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[/align]Rebalancing Bands Cornucopia!
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MachineGhost
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Rebalancing Bands Cornucopia!
This is not for the PP but a typical multi-asset diversified portfolio. .20% per trade transaction costs. It saves me a lot of time from having to come up with the stats myself. Lesson: Look frequently, rebalance infrequently.
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Last edited by MachineGhost on Sun Apr 28, 2013 3:44 am, edited 1 time in total.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
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MachineGhost
- Executive Member
- Posts: 10054
- Joined: Sat Nov 12, 2011 9:31 am
Re: Rebalancing Bands Cornucopia!
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[/align]"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
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MachineGhost
- Executive Member
- Posts: 10054
- Joined: Sat Nov 12, 2011 9:31 am
Re: Rebalancing Bands Cornucopia!
And now, the PP:
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[/align]"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
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MachineGhost
- Executive Member
- Posts: 10054
- Joined: Sat Nov 12, 2011 9:31 am
Re: Rebalancing Bands Cornucopia!
25% -/+ 25% = 0%/50% band. I can't see the individual trades, but it would be interesting to know if hitting 50% was a singular event in one asset or a series among the three. Here's time and bands together:MangoMan wrote: From the last chart, the CAGR does not appear to vary significantly with the exception of the 'band 25' which has a clear advantage. Does that infer a 25% deviation from chosen allocation [e.g. for HBPP starting at 25% each, 25% of 25%= 6% would be bands of 19/31 as optimum]? Or am I misinterpreting that conclusion?
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Last edited by MachineGhost on Sun Apr 28, 2013 9:27 am, edited 1 time in total.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
-
MachineGhost
- Executive Member
- Posts: 10054
- Joined: Sat Nov 12, 2011 9:31 am
Re: Rebalancing Bands Cornucopia!
[align=center]
[/align]
[/align]"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Re: Rebalancing Bands Cornucopia!
Another fascinating thing about wider rebalancing bands is that you can capture any intermediate term momentum affect across the asset classes. This has historically been a benefit.
Anything that lowers costs and has the potential to capture a historical anomaly is great in my eyes
Anything that lowers costs and has the potential to capture a historical anomaly is great in my eyes
everything comes from somewhere and everything goes somewhere