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

Rebalanced between cash and SPY seems to be a good strategy. This article is about studying with which threshold does it perform best.

Rebalacing with 20% Threshold 

Return Distribution


Shape Ratio

Rebalacing with 10% Threshold 

Return Distribution

Shape Ratio

Rebalacing with 5% Threshold

Return Distribution

Shape Ratio

Rebalacing with 1% Threshold

Return Distribution

Shape Ratio

Conslsion

  • The standard devision of returns decreases with the decrease rebalanced thresholds.
  • The mean returns increases with the increase of  rebalanced thresholds.
  • There is no significant corrlation between rebalanced thresholds and Sharpe ratios.
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