Not all portfolio produce better returns when rebalanced. Sometimes rebalancing produces lower returns. The premium doesn't come from risk, it comes from holding the proper portfolio for compounding.
-
At what rebalancing frequency are the the table stakes set at?
Depends on how rapidly the target weights change and how volatile the assets traded are. As a general rule, evaluate deviation from target wts at least once/day and rebalance if the deviation is large enough (after taking tcosts into account)
-
-
The effect is not to do with the frequency of trading, explicitly.
It's caused by the discrepancy between the weights you want and the weights you have.
Which, as macro states, is a function of the volatility/auto-correlation of your alpha and the assets themselves. -
More people should read the classic quant texts. You don't have to work this all out yourself.https://twitter.com/macrocephalopod/status/1404908537835360257?s=20 …
End of conversation
New conversation -
-
-
Ok, at what size deviation are the table stakes set?
-
It's a function of the strength and turnover of your alpha models, the cost (fees, market impact, slippage) of your trades, and your risk constraints. The bigger your alpha vs costs the more often you would rebalance. The smaller the fixed cost component, the more often too
- Show replies
New conversation -
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.