Stocks/Bonds 60/40 To EUR Bond Hedged Portfolio: Rebalancing Strategy

Data Source: from January 1975 to April 2024
Consolidated Returns as of 30 April 2024

Managing the Stocks/Bonds 60/40 To EUR Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 8.39% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 8.33%.

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 Apr 30, 2024

Implementing different rebalancing strategies, the Stocks/Bonds 60/40 To EUR Bond Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1975.

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.
STOCKS/BONDS 60/40 TO EUR BOND HEDGED PORTFOLIO RETURNS
Period: January 1975 - April 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Apr 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~49Y)
Yearly Rebalancing 15.50 (1) 8.12 (5) 9.07 (10) 8.39 (30) 10.17 (50)
Half Yearly Rebalancing 15.36 (2) 7.95 (10) 9.00 (20) 8.20 (60) 10.14 (99)
Quarterly Rebalancing 15.26 (4) 8.01 (20) 9.07 (40) 8.33 (120) 10.18 (198)
5% Tolerance per asset 15.71 (1) 8.04 (3) 9.10 (6) 8.29 (20) 10.20 (38)
10% Tolerance per asset 17.21 (0) 8.59 (1) 9.52 (3) 8.50 (7) 10.23 (10)

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

Performances as of Apr 30, 2024

Historical returns and stats of Stocks/Bonds 60/40 To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.

STOCKS/BONDS 60/40 TO EUR BOND HEDGED PORTFOLIO PERFORMANCES
Period: January 1975 - April 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 10.17 (50) 10.87 0.94 -27.44 0.37
Half Yearly Rebalancing 10.14 (99) 10.75 0.94 -28.36 0.36
Quarterly Rebalancing 10.18 (198) 10.72 0.95 -27.30 0.37
5% Tolerance per asset 10.20 (38) 10.79 0.95 -28.74 0.35
10% Tolerance per asset 10.23 (10) 10.91 0.94 -28.94 0.35
(*) Since Jan 1975 (~49 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Apr 30, 2024

Historical Drawdowns of Stocks/Bonds 60/40 To EUR Bond Hedged Portfolio, after implementing different rebalancing strategies.

STOCKS/BONDS 60/40 TO EUR BOND HEDGED PORTFOLIO DRAWDOWNS
Period: January 1975 - April 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-27.44
Sep 2000 - Jan 2007
-28.36
Sep 2000 - May 2007
-27.30
Jun 2007 - Apr 2010
-28.74
Sep 2000 - May 2007
-28.94
Jun 2007 - Nov 2010
-26.27
Jun 2007 - Apr 2010
-27.25
Jun 2007 - Apr 2010
-27.20
Sep 2000 - Jan 2007
-27.35
Jun 2007 - Apr 2010
-26.75
Sep 2000 - Oct 2006
-23.49
Sep 1987 - Jan 1989
-21.92
Sep 1987 - Jan 1989
-20.96
Sep 1987 - Jan 1989
-21.96
Sep 1987 - Jan 1989
-21.93
Sep 1987 - Jan 1989
-18.61
Sep 1989 - Mar 1991
-18.28
Sep 1989 - Mar 1991
-18.48
Sep 1989 - Mar 1991
-18.73
Sep 1989 - Mar 1991
-18.27
Sep 1989 - Mar 1991
-14.62
Jan 2022 - Jan 2024
-14.57
Jan 2022 - Jan 2024
-14.41
Jan 2022 - Jan 2024
-14.62
Jan 2022 - Jan 2024
-14.63
Jan 2022 - Jan 2024
5 Worst Drawdowns - Average
-22.09 -22.08 -21.67 -22.28 -22.10
10 Worst Drawdowns - Average
-16.45 -16.33 -16.13 -16.46 -16.53

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