Intra-Month Rebalancing??

[brucealder]

Hi Alex, Frank, et al.,
Maybe this is obvious, but until now I’ve just been updating the portfolio mix monthly, when the new allocations are released. Should I also be rebalancing intra month to maintain/match the portfolio mix for that month? If so, what trigger point would you recommend…+/-2%, 3%, etc.

I’m not sure if the backtesting indicates there’s a lot to be gained by intra-month rebalancing, but if you feel it would be worthwhile I’ll definitely start doing it.
Thanks!
Bruce

[Vangelis]

Hi Bruce,

Not really. All our backtested models are based on the assumption that the strategies/portfolios are re-balanced monthly. There is no need to rebalance more often. If you were to do so, it would be a different strategy, one that assumes mean reversion is at play as you would be selling the asset that gained in price and buying the one that lost in price.

[brucealder]

Thanks Vangelis, that makes sense. Appreciate it.
Bruce

[Author]

Posts