Rebalancing

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