Rebalancing weekly/monthly/quarterly

Rebalancing weekly/monthly/quarterly

Rakla03
2016-01-14 10:56:27

Let us assume a weighted portfolio:

Asset A 50%
Asset B 30%
Asset C 20%

Whats the formula to get it rebalanced weekly/monthly/quarterly back to the weightings above?

THX

QuantShare
2016-01-15 03:18:13

All you need to do is to sell the asset on each rebalance.

Weekly:
sell = week() != ref(week(), -1)

Monthly:
sell = month() != ref(month(), -1)

Rakla03
2016-04-08 05:25:58

As I can see, using these formulas would sell the whole position and buy the whole rebalanced one. (E.g. sell 300 shares and buy 350 shares)

I would like to rebalance based on the current position (Buy 50 shares).

THX

QuantShare
2016-04-09 05:34:29

This can be done only using the money management script (scaling in/out instead of selling and buying).
But note that this would not impact the portfolio at all if commissions and slippage are set to 0.

Rakla03
2016-04-11 06:32:22

Is it a script ready to download?

QuantShare
2016-04-12 02:10:00

No. There are no similar script in the sharing server.

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