This research investigates how the frequency of portfolio rebalancing affects the risk and return of an investor’s portfolio.  Portfolio rebalancing refers to reallocation between asset classes to match the targeted portfolio allocations.  Increases or decreases in asset values over time will cause actual asset holdings to differ from targeted allocations.  Popular portfolio allocations will be simulated using U.S. data on asset class returns, such as stocks and bonds, over the time period from 1926-2009.  For each portfolio, a sensitivity analysis will be conducted to determine how risk and return are affected by different rebalancing frequencies.  One, two, three, four and five year rebalancing frequencies will be used.  For each portfolio and rebalancing period, the average return, standard deviation of return (which measures risk) and Sharpe Ratio (the standard risk-return statistic) will be calculated.  The optimal rebalancing period will be the one that maximizes the Sharpe Ratio.  Additionally, these portfolios and sensitivity analyses will be constructed for multiple time frames within the range of 1926-2009.  Using information from multiple time frames can help assess whether the optimal rebalancing period is consistent, and account for differences in returns on different assets during different time periods.  Knowing whether there is an optimal time frame to rebalance a portfolio is important for portfolio management decisions because it is a variable that managers of portfolios must consider.