摘要翻译：
多样化回报是资产再平衡组合所获得的增量回报。再平衡投资组合的多样化回报往往被错误地归因于方差的减少。我们认为，多样化回报的根本来源是再平衡，这迫使投资者出售相对价值升值的资产，购买相对价值下降的资产，以其在投资组合中的权重衡量。相比之下，买入并持有投资组合的增量回报是由这样一个事实驱动的，即表现最好的资产在投资组合中的比例更大。我们利用这些结果解决了与商品期货Gorton和Rouwenhorst指数相关的两个难题，从而获得了对该指数收益来源的清晰认识。多样化回报可能是任何波动资产再平衡投资组合的重要回报来源。
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英文标题：
《Diversification Return, Portfolio Rebalancing, and the Commodity Return
  Puzzle》
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作者：
Scott Willenbrock (University of Illinois at Urbana-Champaign)
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to sell assets that have appreciated in relative value and buy assets that have declined in relative value, as measured by their weights in the portfolio. In contrast, the incremental return of a buy-and-hold portfolio is driven by the fact that the assets that perform the best become a greater fraction of the portfolio. We use these results to resolve two puzzles associated with the Gorton and Rouwenhorst index of commodity futures, and thereby obtain a clear understanding of the source of the return of that index. Diversification return can be a significant source of return for any rebalanced portfolio of volatile assets.
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PDF链接：
https://arxiv.org/pdf/1109.1256