reasons of value / mean reversion, you are essentially betting that economic progress in the winning asset classes is stalling and that it should pick up in the poorer performers. So you are swapping your profits from the winners to buy assets in the poor performers. If they do so, you've had a 'free lunch', possibly the only one you can get in investing. If you rebalance for reason of momentum, you are betting that the asset class in question (e.g. USA (i.e. dollar-denominated foreign market) equities have had a 'good run' and this will now cease with the subsequent destruction of the profits you have gained by investing in and holding this asset class. So you rebalance into other asset classes thath you believe will now have their day