Skip to main content

Best Sharpe Ratio of the SPY/Cash Threshold Rebalanced Portfolio With Different Risk Free Rate

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

APP

This will take a while!

10% SPY and 50% Spy

10% SPY and 90% Spy

Press Run after the other graphs are plotted.

50% SPY and 90% Spy

Press Run after the other graphs are plotted.

Conclusion

The higher the Fed funds Rate, the easier to achieve the best Sharpe Ratio. This indiretly proves
Labels:

Comments

Post a Comment

Popular posts from this blog

Which is better? BND or AGG?

The US 10-year treasury yield has reached at 2007-2008 years level, which is about 16 years ago. From a technical point of view, it is a buy. Then there are 2 bond ETFs that I am interested in. There are BND and AGG. They are very similar in nature. US 10 year Treasury Bond, chart, prices - FT.com Expense Ratio BND: 0.03% AGG: 0.03% The same. Turnover Rate BND: 40.00% AGG: 104.0% BNG seems better. Historical Performance Comparison Investment duration: 5 years with no tax on dividends BND wins a little with winning rate of 57.5%, but AGG wins 0.012% in return. Investment duration: 5 years with 30% tax on dividends AGG wins a little with winning rate of 65% and a 0.079% difference on average. Investment duration: 10 years with no tax on dividends AGG wins a little with winning rate of 67% and a 0.024% difference on average. Investment duration: 10 years with 30%  tax on dividends AGG wins a little with winning rate of 99% and a 0.095% difference on average. C...
Post a Comment
Read more