The idea worth investigating
When equities outrun bonds, a fixed-allocation portfolio can be pushed away from its target. Harvey, Mazzoleni and Melone study the consequences of the trades needed to restore the balance.
The full analysis examines the study and the practical question behind it: Rebalancing creates a structural source of order flow. We examine the gap between predicting a trade and capturing its economics.
Includes a house adaptation; author findings and our results are assessed separately.
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- Our futures-pair and bond-proxy constructions
- Cost assumptions and the evaluation windows
- The measured evidence and our desk verdict
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