Rebalancing strategies and the performance of balanced portfolios: 1925–2001

Investment Analysts Journal

Volumn 32, Issue 58, 2003, Pages 17-28

  Firer, C ^a   Peagam, J ^a   Brunyee, W ^a  

^a UNIVERSITY OF CAPE TOWN   (South Africa)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33846546546     PISSN: 10293523     EISSN: 20770227     Source Type: Journal    
DOI: 10.1080/10293523.2003.11082450     Document Type: Note

References (13)

1. Arnott RD, and Lovell RM., 1993. Rebalancing: Why? When? How often?. Journal of Investing, 2(1):5–10.
2. Blake D, Lehmann BN, and Timmermann A., 1999. Asset allocation and pension fund performance. Journal of Business, 72:429–461.
3. Brinson G, Hood LR, and Beebower GL., 1986. Determinants of portfolio performance. Financial Analysts Journal, July-August:39–44.
4. Brinson G, Singer BD, and Beebower GL., 1991. Determinants of portfolio performance II: an update. Financial Analysts Journal, May-June:40–48.
5. Chan WKN., 1998. Rebalancing requires a delicate touch. Pensions and Investments, 26(5):41–42.
6. Firer C, and McLeod H., 1999. Equities, bonds, cash and inflation: historical performance in South Africa 1925 to 1998. Investment Analysts Journal, 50:7–28.
7. Firer C, Sandler M, and Ward M., 1992. Market timing: a worthwhile strategy? Omega, 20(3):313–322.
8. Goodsall B, and Plaxco L., 1996. Tactical rebalancing. Investment Reflections. First Quadrant Corporation, London. URL: http://www.firstquadrant.com/Publications-Rebalancing.htm.
9. Ibbotson Associates 2002. Stocks, bonds, bills and inflation: 2002 yearbook. Chicago: Ibbotson Associates.
10. Perold AF, and Sharpe WF., 1988. Dynamic strategies for asset allocation. Financial Analysts Journal, January-February: 16–27.
11. Sharpe WF., 1992. Asset allocation: management style and performance measurement. Journal of Portfolio Management: Winter, 7–19.
12. Waksman G, Sandler M, Ward M, and Firer C., 1997. Market timing on the Johannesburg Stock Exchange using derivative instruments. Omega, 25(1):81–91.
13. Wise AJ., 1993. The investment return from a constantly rebalanced mix. 3rd AFIR International Colloquium, Rome, 30 March—2 April 1993.