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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Rebalancing, how? |
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Total posts in this thread: 10 |
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Koronbock
Advanced Member  GERMANY Joined: Jun 11, 2006 Posts: 166 Status: Offline |
I have created several Sims and Ports. I would like to follow an external Timer which will require to rebalance the portfolio at certain times after the Timing System gives a signal. The rebalance date of the Timer does of course not conform to the rebalance date of the port. I noticed when I want to rebalance that it says "No new recommendations at this date" and no new stocks are recommended. Does it mean I just stick to the old ones for now or do I need to change something in the setting of the port? Thanks. Wern |
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
Hi Wern, Apart from the "daily" rebalance feature which I myself haven't figured out completely, P123's computers initiate rebalancing in every 7, 14, 21, etc. calendar days. In other words, at P123, the rebalance periods are in multiples of 7 calendar days. For example, if you set your port to "weekly" and "automatic", then your port wil get automatically rebalanced every 7 calendar days. Why 7 days? Because that's how often P123 receives fundamental data updates from Reuters. Or, for example, if you set your port to "two weeks" and "automatic", then your port wil be automatically rebalanced every 14 calendar days. Why 14 days? Because that's exactly twice the above period of 7 days. However, if your 3rd party market timer does not conform to this 7-day period, then rebalancing can be an issue for you. In other words, if you want to deviate from this 7-day cycle, then you may have a bit of a challenge. If you attempt to rebalance (on a Saturday when) the day Reuters data is uploaded to the servers of P123, then rebalancing is rarely an issue. However, if you attempt to rebalance your ports Mondays through Fridays, then you will keep getting "no new recommendations at this date" messages. Mondays through Fridays there are no new stocks recommended probably because P123 gets no new data from Reuters, although the EOD prices of the previous trading day could be (and should be) considered because they do have an effect on existing fundamental data. Maybe this is what the "daily" rebalancing is for. However, in lieu of daily EOD updates, Monday through Friday the best recommendation is the "old" recommendation -- where "old" means anywhere between 2 and 6 days old. As to rebalancing at irregular intervals, or more frequently than in multiples of 7 days, I don't think there's anything you can do by changing the settings of your ports. However, you might want to experiment with the the following two settings: 1 ) "Daily" rebalancing -- a feature I rarely ever use (but might be related to daily updates of EOD market data) -- can be potentially useful and valuable to you, if you use it in combination with a 3rd party market timer, assuming the latter issues buy and sell signals not on weekends and Sundays, but Mondays through Fridays. 2 ) "Manual" rebalancing -- which means you have more freedom to rebalance your ports manually, at any time, 7-24, on any day of the week. With manual rebalancing you will have less confusion that may be generated with automatic rebalancing -- usually on a Saturday. I hope this helps. Robert ---------------------------------------- [Edit 1 times, last edit by p123robert at Oct 21, 2006 10:40:55 AM] |
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Koronbock
Advanced Member GERMANY Joined: Jun 11, 2006 Posts: 166 Status: Offline |
Robert, thanks for your detailed and helpful explanations. This makes things much clearer for me now. One thing I still can't understand: Since Portfolio123 DOES get at least DAILY pricing information (stock quotes) this should influence the RANK of a Rankking System to some degree. For example: A sudden drop / gain of the stock price should certainly influence the Rank of a stock, especially if we have value and/or momentum factors in our Ranking System. If the RANK is indeed influenced, so should the recommendations ???? Maybe someone can explain this to me. Thanks, especially to Robert. Wern |
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
Wern, I agree; EOD prices of the previous trading day could be (and should be) considered because they do have a bit of an effect on existing (and static) fundamental data. Maybe this is what the "daily" rebalancing is designed to look for, because there exists a "daily" rebalancing option for all of us, members of P123. Or, alternatively, this may be a feature that Marco and Crew are working on. However what do we do when EOD market data is delayed up to 3 calendar days (from Friday 4:00 p.m. to Monday 4:00 p.m.)? There's no substitute for hands-on experience. To get more info on this subject, we will need the input of someone who has been using the "daily" rebalance option in one of their portfolios. I hope this helps. Robert |
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Koronbock
Advanced Member GERMANY Joined: Jun 11, 2006 Posts: 166 Status: Offline |
Robert, I have not found this "Daily Rebanancing" option anywhere. As far asd I can see we have only 3 options: No Balancing Semi-Automatic Automatic Balancing Maybe Marco (or someone who knows) can shed light on this. Thanks. Wern |
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
Wern, Both "rebalance method" and "rebalance frequency". are found page named "Step 1: Portfolio Parameters", which is the very first page, when you're creating a portfolio. Maybe I was the one who confused you, because earlier I talked about "manual rebalancing". "Manual rebalancing" is not the term that P123 uses, and I'm sorry about that. The term that P123 uses is "no rebalance" (which really means "manual", because the user is expected to do any and all rebalancing manually, at his convenience, at any time, independent of the P123's weekly cycle of 7 days). How to set the "rebalance frequency" to "daily": "If you've got a sim with "daily" rebalancing, then you want to click "summary" ==> "create portfolio" ==> then on the very first page, named "Step 1: Portfolio Parameters", in the "rebalance frequency" line, which is the 12th line from the very top of that page, you'll see a drop down menu with 9 options. One of those options should be "daily". If you've got a sim with "weekly" rebalancing, the process is the same. Click "summary" ==> "create portfolio" ==> then on the very first page that appears, in the line of "rebalance frequency", you'll see a drop down menu with 9 options. One of those options should be "daily". Maybe you're trying to create a port from scratch. I never do that. Or maybe you're trying to create a port right after using the P123's screener. I never do that either. How to set the "rebalance method" to "manual": "If you've got a sim, then click "summary" ==> "create portfolio" ==> and then, on the very first page named "Step 1: Portfolio Parameters", in the "rebalance method" line, which is the 13th line from the very top of that page, you'll see a radio button with 3 possible positions. One of those positions should be "no rebalance". From the perspective of the P123 Crew , if you set it to "no rebalance", you'll get neither automatic nor semi-automatic rebalancing by P123's crew. From your own perspective, if you set it to "no rebalance", then the timing of every rebalancing action will depend on you and you only. You'll have to rebalance manually, whenever it's convenient for you, or whenever your 3rd party market timer says you should do so. I hope this helps. Robert ---------------------------------------- [Edit 4 times, last edit by p123robert at Oct 22, 2006 12:19:46 AM] |
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Koronbock
Advanced Member GERMANY Joined: Jun 11, 2006 Posts: 166 Status: Offline |
Robert, thanks a lot for your detailed explanations. This was very helpful. Indeed, I was looking for the "manual" button for rebalancing and there is none. It is hiding behind the "No rebalancing" button, which does mean "manual" in Portfolio123 terms. Marco, are you reading this? Maybe this could be changed to "manual" instead of "No rebalancing". The "daily" button for rebalancing is also at the end of the list, which - at first sight - seems to be an ordered list (going from weekly >> to 2 weeks >> 4 weeks and so forth). But then at the very end there is the DAILY button, which should be at the top of this list if it is supposed to be an ordered one. But again, I figured it out, thanks to your help, Robert. Thanks again. Wern |
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akumar
Member
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Hi All, brand new to P123.  Anyhow, I have been looking for the DAILY rebalacing option and even after reading Robert's detailed explanation, I can not find the Daily option. See the screenshot below showing one of the public port I copied to my account. Regardless of if I am trying to create a new port/sim/rank or trying to change a existing one, I never see the Daily option. any help is appreciated! Thanks Arpna ---------------------------------------- 
test_port.gif
(12171 bytes)
(Download Count: 62)
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BJS
Advanced Member
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Daily rebalancing is only available for simulations, not portfolios. If you have a good daily simulation, and want to have a daily-rebalanced portfolio, you can still rebalance it manually. All you need to do is click on Rebalance, then click on Get Recommendations. I have a portfolio that I rebalance every morning like that. |
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z8735
Advanced Member
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Hi , One of the main reasons we dont currently have daily rebalancing, is that Ranks are calculated only once a week and hence are not affected by mid-week price action or announcements. This makes daily rebalancing less effective. However Marco suggested addressing this issue in his post from couple of months ago, see http://www.portfolio123.com/mvnforum/viewthread?thread=607 Cheers, Z. |
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