In this post we will:

1. Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio consisting of two ETFs: SPY and TLT.
2. 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.

Continue reading Day of month effect on rebalancing a portfolio →