Abstract

http://ssrn.com/abstract=2202736
 
 

References (13)



 
 

Footnotes (6)



 


 



Portfolio Rebalancing: A Stable Source of Alpha?


John Kiskiras


Independent

Andrea Nardon


Independent

January 18, 2013


Abstract:     
In this work we verify that portfolio rebalancing can generate an excess return under certain market conditions. In line with existing measures, developed specifically to capture that alpha (Rebalancing Bonus), we show that high volatility as well as low correlation maximize the magnitude of the excess return. However, in contrast to previous works, we demonstrate that the actual driver and therefore sufficient condition for a Rebalancing Bonus is the presence of relative mean-reversion. All results in the present note are supported via numerical simulations and a case study on global equities.

Number of Pages in PDF File: 13

Keywords: rebalancing bonus, mean-reversion, portfolio rebalancing

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Date posted: January 23, 2013  

Suggested Citation

Kiskiras, John and Nardon, Andrea, Portfolio Rebalancing: A Stable Source of Alpha? (January 18, 2013). Available at SSRN: http://ssrn.com/abstract=2202736 or http://dx.doi.org/10.2139/ssrn.2202736

Contact Information

John Kiskiras
Independent ( email )
No Address Available
United States
Andrea Nardon (Contact Author)
Independent ( email )
No Address Available
United States
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References:  13
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