Professional Documents
Culture Documents
Drift of Weights eop from Initial Allocation Rebalancing of bop Weights in Next Period Needed
Total A B C A B C Total
100.00% 0.19% 0.71% 0.52% 0.00% 0.00% 0.00% 0.00%
100.00% 0.27% 1.24% 0.98% 0.00% 100.00% 0.00% 100.00%
100.00% 1.01% 0.74% 0.27% 0.00% 0.00% 0.00% 0.00%
100.00% 0.65% 0.21% 0.44% 0.00% 0.00% 0.00% 0.00%
100.00% 0.90% 0.57% 0.33% 0.00% 0.00% 0.00% 0.00%
100.00% 0.91% 0.97% 0.06% 0.00% 0.00% 0.00% 0.00%
100.00% 1.42% 1.18% 0.25% 100.00% 0.00% 0.00% 100.00%
100.00% 0.09% 0.12% 0.21% 0.00% 0.00% 0.00% 0.00%
100.00% 0.20% 0.29% 0.08% 0.00% 0.00% 0.00% 0.00%
100.00% 0.29% 0.29% 0.58% 0.00% 0.00% 0.00% 0.00%
100.00% 0.39% 0.18% 0.22% 0.00% 0.00% 0.00% 0.00%
100.00% 0.11% 0.07% 0.04% 0.00% 0.00% 0.00% 0.00%
EFFICIENT CALCULATIONS
Time (bop) Constituent Period Returns Constituent Weights Beginning of Period Rebalanced
A B C A B C Total
1 0.96% -2.87% 5.94% 70.00% 20.00% 10.00% 100.00%
2 2.34% -0.61% 6.63% 70.19% 19.29% 10.52% 100.00% 0.00%
3 -4.54% 0.43% -0.55% 70.27% 18.76% 10.98% 100.00% 0.00%
4 7.64% 4.35% 8.89% 69.27% 19.46% 11.27% 100.00% 0.00%
5 1.53% 3.69% 0.80% 69.60% 18.95% 11.46% 100.00% 0.00%
6 6.24% 8.34% 2.28% 69.37% 19.29% 11.34% 100.00% 0.00%
7 1.28% 3.06% 5.17% 69.40% 19.68% 10.92% 100.00% 0.00%
8 -0.11% 0.38% -2.34% 68.87% 19.87% 11.25% 100.00% 0.00%
9 -3.41% -2.22% -1.75% 68.98% 20.00% 11.02% 100.00% 0.00%
10 -0.34% -1.02% -6.01% 68.68% 20.16% 11.16% 100.00% 0.00%
11 -0.45% -2.89% 3.26% 69.21% 20.18% 10.61% 100.00% 0.00%
12 -0.31% 1.67% 3.00% 69.28% 19.71% 11.01% 100.00% 0.00%
"Threshold Rebalance" Portfolio "Always Rebalance" Portfolio Constituent Weights Beginning of Period
A B
0.69% 0.69% 70.00% 20.00%
2.22% 2.18% 70.19% 19.29%
-3.17% -3.15% 70.27% 18.76%
7.14% 7.11% 69.27% 19.46%
1.86% 1.89% 69.60% 18.95%
6.20% 6.26% 69.37% 19.29%
2.05% 2.02% 69.40% 19.68%
-0.27% -0.24% 68.87% 19.87%
-2.99% -3.01% 68.98% 20.00%
-1.11% -1.04% 68.68% 20.16%
-0.55% -0.57% 69.21% 20.18%
0.44% 0.42% 69.28% 19.71%
Buy & Hold Portfolio
C
10.00% 0.69%
10.52% 2.22%
10.98% -3.17%
11.27% 7.14%
11.46% 1.86%
11.34% 6.20%
10.92% 2.05%
11.25% -0.27%
11.02% -2.99%
11.16% -1.11%
10.61% -0.55%
11.01% 0.44%