Strategic Rebalancing

ArXiv ID: ssrn-3330134 “View on arXiv”

Authors: Unknown

Abstract

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

Keywords: rebalancing, portfolio weights, momentum, risk-adjusted returns, asset allocation, Multi-Asset

Complexity vs Empirical Score

• Math Complexity: 5.5/10
• Empirical Rigor: 7.0/10
• Quadrant: Holy Grail
• Why: The paper presents several analytical derivations, including a two-period model and convexity/concavity arguments, which indicate moderate mathematical density. It also includes extensive empirical backtesting on long historical datasets (1927-2017) with specific drawdown analysis and risk metrics, demonstrating strong implementation and data reliance.

  flowchart TD
    A["Research Goal"] --> B["Rebalancing<br>vs. Buy-and-Hold"]
    B --> C["Data Inputs<br>Multi-Asset Classes"]
    C --> D["Methodology<br>Strategic Rebalancing<br>Monthly/Quarterly"]
    D --> E["Computational Process<br>Calculate Returns &<br>Risk-Adjusted Metrics"]
    E --> F["Key Findings<br>Active Strategy<br>Better Risk-Adjusted Returns"]