Consolidated Returns as of 30 June 2024
Managing the Stocks/Bonds 60/40 To EUR Hedged Portfolio with a yearly rebalancing, you would have obtained a 7.80% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 7.77%.
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 Stocks/Bonds 60/40 To EUR Hedged 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 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.
| Return (%) and number of rebalances as of Jun 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~75Y) |
|||||
| Yearly Rebalancing | 13.95 | (1) | 6.93 | (5) | 6.41 | (10) | 7.80 | (30) | 8.93 | (75) |
| Half Yearly Rebalancing | 13.79 | (2) | 6.92 | (10) | 6.41 | (20) | 7.68 | (60) | 8.87 | (149) |
| Quarterly Rebalancing | 13.64 | (4) | 6.95 | (20) | 6.45 | (40) | 7.77 | (120) | 8.87 | (298) |
| 5% Tolerance per asset | 14.05 | (0) | 6.88 | (2) | 6.44 | (4) | 7.81 | (20) | 8.93 | (42) |
| 10% Tolerance per asset | 14.77 | (1) | 7.30 | (2) | 6.67 | (3) | 8.00 | (8) | 8.96 | (13) |
In order to have complete information about the portfolio, please refer to the Stocks/Bonds 60/40 To EUR Hedged Portfolio: ETF allocation and returns page.
Performances as of Jun 30, 2024
Historical returns and stats of Stocks/Bonds 60/40 To EUR Hedged Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| Yearly Rebalancing | 8.93 | (75) | 9.50 | 0.94 | -29.28 | 0.30 |
| Half Yearly Rebalancing | 8.87 | (149) | 9.47 | 0.94 | -30.05 | 0.30 |
| Quarterly Rebalancing | 8.87 | (298) | 9.49 | 0.94 | -30.58 | 0.29 |
| 5% Tolerance per asset | 8.93 | (42) | 9.56 | 0.93 | -30.68 | 0.29 |
| 10% Tolerance per asset | 8.96 | (13) | 9.81 | 0.91 | -31.38 | 0.29 |
Drawdowns as of Jun 30, 2024
Historical Drawdowns of Stocks/Bonds 60/40 To EUR Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
|||
|---|---|---|---|---|
| Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-29.28
Nov 2007 - Apr 2010
|
-30.05
Nov 2007 - Apr 2010
|
-30.58
Nov 2007 - Sep 2010
|
-30.68
Nov 2007 - Oct 2010
|
-31.38
Nov 2007 - Apr 2010
|
|
-28.84
Jan 1973 - Jan 1976
|
-29.64
Jan 1973 - Jan 1976
|
-29.65
Jan 1973 - Jan 1976
|
-29.62
Jan 1973 - Jan 1976
|
-31.05
Jan 1973 - Mar 1976
|
|
-21.38
Jan 2022 - Jun 2024
|
-22.20
Sep 2000 - Jan 2004
|
-21.57
Sep 2000 - Dec 2003
|
-21.86
Sep 2000 - Dec 2003
|
-22.44
Dec 1968 - Jan 1971
|
|
-21.19
Sep 2000 - Dec 2003
|
-21.33
Jan 2022 - Jun 2024
|
-21.29
Jan 2022 - Jun 2024
|
-21.28
Jan 2022 - Jun 2024
|
-22.06
Jan 2022 - Jun 2024
|
|
-20.61
Dec 1968 - Jan 1971
|
-20.64
Dec 1968 - Jan 1971
|
-20.94
Dec 1968 - Jan 1971
|
-20.95
Dec 1968 - Jan 1971
|
-21.25
Sep 2000 - Jan 2004
|
| 5 Worst Drawdowns - Average | ||||
| -24.26 | -24.77 | -24.81 | -24.88 | -25.64 |
| 10 Worst Drawdowns - Average | ||||
| -18.96 | -19.05 | -19.00 | -19.20 | -20.06 |
For a deeper insight, please refer to the Stocks/Bonds 60/40 To EUR Hedged Portfolio: ETF allocation and returns page.
