I’ve been toying with the idea of creating a hybrid of the weekly strategy and the full strategy, one that would rebalance mid week if the portfolio moves enough to justify a change. The drawdown in the weekly strategy is higher than the full strategy because the environment can change dramatically over 5 days, leaving the portfolio out of proper balance for a short time. Well I decided in an effort to combat this lag, I will rebalance the weekly strategy mid-week if a component’s weight changes by more than 10%.
Today was a crazy day (down about 1% in my portfolio, 3% in S&P500), and we crossed this threshold as the optimal portfolio changed by 12%. At the end of the day August 5th, the strategy rebalanced to:
48% SPY , 40% TLT , 12% GLD