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- W2072759084 abstract "Using daily market return data and a simplified base portfolio with equal weights for equity and fixed income, Zweber examines various rebalancing strategies over a recent market cycle to determine which approach performs best in periods of high volatility. The period analyzed had similar annualized returns for the equity and fixed-income benchmark indices, but with large return deviations intraperiod. Each of the rebalancing strategies outperformed both the benchmark and buy-and-hold portfolio on an absolute and risk-adjusted basis. During the extreme volatility of late 2008 and 2009, tighter rebalance thresholds were shown to provide the greatest incremental value in return enhancement and risk reduction. <b>TOPICS:</b>Portfolio construction, portfolio theory, risk management" @default.
- W2072759084 created "2016-06-24" @default.
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- W2072759084 date "2011-05-31" @default.
- W2072759084 modified "2023-10-16" @default.
- W2072759084 title "The Benefits of Rebalancing in High-VolatilityEnvironments" @default.
- W2072759084 doi "https://doi.org/10.3905/jii.2011.2.1.095" @default.
- W2072759084 hasPublicationYear "2011" @default.
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