When Rebalancing Works?
February 21, 2014 - Strategic Allocation, Volatility Effects
Under what conditions is periodic rebalancing a successful “volatility harvesting” strategy? In his February 2014 paper entitled “Disentangling Rebalancing Return”, Winfried Hallerbach analyzes the return from periodic portfolio rebalancing by decomposing its effects into a volatility return and a dispersion discount. He defines: Rebalancing return as the difference in (geometric) growth rates between periodically rebalanced… Keep Reading