TY - JOUR T1 - Rebalancing Strategies for Creating Efficient Portfolios JF - The Journal of Investing SP - 93 LP - 103 DO - 10.3905/joi.2008.707221 VL - 17 IS - 2 AU - Brian Boscaljon AU - Greg Filbeck AU - Chia-Cheng Ho Y1 - 2008/05/31 UR - https://pm-research.com/content/17/2/93.abstract N2 - This article applies an annual rebalancing strategy to create portfolios of industry leaders and compares the efficiency of these portfolios with the S&P 500 Index and the CRSP market index portfolios. For the last four decades, value-weighted portfolios consisting of as few as eight or nine securities formed from industry leaders are more efficient with annual rebalancing than the S&P 500 and are indistinguishable from the CRSP market index portfolio. The findings suggest important implications for choosing appropriate benchmarks for measuring tracking error.TOPICS: Equity portfolio management, portfolio construction, VAR and use of alternative risk measures of trading risk ER -