Monday, February 24, 2014

More on Rebalancing | With Data from Research Affiliates

While on the topic of rebalancing (see Unsolved Mysteries of Rebalancing), I thought it would be good to highlight another good research paper with some quick rCharts analysis.

Arnott, Robert D., et al.
The Surprising Alpha from Malkiel’s Monkey and Upside-Down Strategies
The Journal of Portfolio Management 39.4 (2013): 91-105.

I have embedded in an iframe below, but you might get a better experience by clicking through to this full page.

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