Analysis of Fixed and Biased Asset Allocation Rebalancing Strategies

Document Type


Publication Title

Managerial Finance

Publication Date



W. Fielding Rubel School of Business


Department of Business Administration


Over the years a number of tactical, dynamic and strategic approaches for asset allocation have been developed to improve the objectivity of portfolio management. One of the most popular approaches is to annually rebalance a portfolio of six to ten assets classes back to an equal or fixed percentage. Most researchers agree that this is essentially a contrarian strategy. The purpose of this paper is to develop and evaluate an asset allocation methodology using a biasing factor that can implement a momentum strategy for investors who might prefer momentum investing.