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Rebalancing Bands Cornucopia!
Posted: Sun Apr 28, 2013 3:38 am
by MachineGhost
Re: Rebalancing Bands Cornucopia!
Posted: Sun Apr 28, 2013 5:13 am
by MachineGhost
Re: Rebalancing Bands Cornucopia!
Posted: Sun Apr 28, 2013 6:22 am
by MachineGhost
And now, the PP:
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Re: Rebalancing Bands Cornucopia!
Posted: Sun Apr 28, 2013 9:12 am
by MachineGhost
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?
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:
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Re: Rebalancing Bands Cornucopia!
Posted: Sun Apr 28, 2013 9:27 am
by MachineGhost
Re: Rebalancing Bands Cornucopia!
Posted: Sun Apr 28, 2013 11:50 am
by melveyr
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
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