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Questions tagged [rebalancing]

The tag has no usage guidance.

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0answers
33 views

Rebalancing order on trading pairs

I'm working on a program to rebalance my portfolio among a set of crypto assets. Though I'm a bit confused on how to best order the buys in sells among the various pairs. Consider the following ...
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1answer
74 views

How to compute cumulative performance of a portfolio with two equities?

I have a time series of adjusted returns for two companies, A and B. I have created a portfolio consisting of these two time series with equal weighting (sum of weights must equal 1): $w_a = w_b=0.5$...
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0answers
46 views

Expected turnover from rebalancing

If you have a target weights for N assets with monthly returns that are drawn from a multivariate normal distribution with known means and covariances, is there an exact or approximate analytical ...
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128 views

Calculate monthly returns for a QUARTERLY and YEARLY rebalanced portfolio in R

I built a minimum variance, equal weight, inverse volatility, and equal risk contribution portfolios based on the same data set of monthly returns for 30 different companies. The covariance matrix is ...
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0answers
93 views

Sharpe ratio for dynamic portfolio

I want to test the performance of my strategy with different rebalancing period. I'm struggle with calculating the overall performance on backtest results and making final conclusions. For example, ...
4
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1answer
154 views

Why does rebalancing leveraged portfolios buy winners and sell losers?

From "Diversification Return and Leveraged Portfolios" by EDWARD QIAN at http://www.master272.com/finance/memoire_2016/qian_diversification_return.pdf Consider again a two-asset 200/100 portfolio ...
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1answer
201 views

PortfolioAnalytics: What is the training_period and rolling_window “type” in optimize.portfolio.rebalancing?

In R-package PortfolioAnalytics, what is the unit of the training_period and rolling_window ? is it the just data points ? or is ...
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48 views

How to pick one stock in each asset class when Rebalancing

A little background, I'm using Python's PyAlgoTrade library to develop a trading strategy. I have access to each stock's Open, High, Low, Close (/Adj), and Volume for a given day. Currently, I ...
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0answers
45 views

How to ascertain/establish certainty of a portfolio rebalancing strategy?

I created a portfolio rebalancing strategy, that I am currently paper trading with. It is, primarily, based on mean-reversion principle with a few rules in place, and geared towards cryptocurrencies, ...
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2answers
1k views

Intuitive Explanation for Shannon's Demon?

I am reading Fortune's Formula by William Poundstone, and I am puzzled by a phenomenon called "Shannon's Demon", which Claude Shannon allegedly proposed in a series of lectures, and preserved only by ...
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1answer
86 views

Return.portfolio function for re-balancing with time series of weights

I am using the Return.portfolio function from the PerformanceAnalytics R package in order to re-balance the portfolio based on different frequencies (i.e. daily, weekly monthly, etc.) using a time ...
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57 views

Creating a synthetic future

Let's say we have a time series for an illiquid future and we would like to replicate this time series using two time series for liquid futures using daily rebalancing. What would be a good approach ...
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1answer
373 views

How to combine rolling window backtest result?

I have a strategy that buys a set of stocks and holds them for 6 months then rebalances. I would like to apply a rolling window backtest to the following strategy, but am wondering what is the ...
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1answer
206 views

black litterman for rebalancing

I've noticed in my backtests that "shrinking" the expected returns vector towards zero tends to improve the performance. This has led me to investigate shrinkage methods for the forecasts/expected ...
1
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1answer
785 views

PortfolioAnalytics [R] - optimize.portfolio.rebalancing error

New to using PortfolioAnalytics (and fairly new to R in general) and am encountering an error when running optimize.portfolio.rebalance -- see below: Error in ...
3
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1answer
173 views

How large are transaction costs in practice?

I am wondering, what kind of transaction costs practitioners (institutional investors) are faced to. Portfolio optimization literature often evaluates portfolio performance after adjusting for a value ...
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1answer
2k views

What is optimize.portfolio.rebalancing in R-package PortfolioAnalytics calculating?

I recently started using the R-package PortfolioAnalytics for performing some portfolio optimization. And I'm trying to get a grasp on what exactly the function <...
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0answers
579 views

backtest asset allocation strategies

I've searched the site but haven't found an easy way to backtest my personal portfolio allocations. Suppose I want to know the total return for the following portfolio from Jan 1, 2009 to Dec 31, 2014:...
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1answer
252 views

Tests for Mean Reversion in a Portfolio Rebalancing

On a single time series one can run a Dickey-Fuller test to determine if the asset is mean reverting or at least has been mean reverting during your sample. Is there a way to test for mean-reversion ...
3
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1answer
2k views

Rebalancing portfolio weights

I have a matrix of returns and weights for every time period. ...
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0answers
492 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
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1answer
171 views

Index creation from multiple time-series and variable weights

I am trying to compose one index out of several (three) indices with variable weights, 50%, 25% and 25%. After normalizing and calculating the log returns, what would be the best way to create the ...
7
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1answer
320 views

What procedure do leveraged ETFs use to limit losses?

I've skimmed through more than one ETF prospectus trying to find the procedure for clamping losses at the limits of an ETF, and so far, no help. Has anyone found a description of the "clamping" ...
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2answers
2k views

optimal re-balancing strategy with asynchronous alpha signal

You want to construct an optimal portfolio. Let's say you have an alpha signal that arrives with some period (say quarterly). The alpha signal predicts arithmetic returns one-year ahead. You have ...
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2answers
3k views

robust portfolio optimization re-balancing with transaction costs

The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) ...
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0answers
185 views

Benefits of Diversification and Rebalancing with negatively skewed leptokurtic return distribution?

I am missing tools to investigate this issue. I am trying to solve this question here. What kind of issues should you acknowledge over the naive diversification/rebalancing with normal distribution? ...
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2answers
1k views

Diversification, Rebalancing and Different Means

I have found many financial authors making generalizations about GM and AM but they are wrong in certain circumstances. Could someone explain their reasoning? My fact why they are wrong is based ...