Equal-weight ETF allocation with automatic rebalancing

The strategy equally weights the stock sectors in the S&P 500 using ETFs. In a rising stock market this would incur capital gains taxes in a taxable account. If you are saving regularly, you could direct your new investments towards the sectors that have underperformed to get closer to equal weighting without selling the outperforming sectors.

Very neat. After a brief foray into reading about HFT, I&#x27;ve started reading more about algorithmic (non-HFT) trading.<p>I&#x27;d love to hear if other HN readers are playing with algorithmic trading. I occasionally think quantitative trading would be fun because of the intersection of math&#x2F;stats and CS. Of course, that&#x27;s an &quot;in the abstract&quot; statement. Depending on it for my mortgage would be . . . different.

I&#x27;d feel VERY uncomfortable giving a 3rd party the password to my brokerage account. Too many bad things can happen.<p>Yes, I know you take property security. There&#x27;s always some bug or flaw you don&#x27;t know about. Because you&#x27;re logging in to the clients brokerage account, that means your software has access to their UNENCRYPTED UNHASHED password.<p>Also, there are reasons to NOT automatically rebalance every 21 days. Long-term games are better than short-term gains (unless it&#x27;s an IRA). In addition to commissions, there&#x27;s the cost of the bid&#x2F;ask spread, not included in your calculation.

I don&#x27;t see the fundamental distinction between this and a S&amp;P 500 index fund. Instead of carrying out one rebalancing (at whatever frequency) there&#x27;s now two rebalacning steps -- one at the sector level and then another one to account for market cap changes within the sector. The net result of either strategy looks to be an imperfectly realized approximation of the performance a continuously adjusted market cap weighted portfolio of those 500 stocks.<p>Is the claim that this is somehow a better approximation? Are there some tax loss harvesting benefits? What am I missing?

Out of curiousity does anyone do algo trading on options? Maybe through IBs java api?

How does it execute the rebalance trades? Just MOC or something like that?