In this post we will:
- Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio consisting of two ETFs: SPY and TLT.
- Search for what has been the optimal dates in the month to rebalance such a portfolio.
Each month we allocate to SPY and TLT.
If SPY has outperformed TLT we rebalance to 60% SPY – 40% TLT.
If TLT has outperformed SPY we rebalance to 20% SPY – 80% TLT.
For the first run we will re-balance on the first of the month and close at the last day of the month.
Now will try different combinations of entry and exit days.