Can we make the permanent portfolio even better by rebalancing more frequently or by changing the rebalancing day?

Author(s)
Author(s)
Li, K. C.-K.
Date Issued
2018
Journal
Journal of Accounting and Finance
Volume
18
Issue
4
Start page
80
End page
86
Abstract
In this paper, we would investigate whether the performance of the permanent portfolio can be further improved by varying the frequency of rebalancing or by doing rebalancing on a non-month end day. The performance of the portfolio rebalanced on an annual basis was compared with rebalancing on a quarterly basis. The result was negative and the more frequent rebalancing would adversely affect the performance. Another factor we investigate was whether there would be advantage for rebalancing on the in the middle of the month, comparing with rebalancing at the end of the month. The result was again negative.
URI
DOI
SFU Affiliated Publication
No
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