Fewer Rebalances, Lower Costs? Target Dynamics and Portfolio Implementation

This working paper examines whether reducing rebalance frequency produces meaningful transaction-cost savings when portfolio targets change over time. It compares calendar rebalancing, threshold-to-target rebalancing, and trade-to-boundary implementation of a common long-only industry-momentum strategy. In the retrospective 2015–2025 evaluation, a 0.10 L1 threshold removes 48.5% of rebalance events but only 2.7% of normalized traded notional. At an assumed cost of 10 basis points per dollar traded, the target rule saves 1.36 basis points per year. Boundary trading saves 7.09 basis points per year but retains residual exposures and increases sleeve-level trade counts. Both primary active-return confidence intervals include zero. The analysis examines trade-size distributions, target replacement, residual holdings, industry-level return attribution, stress periods, annual threshold calibration, alternative implementation policies, convex cost sensitivity, and 30-industry portfolio constructions. These extensions are exploratory and were designed after inspection of the primary results. The study does not establish an optimal policy, executable alpha, or an untouched historical holdout. The accompanying files contain the paper, editable LaTeX source with vector figures, and a code-and-derived-results archive. Raw third-party return files are excluded. Official acquisition links, vintage information, and exact file hashes are provided; exact numerical reproduction requires matching source inputs. The original paper, figures, and documentation are licensed under CC BY 4.0. Original software is licensed under MIT. Third-party materials retain their own terms. This is a working paper, not a peer-reviewed publication.