Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies

Link:
Autor/in:
Erscheinungsjahr:
2014
Medientyp:
Text
Schlagworte:
  • Portfolio
  • Portfolio optimization
  • Variance portfolio
  • Models
  • Risks
  • Finance
  • Rebalancing
  • Stock-bond portfolio
  • Bootstrap
  • Statistical inference
  • Portfolio
  • Portfolio optimization
  • Variance portfolio
  • Models
  • Risks
  • Finance
Beschreibung:
  • This study compares the performance of different rebalancing strategies under realistic market conditions by reporting statistical significance levels. Our analysis is based on historical data from the United States, the United Kingdom, and Germany and comprises three different classes of rebalancing (periodic, threshold, and range rebalancing). Despite cross-country differences, our history-based simulation results show that all rebalancing strategies outperform a buy-and-hold strategy in terms of Sharpe ratios, Sortino ratios, and Omega measures. The differences in risk-adjusted performance are not only statistically significant, but also economically relevant. However, the choice of a particular rebalancing strategy is of only minor economic importance. © 2014 Swiss Society for Financial Market Research.
Lizenz:
  • info:eu-repo/semantics/restrictedAccess
Quellsystem:
Forschungsinformationssystem der UHH
Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/db0215b5-4581-4333-8d93-83843bf0898e