TABLE 3
FROM:
An examination of alternative portfolio rebalancing strategies applied to sector funds
Stanley G Eakins and Stanley Stansell
BACK TO ARTICLETable 3. Summary of all years
| Rebalance trigger | 5% | 5.50% | 6% | 7% | 8% | 9% | 10% | 11% |
|---|---|---|---|---|---|---|---|---|
| Mean | 0.03% | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
| Std | 0.57% | 0.57% | 0.56% | 0.57% | 0.58% | 0.59% | 0.62% | 0.62% |
| CV | 16.36 | 16.11 | 15.68 | 15.36 | 14.93 | 14.31 | 14.95 | 16.47 |
| Min | -7.97% | -7.95% | -7.95% | -8.09% | -7.99% | -8.04% | -7.83% | -7.80% |
| Max | 5.03% | 5.03% | 5.01% | 4.99% | 4.99% | 4.99% | 4.98% | 4.82% |
| Num pos | 927 | 925 | 925 | 937 | 925 | 934 | 923 | 920 |
| Num neg | 779 | 780 | 780 | 768 | 780 | 771 | 782 | 785 |
| Avg annual | 7.575% | 7.695% | 7.884% | 8.314% | 8.774% | 9.519% | 9.548% | 8.442% |
| Annl. std | 9.056% | 9.022% | 8.921% | 9.094% | 9.211% | 9.423% | 9.902% | 9.902% |
| Gain w/Reb | 1.732% | 1.852% | 2.042% | 2.471% | 2.932% | 3.676% | 3.706% | 2.600% |
| Num of Reb | 1,707 | 456 | 75 | 20 | 9 | 7 | 3 | 2 |
