Static portfolio strategies

Most of us employ one or more strategies in our portfolios, consciously or not. I would like to know the following:

  1. Before employing a strategy - how it performed historically. What traits I expect from it and where they true? Does it fit my situation (eg. local bonds will behave differently then US-bonds which most published strategies use, foreign exchange rates can turn everything on it’s head, etc.)

  2. Once employed, I want to know how much the target weights are off, so I can decide to rebalance.

  3. After some time, say a year, I want to revisit my expectations and how well I tracked the strategy. Was it behaving as I expected during that time (eg. flattening dips)? Did I actually employed it, or because of delays or fees my returns are totally off. This essentially tells me if this strategy is a good fit for me - I know what roughly to expect, and I can employ it in practice. If returns are now what I expected - I know who to “blame” - strategy, or me.

Capitally could allow me to define a “perfect” mix of assets out of the assets I have. This should include all types of assets, including real-estate or liabilities!

I should also be able to attach different strategies to different parts of the portfolio - eg. 80/20 on my broker account, but an aggressive one on my pension.

To compare my execution to the strategy model, the strategy benchmarks should incur the same costs and taxes I normally do. They should also follow the same cashflows as the part of the portfolio being benchmarked.

The strategy mix and their account attachment should be able to change in time. There might be a meta-strategy needed, to keep track of balanced allocation between accounts.

Strategies should not be too rigid - in the perfect world I should both be able to define concrete assets to be included (e.g. VWRA), or an asset category (e.g. Large-cap/All world).

This does not include rebalancing.