The distribution of long-run compound returns to portfolio strategies is greatly affected by periodic rebalancing. Over time, buy-and-hold portfolios gradually lose diversification as extreme long-run skewness in individual stock returns leads to increasingly concentrated holdings. For long investment horizons, small rebalanced portfolios holding only a fraction of all stocks therefore achieve better diversification than much larger marketwide buy-and-hold portfolios. Consequently, over long horizons, rebalanced portfolios tend to outperform buy-and-hold portfolios, and risk-averse investors prefer the former. Empirical results strongly support the theoretical predictions and add further evidence to the strong empirical performance of (small) equal-weighted portfolios.

中文翻译：

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小型再平衡投资组合通常会长期跑赢市场

投资组合策略的长期复合收益分布在很大程度上受到周期性再平衡的影响。随着时间的推移，买入并持有的投资组合逐渐失去多元化，因为个股回报的极端长期偏度导致持股越来越集中。因此，对于长期投资而言，仅持有所有股票的一小部分的小型再平衡投资组合比更大的市场买入并持有投资组合实现更好的多元化。因此，从长远来看，重新平衡的投资组合往往优于买入并持有的投资组合，而规避风险的投资者更喜欢前者。实证结果有力地支持了理论预测，并为（小）等权重投资组合的强大实证表现提供了进一步的证据。