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: 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.

2 comments:

  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.

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  2. I have only quickly looked at the permanent portfolio. If I remember correctly, this might summarize my thoughts http://timelyportfolio.blogspot.com/2012/09/obviousness-of-reits.html. Thanks so much for reading. Let me know if I have this all wrong. I am always eager to learn.

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