# Tag Info

2

If you do step 1 and step 2 every day, then you indeed assume that you rebalance the strategy every day. If you want to assume differently, for example monthly, you need to first compound the returns for each asset separately during the whole month and then do a weighted sum of the compounded returns using the weights of each asset at the beginning of the ...

2

In this case it is important to differentiate between a liability-driven investment strategy (LDI) and a (the classical) benchmark-driven investment strategy. The first one is what you need in this case. LDI was first established by Martin Leibowitz in 1986 ("Liability returns: A new perspective on asset allocation"). So googling that might help you ...

1

I don't know if there is a standard way of solving the problem, but I solve it thus: Strategy A bought for $C_a$ dollars and sold for $S_a$ dollars for a result of $R_a = S_a - C_a$ over $T_a$ days. Strategy B bought for $C_b$ dollars and sold for $S_b$ dollars for a result of $R_b = S_b - C_b$ over $T_b$ days. Where $C_a$ and $C_b$ is the total sum of ...

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