Marco,
It looks to me like a sim buys/sells on mondays but uses fridays
closing price. If this is true, then weekly rebal results may not be
be very accurate. It would be usefull to be able to compare the
results of fridays closing vs mondays opening price for buys/sells.
Since Rebalance takes place on saturday, we can’t get fridays
prices.This may not matter for longer rabalance periods, buy it
surely would for weekly or bi weekly.
Thanks,
Dan
This issue has been discussed quite a bit and we are planning to be able to run sims using Monday’s open or close price or even Tuesday since some fractional shares brokers trade only on Tuesday (sharebuilder I think).
The effect of using Monday’s prices was actually analyzed by stoxgodd in great detail. See the last 2 posts on this thread here, or http://www.portfolio123.com/mvnforum/viewthread?thread=286
His conclusion: on Monday some stocks move up others down and the effect is negligible. Comparing GARP Top Ranked simulations(an aggressive model) using Friday vs Mondays prices he calculated a difference of 4% over 3.25 years for the total returns: 346% vs 342%.