I did a test, with the same strategy, the same number of shares (25), the same universe, and the same turnover (350%) and the same cost of buying, but with different frequency of rebalancing.
As you can see from the overview, the return in the US drops from 1w to 13w a lot (51% to 28%), while in the EU during the period it goes from 35.8% to 13W 30.5%.
What is the reason? Is it coincidence? I know that companies in the US release numbers more often, is that the explanation? Any suggestions?
| US 13W | 260123 Beste 13w vs 51% - Copy(2) | 120123 Opt… | 25 | 28.7% | 1.19 | -59.9% |
|---|---|---|---|---|---|---|
| US 8W | 260123 Beste 8w vs 51% - Copy(3) | 120123 Opt… | 25 | 38.7% | 1.48 | -53.4% |
| US 6W | 260123 Beste 6w vs 51% - Copy(2) | 120123 Opt… | 25 | 41.4% | 1.56 | -56.4% |
| US 3W | 260123 Beste 3w vs 51% - Copy | 120123 Opt… | 25 | 45.0% | 1.66 | -55.7% |
| US 1W | 260123 Beste 1w vs 51% | 120123 Opt… | 25 | 50.9% | 1.85 | -48.5% |
| EU 1W | 20123 Beste 1W test vs1 we vs 35.8% - Copy(2) | 201122 nye… | 25 | 35.8% | 1.32 | -54.7% |
| EU 13W | 20123 Beste 13W test vs1 we vs 35.8% - Copy(3) | 201122 nye… | 25 | 30.5% | 1.17 | -58.4% |
| EU 8W | 20123 Beste 8W test vs1 we vs 35.8% - Copy(2) | 201122 nye… | 25 | 30.8% | 1.21 | -53.5% |
| EU 6W | 20123 Beste 6W test vs1 we vs 35.8% - Copy | 201122 nye… | 25 | 32.8% | 1.26 | -51.8% |
| EU 3W | 20123 Beste 3W test vs1 we vs 35.8% | 201122 nye… | 25 | 35.7% | 1.34 | -53.1% |