Performance of Six Sigma Rebalancing for Portfolios Mixing Polar Investment Styles

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Mária Kanderová¹  Martin Boďa² 

[1] Quantitative Methods and Information Systems Department, Faculty of Economics, Matej Bel University in Banská Bystrica, Národná 1, 974 01 Banská Bystrica, Slovak Republic;Department of Mathematics, Faculty of Natural Sciences, Ján Evangelista Purkyně University in Ústí nad Labem, Pasteurova 1, 400 96 Ústí nad Labem, Czech Republic;

关键词: rebalancing;    Six Sigma;    big and small caps;    growth and value stocks;    quadratic tracking;    performance;   

DOI  :  10.11118/actaun202068010139

来源: DOAJ

【 摘 要 】

The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Boďa and Roháčová 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.

【 授权许可】

Unknown