Performance of six sigma rebalancing for portfolios mixing polar investment styles

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F44555601%3A13440%2F20%3A43895705" target="_blank" >RIV/44555601:13440/20:43895705 - isvavai.cz</a>
Result on the web
<a href="https://acta.mendelu.cz/68/1/0139/" target="_blank" >https://acta.mendelu.cz/68/1/0139/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun202068010139" target="_blank" >10.11118/actaun202068010139</a>

Result language
angličtina
Original language name
Performance of six sigma rebalancing for portfolios mixing polar investment styles
Original language description
The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Bod'a and Rohácová and is based on ideas borrowed from the managerial concept Six Sigma. Centring upon a small investor who is willing to invest into S&P 500 Index components in an attempt to track the S&P 500 Index, the paper compares the performance of different rebalancing strategies for four different sets of monthly data ranging from 2011 to 2017. Rebalancing is undertaken on a monthly basis and tracking portfolios are diversified by investing in proportions into stocks belonging to investment styles defined by size (big/small caps) and market-to-book ratio (growth/value stocks). The results show that the Six Sigma rebalancing strategy is superior in a transaction-cost-free environment, but when transaction costs are accounted for, it is dominated by the buy-and hold strategy and a liberal threshold rebalancing strategy. Overall, periodic rebalancing fares unsatisfactorily with respect to criteria adopted for performance assessment.
Czech name
—
Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
10103 - Statistics and probability

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
—
Volume of the periodical
68
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
17
Pages from-to
139-155
UT code for WoS article
—
EID of the result in the Scopus database
2-s2.0-85096491595

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