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            <funder>The project that led to this publication has received funding from the French government under the “France 2030” investment plan managed by the French National Research Agency (reference: ANR-17-EURE-0020) and from the Excellence Initiative of Aix-Marseille University - A*MIDEX. This research was performed as part of a  research program titled "Risk Management, Investment Strategies and Financial Stability" under the aegis of the Europlace Institute of Finance, a joint initiative with insti7. The usual disclaimers apply.</funder>
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              <p>In this paper, we examine rebalancing strategies for long-term institutional investors. Specifically, we test the difference in risk-adjusted performances between stock-bond portfolios based on buy-and-hold, periodic and threshold rebalancing strategies. Using the Norwegian Sovereign Wealth Fund (SWF) as a benchmark and an econometric approach based on a bootstrap test of Sharpe ratios difference, we show that the optimal rebalancing differs across economic and financial cycles. Furthermore, we find that the optimal strategy is periodic rebalancing except during recessions and crises when the buy-and-hold approach is best, thus calling into question the hypothesis of the countercyclical behavior of SWFs. Our results are robust to alternative performance measures, asset allocations, investment horizons, rebalancing rule, nonnormal and non-iid returns, transaction costs and time sampling. Finally, our findings promote the consideration of macroprudential rules to improve the Santiago Principles and a specific monitoring framework targeted at SWFs.</p>
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