John Van Praag

Hewlett-Packard's Silver Linings

If 4-week rebalancing were actually implemented it would likely generate huge transaction costs (which by the way the S&P 500 would avoid, because the S&P 500 changes very slowly over time). For your backtests to be realistic you must account for transaction costs. If the trading is being conducted in a taxable account, taxation also becomes an issue. 4-week rebalancing is likely to generate substantial short-term and long-term capital gains taxes.