Skip to main content

Does Rebalance Improve Investment Portfolio Performance?

Portfolio rebalance almost always produces better Sharpe ratio than those who don't.

Simulator

This simulates the investment restuts of a SPY/Cash portfolio rebalanced with different thresholds. The portfolio starts with $1,000 and SPY initial price is $400.Adjust the cash return to represent short-term bond yield.
Cash Ratio: %
SPY Ratio: %
Mean Monthly Return: %
Monthly Return Standard Deviation: %
Cash Mean Monthly Return: %
Investment Duration: year(s).

Rebalance Threshold: %.

Results Comparison

Total Returns

  • No-rebalanced:0%
  • ALL Stock Portfolio:0%
  • Rebalanced By Period:0%
  • Rebalanced By Threshold:0%

Mean Monthly Return

  • No-rebalanced:0%
  • ALL Stock Portfolio:0%
  • Rebalanced By Period:0%
  • Rebalanced By Threshold:0%

Monthly Return Standard Deviation

  • No-rebalanced:0%
  • ALL Stock Portfolio:0%
  • Rebalanced By Period:0%
  • Rebalanced By Threshold:0%

Sharpe Ratios

Labels:

Comments

Post a Comment

Popular posts from this blog

How to Create Corporate Bond with Covered Call Strategy?

A covered call position act like a corporate bond. Both give limited upside gains but also some downside protection. So I would like to explore if I can build a corporate bond position with stocks and the covered call strategy. Face Value Face value of an option is the first thing I am concerned. Although there is no real face value in the covered call positions, we still need to know how many stocks are covered by a short call contract. An option contract covers 100 shares of stock, so if I want to build a covered call position, I need to buy 100 shares of SPY for $373 with a total of $373*100 = $37,300. Already crazy. If I do a covered call once and the call option gets executed, I will have to sell stocks worth of about $37,300. How many times do I get to do this if I am not so rich? The mini-option of XSP, though a smaller contract size than SPX, still has this problem of one contract requires a lot of money for the underlying assets. XSP prices at 37...
Post a Comment
Read more