Performance of six sigma rebalancing for portfolios mixing polar investment styles

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Performance of six sigma rebalancing for portfolios mixing polar investment styles

Popis výsledku v původním jazyce

The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Bod&apos;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&amp;P 500 Index components in an attempt to track the S&amp;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.

Název v anglickém jazyce

Performance of six sigma rebalancing for portfolios mixing polar investment styles

Popis výsledku anglicky

The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Bod&apos;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&amp;P 500 Index components in an attempt to track the S&amp;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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

68

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

139-155

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85096491595