Practical Applications of an Objective Framework for Rebalancing Richard Waddington & Steven Quimby

How can a framework for thinking about rebalancing help Portfolio Managers make better decisions in practice in dynamic markets?

In our last session we introduced the Sherpa Rebalancing Framework as an objective tool to help portfolio managers think through the tradeoffs in rebalancing frequency and make better decisions.

While such a objective Framework provides a good estimate of the ideal rebalancing frequency when the inputs are constant, in practice the inputs change through time.

Different market regimes may be characterized by higher or lower volatility. Or a macro event such as COVID or Brexit may shift how frequently your views change. And maybe your estimation of your own alpha changes as you build more precise feedback loops to measure what you're good at.

By considering the sensitivity of your ideal frequency to changes in different critical portfolio variables, PMs can apply the framework to better navigate changing market conditions.

In this webinar, we'll show how PMs can:

... measure how changing volatility, alpha expectations and other variables would impact their ideal rebalancing frequency to be better prepared for changing markets
... use historical data to make better estimates of the inputs you have more control over, such as your alpha expectation and frequency of view change,
... combine these concepts to understand how different scenarios would drive different rebalancing decisions.

You can also read our insights on the Risk Quality Graph here:
https://sherpafundstech.com/risk-qual...

Learn more about Sherpa's approach to portfolio construction at www.sherpafundstech.com.