Mebane Faber Ivy Portfolio To EUR Bond Hedged: Rebalancing Strategy

Data Source: from January 1970 to May 2024
Consolidated Returns as of 31 May 2024

Managing the Mebane Faber Ivy 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 6.82%.

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 May 31, 2024

Implementing different rebalancing strategies, the Mebane Faber Ivy Portfolio To EUR Bond Hedged guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1970.

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.
MEBANE FABER IVY PORTFOLIO TO EUR BOND HEDGED RETURNS
Period: January 1970 - May 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of May 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~54Y)
Yearly Rebalancing 12.12 (1) 8.03 (5) 6.85 (10) 6.97 (30) 9.07 (55)
Half Yearly Rebalancing 12.03 (2) 7.88 (10) 6.77 (20) 6.81 (60) 8.96 (109)
Quarterly Rebalancing 12.29 (4) 7.84 (20) 6.77 (40) 6.82 (120) 8.98 (218)
5% Tolerance per asset 12.24 (1) 7.82 (3) 6.83 (6) 6.74 (17) 8.94 (35)
10% Tolerance per asset 13.58 (1) 8.50 (2) 7.37 (3) 6.91 (7) 9.25 (14)

In order to have complete information about the portfolio, please refer to the Mebane Faber Ivy Portfolio To EUR Bond Hedged: ETF allocation and returns page.

Performances as of May 31, 2024

Historical returns and stats of Mebane Faber Ivy Portfolio To EUR Bond Hedged, after implementing different rebalancing strategies.

MEBANE FABER IVY PORTFOLIO TO EUR BOND HEDGED PERFORMANCES
Period: January 1970 - May 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 9.07 (55) 11.12 0.82 -38.01 0.24
Half Yearly Rebalancing 8.96 (109) 11.06 0.81 -37.41 0.24
Quarterly Rebalancing 8.98 (218) 11.06 0.81 -37.88 0.24
5% Tolerance per asset 8.94 (35) 11.09 0.81 -39.17 0.23
10% Tolerance per asset 9.25 (14) 11.28 0.82 -41.82 0.22
(*) Since Jan 1970 (~54 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of May 31, 2024

Historical Drawdowns of Mebane Faber Ivy Portfolio To EUR Bond Hedged, after implementing different rebalancing strategies.

MEBANE FABER IVY PORTFOLIO TO EUR BOND HEDGED DRAWDOWNS
Period: January 1970 - May 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-38.01
Jun 2007 - Dec 2010
-37.41
Jun 2007 - Dec 2010
-37.88
Jun 2007 - Dec 2010
-39.17
Jun 2007 - Feb 2011
-41.82
Jun 2007 - Feb 2012
-22.05
Nov 2000 - Mar 2005
-23.70
Nov 2000 - May 2005
-23.69
Nov 2000 - May 2005
-22.77
Nov 2000 - May 2005
-22.61
Nov 2000 - May 2005
-21.20
Aug 1987 - Dec 1988
-20.32
Aug 1987 - Jul 1988
-19.78
Aug 1987 - Jul 1988
-19.61
Aug 1987 - Jul 1988
-20.72
Aug 1987 - Dec 1988
-17.62
Jan 2020 - Feb 2021
-17.62
Jan 2020 - Feb 2021
-17.62
Jan 2020 - Jan 2021
-18.24
Jan 2020 - Feb 2021
-18.23
Jan 2020 - Jan 2021
-16.60
Sep 1989 - Mar 1991
-17.15
Feb 1974 - Jun 1975
-16.87
Feb 1974 - Jun 1975
-17.39
Feb 1974 - Jun 1975
-16.15
Apr 1998 - Apr 1999
5 Worst Drawdowns - Average
-23.10 -23.24 -23.17 -23.44 -23.91
10 Worst Drawdowns - Average
-18.59 -18.73 -18.62 -18.83 -18.78

For a deeper insight, please refer to the Mebane Faber Ivy Portfolio To EUR Bond Hedged: ETF allocation and returns page.