The Effects of Rebalanced Thresholds on Mean Daily Returns and Daily Return Standard Deviaion of A SPY/Cash Portfolio

This is a study on the effects of rebalanced threshold on mean daily reutns and the standard deviation. 

APP

SPY Ratio:%
Cash Catio:%

90% SPY with 10% Cash

Standard Deviation

Mean Return and Mean Over Standard Deviation

70% SPY with 30% Cash

Standard Deviation

Mean Return and Mean Over Standard Deviation

50% SPY with 50% Cash

Standard Deviation

Mean Return and Mean Over Standard Deviation

30% SPY with 70% Cash

Standard Deviation

Mean Return and Mean Over Standard Deviation

10% SPY with 90% Cash

Standard Deviation

Mean Return and Mean Over Standard Deviation

100% SPY

One thing I have noticed is the following data for a 100% SPY portfolio, the goal of rebalancing is to beat the 100% SPY portfolio:

• Mean daily return: 0.04394%
• Daily return standard deviation: 1.1873%
• The mean return divided by the standard deviation: 0.037.

The following is some of the highest numbers for mean daily return over standard deviation. More importantly, they are higher then 0.037 of the 100% SPY portfolio,

• The mean return divided by the standard deviation of 0.04089 from a 60% SPY/40% cash portfolio with a rebalancing threshold of 14.8%.
• The mean return divided by the standard deviation of 0.04034 from a 50% SPY/50% cash portfolio with a rebalancing threshold of 17.4%.
• The mean return divided by the standard deviation of 0.04038 from a 50% SPY/50% cash portfolio with a rebalancing threshold of 28.1%.
• The mean return divided by the standard deviation of 0.04097 from a 40% SPY/60% cash portfolio with a rebalancing threshold of 30.3%.
• The mean return divided by the standard deviation of 0.04152 from a 30% SPY/70% cash portfolio with a rebalancing threshold of 30.3%.
• The mean return divided by the standard deviation of 0.04209 from a 20% SPY/80% cash portfolio with a rebalancing threshold of 27.1%.
• The mean return divided by the standard deviation of 0.04238 from a 10% SPY/80% cash portfolio with a rebalancing threshold of 18.2%.

Related Article:Looking for the Best SPY/Cash Rebalancing Threshold in Terms of Sharpe Ratio

Conclusion

• Generally, the bigger the rebalanced threshold, the bigger the daily return standard deviation.
• Generally, the bigger the rebalanced threshold, the bigger the mean daily return.
• Mena return over return standard deviation has no strong coorlation with rebalanced thresholds.
• Overall, that you rebalance your SPY/Cash portfolio frequently with small thresholds generally means your portfolio is safer with a sacrifice of return.
• The higher the percentage of cash in the portfolio, the easier to find a high value of mean return over standard deviation.