@Ascendant The period of rebalance essentially depends on the strategy. As you have already pointed out there are pros and cons in any period you choose.
One thing that people forget when they talk about quant or algos is that a strategy is an extension of the beliefs of the creator of the strategy. For example, I am, at the core, a long-term trend-following investor. I will always prefer strategies that are slightly on the longer timeframe unless I specifically want to exploit a shorter timeframe anomaly or opportunity.
This is why I typically prefer monthly or even quarterly timeframes. In my experience, the shorter the timeframe, the more statistical (technical-based) info becomes important. If you stretch your time horizon to months, quarters or even years (like the Magic Formula has a yearly rebalance), you move to the fundamental side more. The reason for this again is that there are more fundamental data points in longer timeframes.
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