best practices for portfolio rebalancing - vanguard（投资组合再平衡的最佳实践u2014u2014先锋）.pdf

The buck stops here: Best practices for Vanguard money market funds portfolio rebalancing Vanguard Research November 2015 ® Yan Zilbering; Colleen M. Jaconetti, CPA, CFP ; Francis M. Kinniry Jr., CFA ■ The primary goal of a rebalancing strategy is to minimize risk relative to a target asset allocation, rather than to maximize returns. Over time, asset classes produce different returns that can change the portfolio’s asset allocation. To recapture the portfolio’s original risk-and-return characteristics, the portfolio should therefore be rebalanced. ■ In theory, investors select a rebalancing strategy that weighs their willingness to assume risk against expected returns net of the cost of rebalancing. Vanguard research has found that there is no optimal frequency or threshold for rebalancing, since risk-adjusted returns do not differ meaningfully from one rebalancing strategy to another. ■ As a result, we conclude that for most broadly diversified stock and bond fund portfolios (assuming reasonable expectations regarding return patterns, average returns, and risk), annual or semiannual monitoring, with rebalancing at 5% thresholds, is likely to produce a reasonable balance between risk control and cost minimization for most investors. Annual rebalancing is likely to be preferred when taxes or substantial time/costs are involved. Return data for Figures 2, 3, 5, 6, and 8 of this paper are based on the following stock and bond benchmarks, as applicable: Stocks are represented by the Standard Poor’s 90 from 1926 through March 3, 1957; the SP 500 Index from March 4, 1957, through 1969; the MSCI World Index from 1970 through 1987; the MSCI All Country (AC) World Index from 1988 through May 31, 1994; and the MSCI AC World IMI Index from June 1, 1994, through 2014. Bonds are repre