Campbell Harvey and Alessandro Melone present: The unintended consequences of rebalancing

Tuesday 13 May 2025 | 17:00 - 18:00 | Webinar

Join us for an exclusive webinar with Campbell Harvey, Professor of Finance at Duke University, and Director of Research at Research Affiliates and Alessandro Melone, Assistant Professor at the Ohio State University, as we delve into their research on significant market impact and costs associated with institutional portfolio rebalancing practices institutional portfolio rebalancing. 

Institutional investors engage in trillions of dollars of portfolio rebalancing annually, often following calendar schedules or allocation targets. Campbell and Alessandro’s research shows that such rebalancing creates measurable market impact and predictable price patterns.  

When stocks become overweight, funds sell equity and buy bonds, decreasing equity returns by 17 basis points the following day. The study also estimates current rebalancing methodologies cost investors approximately $16 billion annually—or $200 per U.S. household. Moreover, these predictable patterns enable certain market participants to profit through front running. 

In this webinar you will: 

• Identify hidden costs in traditional rebalancing strategies and their impact on portfolio performance 

• Explore methods to minimize market impact while maintaining disciplined asset allocation 

• Develop innovative approaches to protect institutional portfolios from front-running activities. 

Don't miss this opportunity to enhance your understanding of portfolio management and discover strategies to optimise your investment approach.

The research paper is available here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5122748

Timings

Registration: 16:55 
Event: 17:00 - 18:00 

Speakers:

Campbell R. Harvey, Professor of Finance at Duke University and Director of Research at Research Affiliates
Campbell R. Harvey is a Professor of Finance at Duke University and Director of Research at Research Affiliates. He co-authored "DeFi and the Future of Finance" and "Strategic Risk Management."

Harvey is a research associate at the National Bureau of Economic Research and served as Editor of the Journal of Finance (2006-2012) and president of the American Finance Association in 2016. He has received multiple awards, including the Bernstein Fabozzi/Jacobs Levy Award and the James R. Vertin Award.

Harvey has published over 150 scholarly articles and is an Advisory Council Member of the Financial Analyst Journal. He holds a BA from Trinity College, University of Toronto, and a PhD from the Booth School of Business, University of Chicago. His dissertation linked yield curve inversions to recessions, accurately predicting the last eight recessions.

Alessandro Melone, Ph.D., Assistant Professor of Finance at The Ohio State University’s Fisher College of Business.
Alessandro Melone, Ph.D., is an Assistant Professor of Finance at The Ohio State University’s Fisher College of Business. His research focuses on empirical asset pricing, macro-finance, and investments. His work has received several awards and has been featured in major financial media outlets, including The Wall Street Journal, Bloomberg, and the Financial Times.

He earned his Ph.D. in Finance from the Vienna Graduate School of Finance.

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