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Threshold rebalancing

Returning to target weights only once a class has left its allowed band: the trigger is the size of the drift, not the arrival of a date.

How to read the number

It caps the deviation rather than the time between trades: the portfolio cannot wander further from plan than the band allows, however long a rally lasts.

When the metric lies

On a choppy market the band is breached often, and costs plus the tax event from each review eat the gain from precision. Band width is a trade-off, not a setting where narrower is better.

Also known as: tolerance band rebalancing

Related terms