Consolidated Returns as of 30 June 2024
Managing the Craig Israelsen 7Twelve Portfolio To EUR with a yearly rebalancing, you would have obtained a 7.28% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 7.21%.
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 Jun 30, 2024
Implementing different rebalancing strategies, the Craig Israelsen 7Twelve Portfolio To EUR guaranteed the following returns.
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)
| Return (%) and number of rebalances as of Jun 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~49Y) |
|||||
| Yearly Rebalancing | 11.62 | (1) | 7.43 | (5) | 6.47 | (10) | 7.28 | (30) | 9.24 | (49) |
| Half Yearly Rebalancing | 11.53 | (2) | 7.40 | (10) | 6.48 | (20) | 7.17 | (60) | 9.11 | (97) |
| Quarterly Rebalancing | 11.79 | (4) | 7.53 | (20) | 6.56 | (40) | 7.21 | (120) | 9.16 | (194) |
| 5% Tolerance per asset | 11.77 | (0) | 7.21 | (2) | 6.47 | (3) | 7.37 | (13) | 9.42 | (23) |
| 10% Tolerance per asset | 11.62 | (0) | 7.39 | (1) | 6.74 | (1) | 7.03 | (2) | 9.22 | (5) |
In order to have complete information about the portfolio, please refer to the Craig Israelsen 7Twelve Portfolio To EUR: ETF allocation and returns page.
Performances as of Jun 30, 2024
Historical returns and stats of Craig Israelsen 7Twelve Portfolio To EUR, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| Yearly Rebalancing | 9.24 | (49) | 11.00 | 0.84 | -27.90 | 0.33 |
| Half Yearly Rebalancing | 9.11 | (97) | 10.97 | 0.83 | -27.86 | 0.33 |
| Quarterly Rebalancing | 9.16 | (194) | 10.98 | 0.83 | -27.62 | 0.33 |
| 5% Tolerance per asset | 9.42 | (23) | 11.13 | 0.85 | -27.23 | 0.35 |
| 10% Tolerance per asset | 9.22 | (5) | 11.64 | 0.79 | -31.41 | 0.29 |
Drawdowns as of Jun 30, 2024
Historical Drawdowns of Craig Israelsen 7Twelve Portfolio To EUR, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
|||
|---|---|---|---|---|
| Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-27.90
Mar 1985 - Jan 1989
|
-27.86
Mar 1985 - Jan 1989
|
-27.62
Mar 1985 - Jan 1989
|
-27.23
Mar 1985 - Jan 1989
|
-31.41
Jun 2007 - Nov 2010
|
|
-23.09
Jun 2007 - Mar 2010
|
-23.36
Jun 2001 - Jun 2005
|
-23.60
Jun 2007 - Mar 2010
|
-23.32
Nov 2007 - Mar 2010
|
-28.43
Mar 1985 - Mar 1989
|
|
-22.32
Jun 2001 - May 2005
|
-21.84
Jun 2007 - Mar 2010
|
-22.71
Jun 2001 - May 2005
|
-23.09
Jun 2001 - Jun 2005
|
-24.84
Jun 2001 - Jun 2005
|
|
-20.11
Feb 1994 - Jan 1996
|
-20.04
Feb 1994 - Jan 1996
|
-19.91
Feb 1994 - Jan 1996
|
-20.30
Feb 1994 - Jan 1996
|
-20.67
Feb 1994 - Jan 1996
|
|
-17.09
Apr 1998 - Apr 1999
|
-17.08
Apr 1998 - Apr 1999
|
-17.22
Apr 1998 - Apr 1999
|
-17.55
Apr 1998 - Apr 1999
|
-17.89
Apr 1998 - Apr 1999
|
| 5 Worst Drawdowns - Average | ||||
| -22.10 | -22.04 | -22.21 | -22.30 | -24.65 |
| 10 Worst Drawdowns - Average | ||||
| -17.00 | -16.95 | -16.96 | -17.13 | -18.72 |
For a deeper insight, please refer to the Craig Israelsen 7Twelve Portfolio To EUR: ETF allocation and returns page.
