Developed World 40/60 To EUR Hedged Portfolio: Rebalancing Strategy

Data Source: from January 1979 to May 2024
Consolidated Returns as of 31 May 2024

Managing the Developed World 40/60 To EUR Hedged Portfolio with a yearly rebalancing, you would have obtained a 4.91% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 4.89%.

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 40/60 To EUR Hedged Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1979.

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.
DEVELOPED WORLD 40/60 TO EUR HEDGED PORTFOLIO RETURNS
Period: January 1979 - 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 30Y MAX
(~45Y)
Yearly Rebalancing 8.29 (1) 2.94 (5) 3.23 (10) 4.91 (30) 6.85 (46)
Half Yearly Rebalancing 8.17 (2) 2.95 (10) 3.25 (20) 4.83 (60) 6.80 (91)
Quarterly Rebalancing 8.07 (4) 3.01 (20) 3.32 (40) 4.89 (120) 6.83 (182)
5% Tolerance per asset 8.45 (1) 2.93 (2) 3.24 (4) 4.93 (18) 6.88 (26)
10% Tolerance per asset 9.37 (0) 3.39 (1) 3.46 (2) 4.87 (4) 6.77 (5)

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

Performances as of May 31, 2024

Historical returns and stats of Developed World 40/60 To EUR Hedged Portfolio, after implementing different rebalancing strategies.

DEVELOPED WORLD 40/60 TO EUR HEDGED PORTFOLIO PERFORMANCES
Period: January 1979 - 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 6.85 (46) 6.74 1.02 -24.31 0.28
Half Yearly Rebalancing 6.80 (91) 6.74 1.01 -24.80 0.27
Quarterly Rebalancing 6.83 (182) 6.79 1.01 -25.50 0.27
5% Tolerance per asset 6.88 (26) 6.82 1.01 -25.18 0.27
10% Tolerance per asset 6.77 (5) 6.87 0.99 -26.42 0.26
(*) Since Jan 1979 (~45 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of May 31, 2024

Historical Drawdowns of Developed World 40/60 To EUR Hedged Portfolio, after implementing different rebalancing strategies.

DEVELOPED WORLD 40/60 TO EUR HEDGED PORTFOLIO DRAWDOWNS
Period: January 1979 - May 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-24.31
Nov 2007 - Feb 2011
-24.80
Nov 2007 - Feb 2011
-25.50
Nov 2007 - Apr 2011
-25.18
Nov 2007 - Apr 2011
-26.42
Nov 2007 - Feb 2012
-17.46
Jan 2022 - In progress
-17.43
Jan 2022 - In progress
-17.42
Jan 2022 - In progress
-17.77
Jan 2022 - In progress
-17.77
Jan 2022 - In progress
-12.20
Sep 1989 - Mar 1991
-13.07
Apr 2000 - Nov 2003
-12.84
Apr 2000 - Oct 2003
-12.57
Apr 2000 - Oct 2003
-13.74
Apr 2000 - Nov 2003
-12.07
Apr 2000 - Oct 2003
-12.28
Sep 1989 - Mar 1991
-12.33
Sep 1989 - Mar 1991
-11.84
Sep 1989 - Mar 1991
-12.33
Sep 1989 - Mar 1991
-8.86
Sep 1987 - Mar 1988
-7.96
Sep 1987 - Mar 1988
-7.69
Sep 1987 - Mar 1988
-7.90
Sep 1987 - Mar 1988
-8.06
Feb 2020 - Jul 2020
5 Worst Drawdowns - Average
-14.98 -15.11 -15.16 -15.05 -15.66
10 Worst Drawdowns - Average
-10.90 -11.02 -11.05 -11.02 -11.42

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