{"id":40890233,"date":"2023-04-18T14:38:21","date_gmt":"2023-04-18T09:08:21","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890233"},"modified":"2023-04-18T14:38:31","modified_gmt":"2023-04-18T09:08:31","slug":"momentum-rebalance-frequency","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2023\/04\/18\/momentum-rebalance-frequency\/","title":{"rendered":"Momentum Rebalance Frequency"},"content":{"rendered":"\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2023\/04\/14\/momentum-skip-month\/\" target=\"_blank\">Previously<\/a>, we found that the traditional 12_1 momentum configuration, where you look at the previous 12-month performance while skipping the most recent month and rebalancing every month, was indeed an ideal config (<strong>MOM_1_1<\/strong>). However, there are momentum index funds that rebalance once in 6-months (<strong>MOM_[0,1]_6<\/strong>). Is there any performance give-up if you rebalance infrequently?<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/momentum\/rebal-frequency\/symStatsTop.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>Turns out that the traditional config is quantifiably better than others. However, there&#8217;s isn&#8217;t much of a performance give-up even if you rebalance once in 6-months (<strong>MOM_0_6<\/strong>).<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/momentum\/rebal-frequency\/symRetsAll.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>Besides, the analysis here doesn&#8217;t factor in transaction costs which would be a bigger drag on the monthly rebalance config. When you add the tax-advantage and low-cost of index funds into the mix, the current crop of momentum index funds don&#8217;t look all that shabby.<\/p>\n\n\n\n<p>Code and charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/rebal-frequency\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Previously, we found that the traditional 12_1 momentum configuration, where you look at the previous 12-month performance while skipping the most recent month and rebalancing every month, was indeed an ideal config (MOM_1_1). However, there are momentum index funds that rebalance once in 6-months (MOM_[0,1]_6). Is there any performance give-up if you rebalance infrequently? Turns &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3491],"class_list":["post-40890233","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-momentum","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890233","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890233"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890233\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890233"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890233"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890233"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}