Kyle Wiggs / Writing / Portfolios & risk

Portfolios & risk

Rebalancing maintains risk, not returns

It is frequently sold as a free source of return. It is a maintenance operation, and describing it otherwise is a claim nobody can substantiate.

What it does

Returns the portfolio to its intended allocation after markets have moved it. Without it, a portfolio drifts toward whatever has risen most and ends up with a risk profile nobody chose.

That is the purpose. It is sufficient on its own.

The claim that gets overstated

That rebalancing systematically adds return by selling high and buying low.

Sometimes it does. In a period where one asset trends persistently upward, rebalancing away from it reduces return. Which happens depends on what markets did, which nobody knows in advance.

Whether rebalancing helped is only ever knowable afterwards, which means it is not a strategy.

The costs are certain

Trading costs, and in a taxable account, realised gains. Those are known and immediate, against a benefit that is uncertain and depends on future conditions.

That asymmetry is why the frequency question matters.

Calendar or threshold

Calendar rebalancing is simple to operate and easy to document. Threshold responds to what actually happened. Many firms use both.

Neither is correct in general.

The cheapest method

Cash flow. Directing contributions toward the underweight holding, or funding withdrawals from the overweight one, rebalances without a sale.

In a taxable account this is materially better than trading and it is frequently overlooked.

How to describe it to clients

As maintenance. We are returning the portfolio to the risk level we agreed, because markets have moved it away from that.

That is true, defensible, and does not create an expectation you cannot meet.