What Does Rebalancing Really Achieve?
本文澄清了再平衡策略中“再平衡收益”与“多元化收益”的混淆，指出再平衡策略的所谓优势在有限时间范围内并不成立，可能误导投资者承担不足的多元化和过高的交易成本。
There is now a substantial literature on the effects of rebalancing on portfolio performance. However, this literature contains frequent misattribution between ‘rebalancing returns’, which are specific to the act of rebalancing, and ‘diversification returns’, which can be earned by both rebalanced and unrebalanced strategies. Confusion on this issue can encourage investors to follow strategies that involve insufficient diversification and excessive transactions costs. This paper identifies the misleading claims that are made for rebalanced strategies and demonstrates in theory and by simulation that the apparent advantages of rebalanced strategies over infinite horizons give an inaccurate impression of their performance over finite horizons. Copyright © 2016 John Wiley & Sons, Ltd.