TY - JOUR T1 - The Benefits of Rebalancing in High-Volatility<br/>Environments JF - The Journal of Index Investing SP - 95 LP - 101 DO - 10.3905/jii.2011.2.1.095 VL - 2 IS - 1 AU - Alex Zweber Y1 - 2011/05/31 UR - https://pm-research.com/content/2/1/95.abstract N2 - Using daily market return data and a simplified base portfolio with equal weights for equity and fixed income, Zweber examines various rebalancing strategies over a recent market cycle to determine which approach performs best in periods of high volatility. The period analyzed had similar annualized returns for the equity and fixed-income benchmark indices, but with large return deviations intraperiod. Each of the rebalancing strategies outperformed both the benchmark and buy-and-hold portfolio on an absolute and risk-adjusted basis. During the extreme volatility of late 2008 and 2009, tighter rebalance thresholds were shown to provide the greatest incremental value in return enhancement and risk reduction.TOPICS: Portfolio construction, portfolio theory, risk management ER -