Stats › Rendements de long terme › Rebalancing and drawdowns
Monthly rebalancing deepened the 2008 drawdown by five percentage points
| Measure, monthly rebalanced 60/40 | Valeur |
|---|---|
| Rendement annualisé | 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 |
| Drawdown maximum | 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.
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