US Stocks/Bonds 20/80 To CAD Hedged Portfolio: Rebalancing Strategy

Data Source: from January 1960 to September 2024
Consolidated Returns as of 30 September 2024

Managing the US Stocks/Bonds 20/80 To CAD Hedged Portfolio with a yearly rebalancing, you would have obtained a 7.57% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 5.53%.

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 Sep 30, 2024

Implementing different rebalancing strategies, the US Stocks/Bonds 20/80 To CAD Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1960.

Portfolio returns are calculated in CAD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • 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.
US STOCKS/BONDS 20/80 TO CAD HEDGED PORTFOLIO RETURNS
Period: January 1960 - September 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Sep 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~65Y)
No Rebalancing 26.96 (0) 9.05 (0) 7.77 (0) 7.57 (0) 8.98 (0)
Yearly Rebalancing 14.81 (1) 2.32 (5) 3.21 (10) 5.61 (30) 8.03 (65)
Half Yearly Rebalancing 14.68 (2) 2.30 (10) 3.21 (20) 5.53 (60) 8.02 (130)
Quarterly Rebalancing 14.62 (4) 2.38 (20) 3.27 (40) 5.60 (120) 8.04 (259)
5% Tolerance per asset 15.14 (0) 2.34 (1) 3.31 (3) 5.65 (10) 8.08 (19)
10% Tolerance per asset 16.11 (0) 2.81 (1) 3.57 (1) 5.94 (5) 8.15 (6)

In order to have complete information about the portfolio, please refer to the US Stocks/Bonds 20/80 To CAD Hedged Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of US Stocks/Bonds 20/80 To CAD Hedged Portfolio, after implementing different rebalancing strategies.

US STOCKS/BONDS 20/80 TO CAD HEDGED PORTFOLIO PERFORMANCES
Period: January 1960 - September 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 8.98 (0) 8.06 1.11 -23.48 0.38
Yearly Rebalancing 8.03 (65) 6.00 1.34 -17.12 0.47
Half Yearly Rebalancing 8.02 (130) 5.99 1.34 -17.23 0.47
Quarterly Rebalancing 8.04 (259) 6.00 1.34 -17.22 0.47
5% Tolerance per asset 8.08 (19) 6.00 1.35 -17.33 0.47
10% Tolerance per asset 8.15 (6) 6.08 1.34 -17.66 0.46
(*) Since Jan 1960 (~65 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of US Stocks/Bonds 20/80 To CAD Hedged Portfolio, after implementing different rebalancing strategies.

US STOCKS/BONDS 20/80 TO CAD HEDGED PORTFOLIO DRAWDOWNS
Period: January 1960 - September 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-23.48
Nov 2007 - Sep 2010
-17.12
Sep 2021 - In progress
-17.23
Sep 2021 - In progress
-17.22
Sep 2021 - In progress
-17.33
Sep 2021 - In progress
-17.66
Jan 2022 - In progress
-22.87
Jan 2022 - Feb 2024
-8.56
Sep 1968 - Nov 1970
-8.97
Nov 1973 - Jan 1975
-8.87
Nov 1973 - Jan 1975
-8.39
Jan 1973 - Jan 1975
-8.08
Dec 1968 - Nov 1970
-16.65
Sep 2000 - Dec 2003
-8.44
Nov 1973 - Jan 1975
-8.59
Sep 1968 - Nov 1970
-8.76
May 2008 - Jul 2009
-8.08
Dec 1968 - Oct 1970
-7.75
Oct 1979 - Apr 1980
-14.06
Feb 2020 - Jul 2020
-8.07
May 2008 - Jul 2009
-8.47
May 2008 - Jul 2009
-8.74
Sep 1968 - Nov 1970
-7.89
May 2008 - Jul 2009
-7.59
Nov 1973 - Jan 1975
-12.02
Jan 1973 - May 1975
-7.64
Oct 1979 - Apr 1980
-7.66
Oct 1979 - Apr 1980
-7.69
Oct 1979 - Apr 1980
-7.69
Oct 1979 - Apr 1980
-7.02
May 2008 - Dec 2008
5 Worst Drawdowns - Average
-17.82 -9.97 -10.18 -10.26 -9.88 -9.62
10 Worst Drawdowns - Average
-13.57 -7.69 -7.70 -7.76 -7.61 -7.79

For a deeper insight, please refer to the US Stocks/Bonds 20/80 To CAD Hedged Portfolio: ETF allocation and returns page.