Portfolio Performance - Effects of Rebalancing — Strategy by Skywalking2874
By Skywalking2874
Performance Metrics
- Author: Skywalking2874
- Symbol: AMEX:SPY
- Timeframe: 1 week
Description
Function:- Can be used to evaluate the performance of a portfolio containing 2 assets over a set time interval- Shows the % return of the portfolio over the time interval defined by the user- Includes a threshold rebalancing algorithm to show the effects that rebalancing has on the portfolio over the long term- Created to evaluate of the performance of portfolios containing different weightings of stocks and bonds over time assuming that the user would rebalance the portfolio when asset weights crossed a thresholdInstructions:- To be used with dividends adjustments turned on- Add this script to a symbol. e.g. AMEX:SPY- Click the chart to define the entry time and the exit time. i.e. the time interval- Define the initial investment of the portfolio. Default setting is $100,000- Define the second asset to be included in the portfolio. e.g. BATS:AGG- The strategy comes pre-populated with a portfolio that has a weight of 80% asset 1 and 20% asset 2. i.e. 80% AMEX:SPY and 20% BATS:AGG if the symbols mentioned above were chosen - The 7 lines show the weighted % return of each portfolio over the time period defined by the user- Each line (except the blue) is the return based on a different rebalancing threshold. The default settings are 1%, 2.5%, 5%, 10%, 15%, 20%, 30% - The blue line is the % return of a portfolio that was made up of 100% asset 1 over the time interval. i.e. 100% AMEX:SPY - Asset weights and rebalancing thresholds are adjustable via the settings- Each plot can be turned on and turned off via a tick box in the settings