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Quantitative Finance · Glossary

What is Decision time, execution lag, rebalance frequency?

Also known as: decision time · execution lag · rebalance frequency

Definition 16.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 16 — Vectorised Backtests

The decision time of a book is the moment at which the information used to build it was complete. The execution lag is the number of periods between the decision time and the first return the book earns. The rebalance frequency is how often the target book is recomputed and traded to.

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