Friday, February 21, 2014

Unsolved Mysteries of Rebalancing

There is a lot not yet fully understood about rebalancing in portfolio management.  This 2013 paper from Nardon and Kiskiras is the best I have read yet.

Kiskiras, John and Nardon, Andrea
Portfolio Rebalancing: A Stable Source of Alpha
January 18, 2013
Available at SSRN:

I wanted to share both a summary and extension of the article that I assembled in R with rCharts and slidify.  I embedded it below, but it will look much better if you follow this link


  1. Nice post. Do you have experience with the permanent portfolio approach? If yes, what do you think? There rebalancing is trivial and clearly beneficial.

  2. I have only quickly looked at the permanent portfolio. If I remember correctly, this might summarize my thoughts Thanks so much for reading. Let me know if I have this all wrong. I am always eager to learn.