Artikel
Enhanced portfolio performance using a momentum approach to annual rebalancing
After diversification, periodic portfolio rebalancing has become one of the most widely practiced methods for reducing portfolio risk and enhancing returns. Most of the rebalancing strategies found in the literature are generally regarded as contrarian approaches to rebalancing. A recent article proposed a rebalancing approach that incorporates a momentum approach to rebalancing. The momentum approach had a better risk adjusted return than either the traditional approach or a Buy-and-Hold approach. This article identifies an improvement to the momentum approach and then examines the impact of transactions costs and taxes on the portfolio performance of four active rebalancing approaches.
- Sprache
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Englisch
- Erschienen in
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-9 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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rebalancing
momentum
portfolio performance
asset allocation
- Ereignis
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Geistige Schöpfung
- (wer)
-
Mattei, Michael D.
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2018
- DOI
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doi:10.3390/ijfs6010015
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mattei, Michael D.
- MDPI
Entstanden
- 2018
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