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The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", BreckHutHigh asked the members: "What about the long road trips with kids?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: Aussi   😊 😞
Number: of 6131 
Subject: Re: ROE_Cash & YEY Blend
Date: 01/09/24 12:10 AM
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Why not both screens have the same hold start date, trading started and stopped on the same dates and both screens had the same period.
Seems to me they would be in sync.


Screen 0 has a rebalance every 3 periods (60 days). Screen 1 has a rebalance every 1 period (20 days) The blend rebalances at the longest period (I think), which means every 60 days, all stocks will be rebalanced to equal weight. i.e. money will be moved from the screen that has performed the best over the last 60 days to the screen than has not performed as well.

There is a wrinkle that I do not know how it is handled. Screen 0 has a minimum hold of 2 periods. So if the stock has only been held for 1 period at rebalance time, does that mean then some quantity of the stock could be sold? Not sure.

If the screens are run independently, no money moves between the screens, therefore you will get a different result than the blend.

Craig
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