RT Journal Article SR Electronic T1 The Benefits of Rebalancing in High-Volatility
Environments JF The Journal of Index Investing FD Institutional Investor Journals SP 95 OP 101 DO 10.3905/jii.2011.2.1.095 VO 2 IS 1 A1 Alex Zweber YR 2011 UL https://pm-research.com/content/2/1/95.abstract 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