I followed the approach proposed here, using composer.trade. I used $99007.44 starting March 18, 2020, trading quarterly.
I get better returns for the same period that was presented (1/3/2022: I have 221.16% gain, the figure has 201.08% gain). Starting 3/20/2020 instead results in an increase of 202.14%. I don't know what the difference in results is from, although the interface now has more options regarding slippage and fees that aren't shown in the earlier results. Fees include SEC and FINRA regulatory charges. Default slippage is set at 5 bps.
According to the recent calculation, as of 6/10/2022, the portfolio value would be $155,164.98. That includes fees and slippage of $192.82.
Composer.trade shows HFEA dropping below SPY on 5/6/2022, bouncing above and below a bit since. SPY currently shows a 67.07% return vs. 56.80% return from the start (the HFEA return apparently doesn't include the fees and slippage).
Alternative rebalancing:
- With daily rebalancing, the calculated HFEA portfolio would be at $161,256.24 after fees and slippage ($1276.40) over the same period.
- With weekly rebalancing, the calculated HFEA portfolio would be at $160,758.45 after fees and slippage ($565.63) over the same period.
- With monthly rebalancing, the calculated HFEA portfolio would be at $151,302.66 after fees and slippage ($288.70) over the same period.
- With daily rebalancing, the calculated HFEA portfolio would be at $195,782.12 after fees and slippage ($1338.97) over the same period.
- With weekly rebalancing, the calculated HFEA portfolio would be at $193,190.61 after fees and slippage ($583.43) over the same period.
- With monthly rebalancing, the calculated HFEA portfolio would be at $186,698.12 after fees and slippage ($370.85) over the same period.
- With quarterly rebalancing, the calculated HFEA portfolio would be at $199,189.96 after fees and slippage ($174.27) over the same period.
Weekly trades are on the first day of the week. Monthly trades are on the first day of the month.
Edit: note that slippage is NOT proportional to the number of trades. Each trade is smaller, so in trending markets the effect is similar. Of course, the portion of costs attributed to a fixed fee for trading would be proportional to number of trades.