Rebalance Problem

I am running manual rebalances of live portfolios today, and I noticed that one is making errors I hadn’t seen previously. The Universe is EQUITY-and-COMMODITY-ONLY ETFs with good liquidity (as determined by narrow spreads).

To ensure the selections are Equity/Commodity-Only and include no leveraged, short, or fixed-income ETFs, I include this Rule in the Universe:


As you can see, I have double-covered to eliminate the unwanted ETFs by specifying I want STANLONG and excluding the four unwanted categories (FIXINC, LEVLONG, LEVSHORT, and STANSHORT). Either alternative should work in theory, but I’ve included both.

[color=red]It doesn’t work![/color] For example, in this week’s rebalance, It’s picking the Direxion Daily S&P Biotech Bear 3X Shares (LABD) and ProShares UltraPro Short Russell2000 (SRTY). Apparently, this problem existed before this weekend because it sells two Leveraged Bear Market ETFs that were previously bought. Leveraged bear ETFs are probably a great choice in this market, but that’s not the intended design of this portfolio.

I added the same Rule in the Universe above to the model’s BUY RULES, making no difference. Can anyone tell me if I have done something incorrectly? Thanks.

Your “or” is making your "and"s irrelevant. LABD and SRTY are equity ETFs so they pass your rule. If you put parentheses around “ETFAssetClass=EQUITY OR ETFAssetClass=COMMOD,” that will solve your problem.

Hey, thanks Yuval - You’re pretty handy after all! (joking, oc)