Ideas & Insights Our Advisors Our Teams Resources White Papers eBook Market Statistics Model Portfolios Important Documents Recommended Readings Calculators What We Do Who We Are Our Story Our Board Members Management Team Governance & Internal Controls Compliance Safe-Keeping your Assets World Class Partners Research Department Perspective Newsletter Careers Contact Us Personal Wealth A Rebalancing Act – Estimating the Value Added through Portfolio Rebalancing Download this Document Published: 2015-10-20 We compare the return and volatility of a Canadian portfolio under a no-rebalancing scenario and ten naive rebalancing strategies, over 35 years (1980-2014) of capital market history. All rebalanced portfolios produce higher returns and lower volatilities than does the non-rebalanced one. Computing the in-sample results for the 1980-1991, 1992-2003 and 2004-2014 sub-periods arrives at the same conclusion. Finally, we test the same ten rebalancing strategies (out of sample) from the perspective of a U.S., a U.K. and a Japanese portfolio. We find that 29 of the 30 naively rebalanced portfolios outperform their non-rebalanced counterpart. We estimate that, from a Canadian perspective, rebalancing adds 0.57% to risk-adjusted returns before costs, and 0.41% net of transaction and tax costs. Download this Document Contributors Raymond Kerzérho ,CFA, Director of Research Author Raymond contributes to PWL with his thirty years of experience in investment strategy and fixed income portfolio management. Related White Papers Evidence Based Investing Five Factor Investing with ETFs Published: December 23, 2020 Evidence Based Investing The Value Premium: Fact or Fantasy? Published: November 24, 2020 Evidence Based Investing Dollar Cost Averaging vs. Lump Sum Investing Published: June 23, 2020 View All White Papers IIROC AdvisorReport Ideas & Insights Our Advisors Our Teams Resources All Resources White Papers eBook Market Statistics Important Documents Model Portfolios Recommended Readings Calculators Checklists What We Do Who We Are Our Story Our Board Members Management Team Governance & Internal Controls Compliance World Class Partners Research Department Contact Us Client Login PWL Wealth Centrenew My Portfolio + FR
Raymond Kerzérho ,CFA, Director of Research Author Raymond contributes to PWL with his thirty years of experience in investment strategy and fixed income portfolio management.