Paper: SSRN 3330134

Abstract

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

Complexity vs Empirical Score

  • Math Complexity: 5.5/10
  • Empirical Rigor: 7.0/10
  • Quadrant: Holy Grail — high math complexity, high empirical rigor

Why this score: 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.

Research Flowchart

  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"]