FYI: Rebalancing is an essential piece of the portfolio management process. It allows us to evaluate new information and align the portfolio with our target allocations. The frequency of rebalancing is generally well informed. It reflects several critical factors, including alpha decay, transaction costs,and taxes. However, when the portfolio rebalances often goes overlooked.As demonstrated in [1, 2, 3], this can have a profound impacton realized performance. The dispersion in outcomes across portfolios using identicals trategies but rebalanced on different dates is the result of path dependency. For our application, we call it rebalancing luck
Regards,
Ted
https://docs.wixstatic.com/ugd/7c4c63_735bc38a987340cc8db85691a41dbfe4.pdf
