macrocephalopod

Here's the strat. Let's say we have a portfolio of 50% cash / 50% your simulated stock. At the end of each day, rebalance this portfolio back to 50/50. Basically, you buy more stock if it goes down and sell some if it went up that day. Let me know the returns you see.

So were you able to try this out? @macrocephalopod

I really appreciate you taking the time to run this. This wasn’t the actual strategy though, you’re just holding a 50% weight in cash and 50% in a returns stream that has negative geo ret so year you’re gonna see a terrible return.

I’m saying start with $100 dollars, 50 in cash and 50 in the asset. At the end of each day, observe your new allocation has shifted because of the days returns. Then, rebalance 50/50 of whatever NAV you have left into cash and the asset. This is different from your example.

That would be *exactly* the same as what I already did, except that the 'equity' variable would be multiplied by 100 to simulate starting with $100 instead of $1. It wouldn't change the overall result except that instead of ending with $0.000005 it would end with $0.0005

If we started with a stock with a *geometric* return of zero instead of *arithmetic* return zero the story would be different and you could make money (before costs) by rebalancing every day, although not at anything like the rate that you are imagining.