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Best Rebalanced Frequency for a 50% SPY and 50% Cash Portfolio

This is article is studying if rebalanced frequency could affect investment results in terms of annual mean return, annual return standard deviation and Sharpe ratio.

Rebalanced Everyday

Return Distribution


Sharpe Ratio



Rebalanced Every 28 Days

Return Distribution

Sharpe Ratio

Rebalanced Every 126 Days

Return Distribution

Sharpe Ratio

Rebalanced Every 252 Days

Return Distribution

Sharpe Ratio

Conclusion

  • All Sharpe ratios in this article assume the risk free rate is 2%.
  • The Sharpe ratio for rebalanced everyday is 0.494.
  • The Sharpe ratio for rebalanced every 28 days is 0.438.
  • The Sharpe ratio for rebalanced every 126 days is 0.453.
  • The Sharpe ratio for rebalanced every 252days is 0.438.
  • The Sharpe Ratios do not have strong relationship with rebalanced frequency.
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