Stocks/Bonds 60/40 Momentum Portfolio: Rebalancing Strategy

Data Source: from January 1982 to February 2024
Consolidated Returns as of 29 February 2024

Managing the Stocks/Bonds 60/40 Momentum Portfolio with a yearly rebalancing, you would have obtained a 9.77% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 9.63%.

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 Feb 29, 2024

Implementing different rebalancing strategies, the Stocks/Bonds 60/40 Momentum Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1982.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO RETURNS
Period: January 1982 - February 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Feb 29, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~42Y)
Yearly Rebalancing 20.57 (1) 7.54 (5) 8.28 (10) 9.77 (30) 11.21 (43)
Half Yearly Rebalancing 20.61 (2) 7.62 (10) 8.29 (20) 9.60 (60) 11.12 (85)
Quarterly Rebalancing 20.71 (4) 7.70 (20) 8.35 (40) 9.63 (120) 11.15 (169)
5% Tolerance per asset 21.32 (0) 7.62 (1) 8.37 (4) 9.77 (21) 11.20 (23)
10% Tolerance per asset 22.42 (0) 7.74 (0) 8.67 (2) 10.01 (8) 11.40 (9)

In order to have complete information about the portfolio, please refer to the Stocks/Bonds 60/40 Momentum Portfolio: ETF allocation and returns page.

Performances as of Feb 29, 2024

Historical returns and stats of Stocks/Bonds 60/40 Momentum Portfolio, after implementing different rebalancing strategies.

STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO PERFORMANCES
Period: January 1982 - February 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 11.21 (43) 9.90 1.13 -32.52 0.34
Half Yearly Rebalancing 11.12 (85) 9.83 1.13 -33.54 0.33
Quarterly Rebalancing 11.15 (169) 9.84 1.13 -34.18 0.33
5% Tolerance per asset 11.20 (23) 9.99 1.12 -33.84 0.33
10% Tolerance per asset 11.40 (9) 10.31 1.11 -34.33 0.33
(*) Since Jan 1982 (~42 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Feb 29, 2024

Historical Drawdowns of Stocks/Bonds 60/40 Momentum Portfolio, after implementing different rebalancing strategies.

STOCKS/BONDS 60/40 MOMENTUM PORTFOLIO DRAWDOWNS
Period: January 1982 - February 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-32.52
Nov 2007 - Feb 2011
-33.54
Nov 2007 - Feb 2011
-34.18
Nov 2007 - Feb 2011
-33.84
Nov 2007 - Feb 2011
-34.33
Nov 2007 - Feb 2011
-24.21
Nov 2021 - In progress
-24.09
Nov 2021 - In progress
-24.12
Nov 2021 - In progress
-24.63
Nov 2021 - In progress
-25.18
Nov 2021 - In progress
-21.14
Sep 2000 - Jan 2004
-22.05
Sep 2000 - Feb 2004
-21.63
Sep 2000 - Feb 2004
-21.64
Sep 2000 - Jan 2004
-22.30
Sep 2000 - Feb 2004
-20.08
Sep 1987 - May 1989
-18.30
Sep 1987 - Apr 1989
-17.60
Sep 1987 - Apr 1989
-19.05
Sep 1987 - Apr 1989
-20.75
Sep 1987 - May 1989
-10.73
Feb 2020 - Jun 2020
-10.73
Feb 2020 - Jun 2020
-10.73
Feb 2020 - May 2020
-10.94
Feb 2020 - Jun 2020
-10.61
Feb 2020 - Jun 2020
5 Worst Drawdowns - Average
-21.74 -21.74 -21.65 -22.02 -22.63
10 Worst Drawdowns - Average
-14.71 -14.60 -14.52 -14.81 -15.38

For a deeper insight, please refer to the Stocks/Bonds 60/40 Momentum Portfolio: ETF allocation and returns page.