Statistik › Langfristige Renditen › Rebalancing and drawdowns
Monthly rebalancing deepened the 2008 drawdown by five percentage points
| Measure, monthly rebalanced 60/40 | Wert |
|---|---|
| Annualisierte Rendite | 9.1% |
| Annualised volatility | 9.8% |
| Return divided by volatility | 0.92 |
| Sharpe ratio net of the short rate | 0.47 |
| Annualised rebalancing trade | 10.2% of the portfolio |
| Annualised trading cost | 4.4 basis points |
| Troughs deeper than 15 per cent | Five: 1970, 1974, 1987, 2002, 2009 |
| Extra 2008 drawdown versus buy and hold | about 5 percentage points |
| Max Drawdown | Not reported in the source |
Monthly rebalanced 60/40 US stock and Treasury portfolio, monthly data 1960 to 2017. US stocks are the value weighted NYSE, AMEX and NASDAQ series; Treasuries come from Federal Reserve data. The study reports no t statistics, and neither the absolute maximum drawdown nor any recovery time appears in it.
A monthly rebalanced 60/40 portfolio returned 9.1 per cent a year from 1960 to 2017 at 9.8 per cent volatility. Its maximum drawdown in the 2007 to 2009 crisis was about five percentage points worse than buy and hold, because rebalancing buys the falling asset.
Nur für Mitglieder
Der restliche Teil dieser Seite ist für Mitglieder
Below this point there are 5 sections, 1 table and 3 named sources, roughly 650 words of it. Every figure carries the source it came from and the date the data is from.
Sie können weiterhin jede Statistik in der Bibliothek kostenlos durchsehen. Die Einleitung und die Zusammenfassung sind immer offen.