That seems to be a common view, but I haven’t yet been able to find any reason why that would be the case, except insofar as rebalancing frequency affects how leveraged you are. I discussed the topic a bit here. Maybe someone who knows more about the issue can correct me.
That seems to be a common view, but I haven’t yet been able to find any reason why that would be the case, except insofar as rebalancing frequency affects how leveraged you are. I discussed the topic a bit here. Maybe someone who knows more about the issue can correct me.