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: http://ssrn.com/abstract=2202736
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 http://timelyportfolio.github.io/rCharts_nardon_kiskiras/Industry_French_RebalPrem.html.
