The use of portfolio rebalancing as a profitable strategy (or “volatility harvesting”) is a hot topic. Indeed, it is interesting to know what the impact of periodic rebalancing is on the growth rate of a portfolio. Unfortunately, the terminology used in the literature is confusing. Terms...

The bottom-up route to portfolio diversification is clear: combining individual assets into a portfolio will lower portfolio risk. The top-down route of evaluating individual assets from the perspective of the diversified portfolio is widely applied in risk budgeting but neglected in return...

The Information Ratio IR is the conventional metric to gauge the ex post risk-adjusted performance of a market timing strategy. A deficiency of this metric is that it does not account for an average “long bias”, which can confound the timing ability of the evaluated strategy. In this paper,...