PT  - JOURNAL ARTICLE
AU  - Alex Zweber
TI  - The Benefits of Rebalancing in High-Volatility<br/>Environments
AID  - 10.3905/jii.2011.2.1.095
DP  - 2011 May 31
TA  - The Journal of Index Investing
PG  - 95--101
VI  - 2
IP  - 1
4099  - https://pm-research.com/content/2/1/95.short
4100  - https://pm-research.com/content/2/1/95.full
AB  - 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