Consolidated Returns as of 30 June 2024
Managing the Francesco Casarella Conservative Permanent Portfolio with a yearly rebalancing, you would have obtained a 5.33% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 5.26%.
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 Francesco Casarella Conservative Permanent Portfolio 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 (~44Y) |
|||||
| Yearly Rebalancing | 12.58 | (1) | 5.94 | (5) | 5.49 | (10) | 5.33 | (30) | 5.63 | (44) |
| Half Yearly Rebalancing | 12.49 | (2) | 5.90 | (10) | 5.53 | (20) | 5.23 | (60) | 5.57 | (88) |
| Quarterly Rebalancing | 12.36 | (4) | 5.88 | (20) | 5.54 | (40) | 5.26 | (120) | 5.59 | (176) |
| 5% Tolerance per asset | 13.19 | (1) | 6.22 | (4) | 5.69 | (6) | 5.39 | (16) | 5.67 | (21) |
| 10% Tolerance per asset | 13.73 | (0) | 6.51 | (1) | 5.92 | (2) | 5.70 | (7) | 5.97 | (9) |
In order to have complete information about the portfolio, please refer to the Francesco Casarella Conservative Permanent Portfolio: ETF allocation and returns page.
Performances as of Jun 30, 2024
Historical returns and stats of Francesco Casarella Conservative Permanent Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| Yearly Rebalancing | 5.63 | (44) | 6.56 | 0.86 | -13.66 | 0.41 |
| Half Yearly Rebalancing | 5.57 | (88) | 6.54 | 0.85 | -14.30 | 0.39 |
| Quarterly Rebalancing | 5.59 | (176) | 6.54 | 0.85 | -13.76 | 0.41 |
| 5% Tolerance per asset | 5.67 | (21) | 6.57 | 0.86 | -14.09 | 0.40 |
| 10% Tolerance per asset | 5.97 | (9) | 6.55 | 0.91 | -13.57 | 0.44 |
Drawdowns as of Jun 30, 2024
Historical Drawdowns of Francesco Casarella Conservative Permanent Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
|||
|---|---|---|---|---|
| Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-13.66
Feb 1994 - Apr 1996
|
-14.30
Sep 2000 - Jun 2005
|
-13.76
Feb 1994 - Apr 1996
|
-14.09
Feb 1994 - Apr 1996
|
-13.57
Feb 1994 - Apr 1996
|
|
-13.60
Sep 2000 - Jun 2005
|
-13.71
Feb 1994 - Apr 1996
|
-13.70
Sep 2000 - Jun 2005
|
-13.22
Sep 2000 - Jun 2005
|
-12.00
Sep 2000 - Jun 2005
|
|
-10.33
Oct 1987 - Jan 1989
|
-9.89
Oct 1987 - Jul 1988
|
-9.59
Oct 1987 - Jul 1988
|
-10.55
Oct 1987 - Jan 1989
|
-11.46
Oct 1987 - Jan 1989
|
|
-9.23
Sep 1989 - Apr 1991
|
-9.10
Sep 1989 - Apr 1991
|
-8.89
Sep 1989 - Apr 1991
|
-9.03
Sep 1989 - Apr 1991
|
-9.15
Sep 1989 - Apr 1991
|
|
-8.20
Jul 1991 - Feb 1993
|
-8.08
Jul 1991 - Feb 1993
|
-8.37
Mar 2008 - Sep 2009
|
-8.24
Oct 2012 - Nov 2014
|
-7.79
Mar 2008 - Sep 2009
|
| 5 Worst Drawdowns - Average | ||||
| -11.01 | -11.02 | -10.86 | -11.02 | -10.80 |
| 10 Worst Drawdowns - Average | ||||
| -8.96 | -9.04 | -8.99 | -9.07 | -8.81 |
For a deeper insight, please refer to the Francesco Casarella Conservative Permanent Portfolio: ETF allocation and returns page.
