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Empirical study of portfolio rebalancing strategies in the Chinese ETF market

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  • Yu, Fuxiang
  • Wang, Yingying

Abstract

This paper examines 24,183 two-fund portfolios in China from January 2015 to May 2025 to study the return patterns of periodic rebalancing strategies and identify their key determinants of performance. Using a grouped statistical approach, the analysis explores two dimensions: rebalancing frequency (measured by the rebalancing interval in trading days) and cross-asset correlation. We define annualized excess return as the difference between the annualized return of a periodically rebalanced strategy and the annualized return of a buy-and-hold benchmark that holds the same fund pair without rebalancing over the same horizon.

Suggested Citation

  • Yu, Fuxiang & Wang, Yingying, 2026. "Empirical study of portfolio rebalancing strategies in the Chinese ETF market," Finance Research Letters, Elsevier, vol. 102(C).
    • Handle: RePEc:eee:finlet:v:102:y:2026:i:c:s1544612326006471
    DOI: 10.1016/j.frl.2026.110119
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