I am getting a bunch of recommendations that are well below my minimum rebalance transaction size threshold… did something change?
Where is this? In a book in Research or a strategy in Invest section ? Thanks
If it helps locate the problem, I did not have this issue today in live Research books
Jerome
What will often happen with Formula Weight when “Min Rebalance Transaction” is set high relative to the number of positions (in your case 1% for 37 positions) and “Exposure after Rebalance” is set to “Automatically adjust” is that it will have to fit the actions taken into the funds available after eliminating rebalance transactions below the set threshold. In the situation where most transactions eliminated are sells, the remaining transactions will have less cash to use and will be scaled back. You can try mitigating this behavior either by a combination of increasing “Max Position Drift” and decreasing “Min Rebalance Transaction” or by switching “Exposure after Rebalance” to “Allow deviation”. Note that allowing deviation will add variation to the market exposure of the model.
This was a live strategy. Aaron seems to have the answer, although its odd that this is the first time it happened when I have been using the same rules for quite some time.