[kqr]

Constant fraction rebalanced beats buy and hold in the long run[1], under a wide variety of market conditions, including adversarial ones. The difficulty lies in finding (a) what fractions are appropriate for the assets you want to invest in, and (b) the appropriate rate of rebalancing, accounting for transaction costs.

[1]: I don't have citations at hand, but the papers are reproduced (among many other interesting ones!) in Theory and Practise of the Kelly Capital Growth Investment Criterion.