While on the topic of rebalancing (see Unsolved Mysteries of Rebalancing), I thought it would be good to highlight another good research paper with some quick rCharts analysis.
Arnott, Robert D., et al.
The Surprising Alpha from Malkiel’s Monkey and Upside-Down Strategies
The Journal of Portfolio Management 39.4 (2013): 91-105.
I have embedded in an iframe below, but you might get a better experience by clicking through to this full page.