US Stocks Momentum Portfolio: Rebalancing Strategy

Data Source: from January 1982 to October 2024
Consolidated Returns as of 31 October 2024

Managing the US Stocks Momentum Portfolio with a yearly rebalancing, you would have obtained a 13.00% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 13.00%.

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 Oct 31, 2024

Implementing different rebalancing strategies, the US Stocks 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
US STOCKS MOMENTUM PORTFOLIO RETURNS
Period: January 1982 - October 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Oct 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~43Y)
No Rebalancing 48.22 (0) 12.31 (0) 13.17 (0) 13.00 (0) 13.79 (0)
Yearly Rebalancing 48.22 (1) 12.31 (5) 13.17 (10) 13.00 (30) 13.79 (43)
Half Yearly Rebalancing 48.22 (2) 12.31 (10) 13.17 (20) 13.00 (60) 13.79 (86)
Quarterly Rebalancing 48.22 (4) 12.31 (20) 13.17 (40) 13.00 (120) 13.79 (172)
5% Tolerance per asset 48.22 (0) 12.31 (0) 13.17 (0) 13.00 (0) 13.79 (0)
10% Tolerance per asset 48.22 (0) 12.31 (0) 13.17 (0) 13.00 (0) 13.79 (0)

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

Performances as of Oct 31, 2024

Historical returns and stats of US Stocks Momentum Portfolio, after implementing different rebalancing strategies.

US STOCKS MOMENTUM PORTFOLIO PERFORMANCES
Period: January 1982 - October 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 13.79 (0) 15.34 0.90 -53.85 0.26
Yearly Rebalancing 13.79 (43) 15.34 0.90 -53.85 0.26
Half Yearly Rebalancing 13.79 (86) 15.34 0.90 -53.85 0.26
Quarterly Rebalancing 13.79 (172) 15.34 0.90 -53.85 0.26
5% Tolerance per asset 13.79 (0) 15.34 0.90 -53.85 0.26
10% Tolerance per asset 13.79 (0) 15.34 0.90 -53.85 0.26
(*) Since Jan 1982 (~43 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of US Stocks Momentum Portfolio, after implementing different rebalancing strategies.

US STOCKS MOMENTUM PORTFOLIO DRAWDOWNS
Period: January 1982 - October 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-53.85
Nov 2007 - Jan 2013
-53.85
Nov 2007 - Jan 2013
-53.85
Nov 2007 - Jan 2013
-53.85
Nov 2007 - Jan 2013
-53.85
Nov 2007 - Jan 2013
-53.85
Nov 2007 - Jan 2013
-43.19
Sep 2000 - Jul 2005
-43.19
Sep 2000 - Jul 2005
-43.19
Sep 2000 - Jul 2005
-43.19
Sep 2000 - Jul 2005
-43.19
Sep 2000 - Jul 2005
-43.19
Sep 2000 - Jul 2005
-30.55
Sep 1987 - Jul 1989
-30.55
Sep 1987 - Jul 1989
-30.55
Sep 1987 - Jul 1989
-30.55
Sep 1987 - Jul 1989
-30.55
Sep 1987 - Jul 1989
-30.55
Sep 1987 - Jul 1989
-30.16
Nov 2021 - Mar 2024
-30.16
Nov 2021 - Mar 2024
-30.16
Nov 2021 - Mar 2024
-30.16
Nov 2021 - Mar 2024
-30.16
Nov 2021 - Mar 2024
-30.16
Nov 2021 - Mar 2024
-17.90
Feb 2020 - Jun 2020
-17.90
Feb 2020 - Jun 2020
-17.90
Feb 2020 - Jun 2020
-17.90
Feb 2020 - Jun 2020
-17.90
Feb 2020 - Jun 2020
-17.90
Feb 2020 - Jun 2020
5 Worst Drawdowns - Average
-35.13 -35.13 -35.13 -35.13 -35.13 -35.13
10 Worst Drawdowns - Average
-23.50 -23.50 -23.50 -23.50 -23.50 -23.50

For a deeper insight, please refer to the US Stocks Momentum Portfolio: ETF allocation and returns page.