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I've got a strategy going that on paper should do better with infrequent rebalancing, yet the more frequently I rebalance the better it does by almost all metrics.
Many of the templates and many other similar non-HFT strategies seem to rebalance monthly/quarterly.
Am I missing something here? What are the benefits of infrequent rebalancing and why does it seem to be common practice?
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Derek Melchin
Hi Tom,
The rebalancing period can sometimes be dictated by the strategy rules. But in general, monthly/quarterly rebalancing is favored over more frequent periods in an effort to decrease trading fees. Either way, risk management rules might also be put in place to avoid significant loss between rebalancing events.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Tom Penrose
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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