"Systematic rebalancing" refers to a process of regularly adjusting or readjusting a portfolio's holdings to bring them back to their original desired allocation. This is done to maintain a certain level of risk and return and ensure that the portfolio remains aligned with the investor's goals.
Full definition
A move to
simple systematic rebalancing to fixed weights increases the value add by 0.14 % and 0.26 % relative to the buy - and - hold and average factor strategies, respectively.
In these markets with shorter histories, the benefit of sticking with the strategy with the best in - sample performance (i.e., low beta) offsets the return advantage
of systematic rebalancing.
The only way to guard against this outcome that I am aware of is diversification and
systematic rebalancing.
To increase their chance of success they focus on proper diversification,
systematic rebalancing, appropriate risk and reducing fees.
An asset allocation strategy that refers to
the systematic rebalancing, either by time period or weight, of the securities in the portfolio, so that they match the long - term benchmark asset mix among the various asset classes.
Systematic rebalancing is the closest analogue we have.»
Selling recent losers and buying recent winners is the antithesis of
the systematic rebalancing discipline through which smart beta strategies earn long - term excess returns.
Systematic Rebalancing: Allocate one - sixth of a portfolio to each of the six strategies and then rebalance back to a one - sixth allocation every quarter.
In addition, our findings indicate you should benefit from the highest return and value - add, highest Sharpe and information ratio, and lowest drawdown and shortest period of underperformance if you dynamically rebalance your diversified portfolio of smart betas.2 Multi-factor equity investing combined with either dynamic or
systematic rebalancing is a reliable strategy for outperforming the market without the burden of excessive volatility.
The extra value added from dynamic rebalancing relative to
systematic rebalancing is also substantial, rising from 2.45 % to 3.16 %.
For our US smart beta portfolios, we find that relative to
systematic rebalancing, dynamic rebalancing slightly increases volatility and tracking error, but lowers drawdowns and the duration of periods of underperformance.
Systematic rebalancing to fixed weights — reducing exposure to popular factors that have outperformed over recent years, while increasing exposure to the out - of - favor factors that have underperformed — in a portfolio of smart betas will likely improve performance relative to a buy - and - hold weighting.
Rebalance IRA is a pro-consumer retirement investment firm that offers lower costs, endowment - quality globally - diversified investment portfolios, and
systematic rebalancing.