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
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.