Hi! I am quite a newbie here. Apologies if the question seems to be obvious to you.
I have a monthly rebalanced portfolio but have daily cash positions. I am wondering if I can do the rebalance separately? So that I can allocate the spare cash to buy ETF, say TLT, on a daily basis. What shall I do?
Thank you so much!
Typically, one rebalances positions as a percent of a portfolio using optimize.TargetWeights(weights) or similar method. If the sum of the weights is less than 1 then that amount will remain as cash. To re-invest that amount into an ETF such as TLT simply set the weight of that ETF to be 1-sum(weights).
It might be easier to show with an example. If you wish, reply and attach a copy of your current algorithm.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
