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Rebalancing Frequency

May 23, 2011

In an attempt to improve the Long Stock and Levered Bond strategy, we decided to sample different rebalancing periods. As the chart below demonstrates, there is almost no difference between a quarterly or monthly rebalancing.  The quarterly rebalancing has a slightly better performance, which is a bonus as it means less slipage and commissions paid as well.

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Categories: bonds, hedging, stocks
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