This extension of previous research by Morgan Stanley’s Martin Leibowitz and Anthony Bova provides an analysis of the relationships between rebalancing liquidity, portfolio flows, and diversification into illiquid assets.
A more efficient way to rebalance highly diversified multi-asset portfolios – which contain illiquid assets – could be to restrict the rebalancing to exchanges between US stocks and US bonds only, according to new analysis by Morgan Stanley.
The value of systematic rebalancing of portfolios to bring them back closer to strategic allocations has been questioned in new research by Morgan Stanley.
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