“For a portfolio with low volatility and wide thresholds, calendar rebalancing would result in more frequent trading”
Why is it the case?
“For a portfolio with low volatility and wide thresholds, calendar rebalancing would result in more frequent trading”
Why is it the case?
Because calendar rebalancing says that you rebalance on July 1 regardless of how far you’ve moved from your baseline allocation, whereas rebalancing based on wide thresholds would likely not rebalance simply because it’s July 1.