Optimal rebalancing methods for multi-asset portfolios that are Regulation 28 compliant

By Phillip Mashele, Marcelle Pretorius and Chris Kloppers
Phillip Mashele

Optimal rebalancing of multi-asset portfolios is investigated. These portfolios are compliant with Regulation 28 of the Pensions Fund Act of South Africa.  The objective of the study is to identify different rebalancing strategies from the literature and then to identify the optimal rebalancing method during various types of market environments. Simulated as well as historical return data are considered. The aim of the simulation approach is to compare the annualised return distributions of the various rebalancing strategies. The effect of transaction costs is also considered.

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