19.02
Aug 1987 - Dec 1988
-18.91
Aug 1987 - Jan 1989
-21.42
Aug 1987 - Jan 1989
-15.45
Apr 1998 - Apr 1999
-15.77
Apr 1998 - Apr 1999
-15.87
Apr 1998 - Apr 1999
-16.12
Jan 2020 - Dec 2020
-17.90
Sep 2000 - Mar 2004
-14.75
Feb 1994 - Dec 1995
-15.59
Jun 2001 - Feb 2004
-14.65
Feb 1994 - Dec 1995
-16.11
Apr 1998 - Apr 1999
-16.90
Jan 2020 - Dec 2020
-14.54
Jan 2020 - Dec 2020
-14.75
Feb 1994 - Dec 1995
-14.54
Jan 2020 - Nov 2020
-15.23
Apr 2002 - Feb 2004
-16.58
Feb 1994 - Jan 1996
5 Worst Drawdowns - Average
-18.14 -18.34 -18.13 -18.84 -19.64
10 Worst Drawdowns - Average
-13.93 -13.94 -13.80 -14.76 -15.66

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