Small Rebalanced Portfolios Often Beat the Market over Long Horizons
研究发现，长期持有中定期再平衡的小型投资组合，因避免个股极端偏态导致的集中化，比大规模买入持有组合更分散、表现更好，风险厌恶投资者更偏好前者。
Abstract The distribution of long-run compound returns to portfolio strategies is greatly affected by periodic rebalancing. Over time, buy-and-hold portfolios gradually lose diversification as extreme long-run skewness in individual stock returns leads to increasingly concentrated holdings. For long investment horizons, small rebalanced portfolios holding only a fraction of all stocks therefore achieve better diversification than much larger marketwide buy-and-hold portfolios. Consequently, over long horizons, rebalanced portfolios tend to outperform buy-and-hold portfolios, and risk-averse investors prefer the former. Empirical results strongly support the theoretical predictions and add further evidence to the strong empirical performance of (small) equal-weighted portfolios. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.