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- W2615087036 abstract "The aim of this study is on the one hand to contribute to more clarification about the so-called diversification return especially related to portfolio rebalancing. On the other hand, because of the inconclusive theoretical results, this paper wants to ascertain through empirical tests whether rebalancing a portfolio is likely to be beneficial or not for an equally weighted German stock portfolio. It is shown that diversification returns tend to rise with an increasing rebalancing frequency in all considered periods whereas the variance reduction benefit hardly changes. Not rebalancing has the highest impact on the buy and hold (B&H) portfolio in all periods. However, the rebalancing return defined as the difference between the average geometric return of a rebalanced portfolio and the B&H portfolio sometimes turns out to be positive and sometimes negative. This suggests that rebalancing in the periods considered in this analysis would not always have been reasonable. Removing those stocks from the portfolio that follow a long-term trend and therefore have relatively high or low final weights in the B&H portfolio, leads to a revised portfolio where the assets’ returns are more mean-reverting and which generates more positive rebalancing returns. However, mean-reverting returns are often associated with negative autocorrelations of returns, but autocorrelations over the whole period turn out not to be consistent for different time lags. Finally, the study shows no evidence that rebalancing generally leads to better risk adjusted performance or better portfolio diversification.JEL classification number: G11Keywords: portfolio rebalancing, diversification return, rebalancing return, buyand hold, autocorrelation, volatility return, diversification ratio." @default.
- W2615087036 created "2017-05-26" @default.
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- W2615087036 date "2017-01-01" @default.
- W2615087036 modified "2023-09-26" @default.
- W2615087036 title "Rebalancing and Diversification Return – Evidence from the German Stock Market" @default.
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