Abstract: This study discusses about the effectiveness of rebalancing on the return and risk of stock portfolio from nine industrial sectors in Indonesia Stock Exchange in the period 2011-2015. When investor invest their funds, invest them in stock forms, by expecting investor could reduce their investement risks. By selecting of Markowitz investment model, resulted optimum portfolio that investor could use for rebalancing portfolio strategy. The asset allocation decision is part of a dynamic investment process, not a one-time act that can be performed and then forgotten. The financial services industry always voice out that portfolio rebalancing as a value-adding strategy. This study used monthly stock data from nine industrial sectors in Indonesia Stock Exchange. The result showed that rebalancing cuts out investment risks, but do not give rise maximum of returns. This also shown by result of wilcoxon signed rank test that there is a significant different risk between rebalancing strategy and non rebalancing strategy. The next obvious point of rebalancing is that the terminal account values of the combinations are higher than non-rebalancing strategy when market crisis (year 2015).