Best practices for portfolio rebalancing - Vanguard（投资组合再平衡的最佳实践先锋）.pdfVIP

Best practices for portfolio rebalancing Vanguard research July 2010 Executive summary. The primary goal of a rebalancing strategy is to minimize risk relative to a target asset allocation, Authors rather than to maximize returns. A portfolio’s asset allocation Colleen M. Jaconetti, CPA, CFP® Francis M. Kinniry Jr., CFA is the major determinant of a portfolio’s risk-and-return Yan Zilbering characteristics.1 Yet, over time, asset classes produce different returns, so the portfolio’s asset allocation changes. Therefore, to recapture the portfolio’s original risk-and-return characteristics, the portfolio should 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. Our findings indicate that there is no optimal frequency or threshold when selecting a rebalancing strategy. This paper demonstrates that the risk-adjusted returns are not meaningfully different whether a portfolio is rebalanced monthly, quarterly, or annually; however, the number of 1 Assuming a well-diversified portfolio that engages in limited market-timing. Connect with Vanguard V (non-U.S. investors) rebalancing events and resulting costs (taxes, time, and labor) increase significantly. (For instance, monthly rebalancing with no threshold would require 1,008 rebalancing events, while annual rebalancing with a 10% threshold would require only 15 rebalancing events.) As a result, we conclude that for most broadly diversified stock and bond fund portfolios (assuming reasonable expectations regarding return patterns, aver