You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Great Rebalancing Lesson - I have seen many videos in YT try to find which one can teach me accurately about portfolio rebalancing calculation. When I watched this I know how to rebalancing my mutual fund portfolio. I have watched your clips and subscribed your channel Thank you Master Shanaev
it would be great to show the same idea but using a MINIMUM % deviation from the initial allocation. This would make more sense in reality than a fixed rebalancing frequency. GREAT WORK!
Hi Amadeus, and thanks for the question. Yes, of course you can. These do not take into account dividends but for short investment horizons and non-dividend paying stocks generally this works just fine.
Great video (as they all are). From my experience, most optimizations are centered around the sweet spot of tracking error to benchmark vs. transaction costs. In that sense you would optimize the upper and lower rebalancing thresholds by instrument/category, assuming you only rebalance when a upper/lower threshold is breached. The example in the video makes sense though intuitively as a slower fixed rebalancing frequency essentially picks up the trend component of individual assets (strong performers gain more weight over time and vice versa); however, that trend component at some point starts working against you, as evidenced with longer rebalancing periods. Good stuff though!
I enjoyed all of your videos. Most fund managers can't beat the S&P 500 (ETF SPY) over the long term and the ETF has annualized return of over 10%. How about creating a systematic swing trading strategy if portfolio is over 5% YTD take some money out and invest the cash when S&P is down in 2 or 3 consecutive days? It is a sort of market timing as well as disciplined investing with only 1 ETF SPY.
@drek273 0 seconds ago I like this idea. It’s similar to the Treynor/black model, however that simply measures a portfolio with or without a portion dedicated to a benchmark index. I’m working on something similar but incorporating rebalancing with sector rotation. I can say more but it will be a text wall.Good idea though!
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Great Rebalancing Lesson - I have seen many videos in YT try to find which one can teach me accurately about portfolio rebalancing calculation. When I watched this I know how to rebalancing my mutual fund portfolio.
I have watched your clips and subscribed your channel
Thank you Master Shanaev
it would be great to show the same idea but using a MINIMUM % deviation from the initial allocation. This would make more sense in reality than a fixed rebalancing frequency. GREAT WORK!
Hi Riccardo, and thanks for the comment! The video on that is already in the pipeline, indeed this is what many practitioners prefer :)
great video, very interesting topic. Its very good that you make very easy to apply in practice.
Hi, and thanks for the comment! Stay tuned for more portfolio management videos!
Hello, i've a question. Can i use the close price data each stocks in total return indices? thank you
Hi Amadeus, and thanks for the question. Yes, of course you can. These do not take into account dividends but for short investment horizons and non-dividend paying stocks generally this works just fine.
@@NEDLeducation okey thank you so much for the answer
Great video (as they all are). From my experience, most optimizations are centered around the sweet spot of tracking error to benchmark vs. transaction costs. In that sense you would optimize the upper and lower rebalancing thresholds by instrument/category, assuming you only rebalance when a upper/lower threshold is breached. The example in the video makes sense though intuitively as a slower fixed rebalancing frequency essentially picks up the trend component of individual assets (strong performers gain more weight over time and vice versa); however, that trend component at some point starts working against you, as evidenced with longer rebalancing periods. Good stuff though!
Hi Hubert, and glad you are enjoying the channel! I have indeed already recorded a video on rebalancing bands/thresholds so stay tuned for that :)
please share all the excel files in the description
I enjoyed all of your videos. Most fund managers can't beat the S&P 500 (ETF SPY) over the long term and the ETF has annualized return of over 10%. How about creating a systematic swing trading strategy if portfolio is over 5% YTD take some money out and invest the cash when S&P is down in 2 or 3 consecutive days? It is a sort of market timing as well as disciplined investing with only 1 ETF SPY.
@drek273
0 seconds ago
I like this idea. It’s similar to the Treynor/black model, however that simply measures a portfolio with or without a portion dedicated to a benchmark index. I’m working on something similar but incorporating rebalancing with sector rotation. I can say more but it will be a text wall.Good idea though!