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    10 views6 pages

    Re Balancing Tolerance

    Uploaded by

    morrisonkaniu8283

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    STEP-BY-STEP CALCULATIONS

    red items are input data

    Time (bop) Constituent Period Returns Constituent Weights Beginning of Period


    A B C A B
    1 0.96% -2.87% 5.94% 70.00% 20.00%
    2 2.34% -0.61% 6.63% 70.19% 19.29%
    3 -4.54% 0.43% -0.55% 70.00% 20.00%
    4 7.64% 4.35% 8.89% 68.99% 20.74%
    5 1.53% 3.69% 0.80% 69.35% 20.21%
    6 6.24% 8.34% 2.28% 69.10% 20.57%
    7 1.28% 3.06% 5.17% 69.09% 20.97%
    8 -0.11% 0.38% -2.34% 70.00% 20.00%
    9 -3.41% -2.22% -1.75% 70.09% 20.12%
    10 -0.34% -1.02% -6.01% 69.80% 20.29%
    11 -0.45% -2.89% 3.26% 70.29% 20.29%
    12 -0.31% 1.67% 3.00% 70.39% 19.82%
    13 69.89% 20.07%
    Rebalancing Tolerance:

    Portfolio Period Return Constituent Weights Ending of Period


    C Total A B C
    10.00% 100.00% 0.69% 70.19% 19.29% 10.52%
    10.52% 100.00% 2.22% 70.27% 18.76% 10.98%
    10.00% 100.00% -3.15% 68.99% 20.74% 10.27%
    10.27% 100.00% 7.09% 69.35% 20.21% 10.44%
    10.44% 100.00% 1.89% 69.10% 20.57% 10.33%
    10.33% 100.00% 6.26% 69.09% 20.97% 9.94%
    9.94% 100.00% 2.04% 68.58% 21.18% 10.25%
    10.00% 100.00% -0.24% 70.09% 20.12% 9.79%
    9.79% 100.00% -3.01% 69.80% 20.29% 9.92%
    9.92% 100.00% -1.04% 70.29% 20.29% 9.42%
    9.42% 100.00% -0.60% 70.39% 19.82% 9.78%
    9.78% 100.00% 0.40% 69.89% 20.07% 10.04%
    10.04% 100.00%
    Rebalancing Tolerance: 1.20%

    Drift of Weights eop from Initial Allocation Rebalancing of bop Weights in Next Period Needed
    Total A B C A B C Total
    100.00% 0.19% 0.71% 0.52% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.27% 1.24% 0.98% 0.00% 100.00% 0.00% 100.00%
    100.00% 1.01% 0.74% 0.27% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.65% 0.21% 0.44% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.90% 0.57% 0.33% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.91% 0.97% 0.06% 0.00% 0.00% 0.00% 0.00%
    100.00% 1.42% 1.18% 0.25% 100.00% 0.00% 0.00% 100.00%
    100.00% 0.09% 0.12% 0.21% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.20% 0.29% 0.08% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.29% 0.29% 0.58% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.39% 0.18% 0.22% 0.00% 0.00% 0.00% 0.00%
    100.00% 0.11% 0.07% 0.04% 0.00% 0.00% 0.00% 0.00%
    EFFICIENT CALCULATIONS

    EFFICIENT SOLUTION Rebalancing Tolerance: 5.00%

    Time (bop) Constituent Period Returns Constituent Weights Beginning of Period Rebalanced
    A B C A B C Total
    1 0.96% -2.87% 5.94% 70.00% 20.00% 10.00% 100.00%
    2 2.34% -0.61% 6.63% 70.19% 19.29% 10.52% 100.00% 0.00%
    3 -4.54% 0.43% -0.55% 70.27% 18.76% 10.98% 100.00% 0.00%
    4 7.64% 4.35% 8.89% 69.27% 19.46% 11.27% 100.00% 0.00%
    5 1.53% 3.69% 0.80% 69.60% 18.95% 11.46% 100.00% 0.00%
    6 6.24% 8.34% 2.28% 69.37% 19.29% 11.34% 100.00% 0.00%
    7 1.28% 3.06% 5.17% 69.40% 19.68% 10.92% 100.00% 0.00%
    8 -0.11% 0.38% -2.34% 68.87% 19.87% 11.25% 100.00% 0.00%
    9 -3.41% -2.22% -1.75% 68.98% 20.00% 11.02% 100.00% 0.00%
    10 -0.34% -1.02% -6.01% 68.68% 20.16% 11.16% 100.00% 0.00%
    11 -0.45% -2.89% 3.26% 69.21% 20.18% 10.61% 100.00% 0.00%
    12 -0.31% 1.67% 3.00% 69.28% 19.71% 11.01% 100.00% 0.00%
    "Threshold Rebalance" Portfolio "Always Rebalance" Portfolio Constituent Weights Beginning of Period
    A B
    0.69% 0.69% 70.00% 20.00%
    2.22% 2.18% 70.19% 19.29%
    -3.17% -3.15% 70.27% 18.76%
    7.14% 7.11% 69.27% 19.46%
    1.86% 1.89% 69.60% 18.95%
    6.20% 6.26% 69.37% 19.29%
    2.05% 2.02% 69.40% 19.68%
    -0.27% -0.24% 68.87% 19.87%
    -2.99% -3.01% 68.98% 20.00%
    -1.11% -1.04% 68.68% 20.16%
    -0.55% -0.57% 69.21% 20.18%
    0.44% 0.42% 69.28% 19.71%
    Buy & Hold Portfolio
    C
    10.00% 0.69%
    10.52% 2.22%
    10.98% -3.17%
    11.27% 7.14%
    11.46% 1.86%
    11.34% 6.20%
    10.92% 2.05%
    11.25% -0.27%
    11.02% -2.99%
    11.16% -1.11%
    10.61% -0.55%
    11.01% 0.44%

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