Previously, we discussed using Meta’s Prophet to create a momentum portfolio that was rebalanced monthly. Is there a benefit to rebalancing this at a higher frequency?
Turns out that there isn’t. Even before factoring in costs, Prophet works best with a monthly schedule.
And does significantly worse if bring costs into the equation.
The problem is that Prophet portfolios have little overlap.
Once again, a +1 to KISS.
Code and charts on github.
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