Developed World ex-US 40/60 Momentum Portfolio: Rebalancing Strategy

Data Source: from August 2009 to May 2024
Consolidated Returns as of 31 May 2024

Managing the Developed World ex-US 40/60 Momentum Portfolio with a yearly rebalancing, you would have obtained a 3.60% compound annual return in the last 10 Years.

With a quarterly rebalancing, over the same period, the return would have been 3.65%.

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 May 31, 2024

Implementing different rebalancing strategies, the Developed World ex-US 40/60 Momentum Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on August 2009.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO RETURNS
Period: August 2009 - May 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of May 31, 2024
Rebalancing Strategy 1Y 5Y 10Y MAX
(~15Y)
Yearly Rebalancing 12.68 (1) 3.89 (5) 3.60 (10) 5.16 (15)
Half Yearly Rebalancing 12.69 (2) 3.91 (10) 3.59 (20) 5.23 (29)
Quarterly Rebalancing 12.63 (4) 4.03 (20) 3.65 (40) 5.26 (59)
5% Tolerance per asset 12.99 (1) 3.94 (2) 3.48 (2) 4.99 (2)
10% Tolerance per asset 14.12 (1) 4.19 (1) 3.60 (1) 5.07 (1)

In order to have complete information about the portfolio, please refer to the Developed World ex-US 40/60 Momentum Portfolio: ETF allocation and returns page.

Performances as of May 31, 2024

Historical returns and stats of Developed World ex-US 40/60 Momentum Portfolio, after implementing different rebalancing strategies.

DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO PERFORMANCES
Period: August 2009 - May 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 5.16 (15) 6.99 0.74 -19.40 0.27
Half Yearly Rebalancing 5.23 (29) 7.05 0.74 -19.59 0.27
Quarterly Rebalancing 5.26 (59) 7.06 0.74 -19.61 0.27
5% Tolerance per asset 4.99 (2) 7.11 0.70 -19.72 0.25
10% Tolerance per asset 5.07 (1) 7.27 0.70 -20.47 0.25
(*) Since Aug 2009 (~15 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of May 31, 2024

Historical Drawdowns of Developed World ex-US 40/60 Momentum Portfolio, after implementing different rebalancing strategies.

DEVELOPED WORLD EX-US 40/60 MOMENTUM PORTFOLIO DRAWDOWNS
Period: August 2009 - May 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-19.40
Sep 2021 - In progress
-19.59
Sep 2021 - Mar 2024
-19.61
Sep 2021 - Mar 2024
-19.72
Sep 2021 - Mar 2024
-20.47
Sep 2021 - Mar 2024
-8.94
May 2011 - Jul 2012
-8.76
May 2011 - Jul 2012
-8.74
May 2011 - Jul 2012
-9.71
May 2011 - Aug 2012
-9.71
May 2011 - Aug 2012
-7.72
Feb 2020 - Jun 2020
-7.72
Feb 2020 - Jun 2020
-7.72
Feb 2020 - Jun 2020
-7.93
Feb 2020 - Jun 2020
-7.93
Feb 2020 - Jun 2020
-6.00
Feb 2018 - Mar 2019
-6.09
Feb 2018 - Apr 2019
-5.99
Feb 2018 - Mar 2019
-6.57
Feb 2018 - Apr 2019
-6.57
Feb 2018 - Apr 2019
-5.38
May 2015 - Jun 2016
-5.17
May 2013 - Oct 2013
-5.15
May 2015 - May 2016
-5.29
May 2015 - Jun 2016
-5.29
May 2015 - Jun 2016
5 Worst Drawdowns - Average
-9.49 -9.47 -9.44 -9.84 -9.99
10 Worst Drawdowns - Average
-6.46 -6.55 -6.52 -6.72 -6.80

For a deeper insight, please refer to the Developed World ex-US 40/60 Momentum Portfolio: ETF allocation and returns page.