Historically, commodity futures have had excess returns similar to those of equities. But what
should we expect in the future? The usual risk factors are unable to explain the time-series …

Portfolio management is an ongoing process of constructing portfolios that balances an
investor's objectives with the portfolio manager's expectations about the future. This dynamic …

We compare the risk-adjusted performance of stock–bond portfolios between rebalancing
and buy-and-hold across different asset allocations by reporting statistical significance …

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed
portfolio weights, is an active strategy. Winning asset classes are sold and losers are …

While the power of rebalancing to improve returns and reduce risk is generally
acknowledged, there is relatively little work focused on the best way to implement a …

This study compares the performance of different rebalancing strategies under realistic
market conditions by reporting statistical significance levels. Our analysis is based on …

The present study uses data from the US for the 20-year period 1983-2012 to examine
whether there is evidence that statistically significant value exists for various portfolio …

There is now a substantial literature on the effects of rebalancing on portfolio performance.
However, this literature contains frequent misattribution between 'rebalancing returns', which …

Wealth managers traditionally rebalance portfolios quarterly or annually to control risk due to
asset class drifts. This paper proposes a new paradigm for planners: rebalance less …

There is a widespread perception that it is optimal to keep portfolio weights constant over
time, and that the optimal rebalancing frequency is just a question of the transaction cost …