TABLE 4
FROM:
An examination of alternative portfolio rebalancing strategies applied to sector funds
Stanley G Eakins and Stanley Stansell
BACK TO ARTICLETable 4. Gains to rebalancing with the internet sector eliminated
| All years | 1/95 to 1/96 | 1/96 to 1/97 | 1/97 to 1/98 | 1/98 to 1/99 | 1/99 to 1/00 | 1/00 to 1/01 | 1/01 to 10/5/01 | |
|---|---|---|---|---|---|---|---|---|
| Mean | 0.0112% | 0.07% | 0.03% | 0.06% | 0.03% | 0.04% | -0.04% | -0.15% |
| Std | 0.7024% | 0.7028% | 0.7752% | 1.0604% | 1.2784% | 1.0203% | 1.2475% | 1.2659% |
| CV | 62.77 | 10.44 | 22.94 | 17.98 | 48.02 | 27.66 | -31.89 | -8.23 |
| Min | -8.4318% | -5.5287% | -5.3404% | -7.5404% | -6.9160% | -4.3684% | -8.4318% | -6.0248% |
| Max | 5.0283% | 1.5409% | 1.7752% | 4.0819% | 4.5265% | 2.5754% | 5.0283% | 3.5109% |
| Num pos | 923 | 156 | 142 | 140 | 138 | 132 | 123 | 93 |
| Num neg | 782 | 96 | 112 | 113 | 114 | 121 | 130 | 96 |
| Avg annual | 1.39% | 17.74% | 10.60% | 14.44% | 4.77% | 8.35% | -11.20% | -26.37% |
| Annl. std | 11.20% | 11.16% | 12.35% | 16.87% | 20.29% | 16.23% | 19.84% | 17.40% |
| Gain w/Reb | -3.95% | -16.39% | 0.66% | -9.51% | -26.90% | -11.42% | 18.91% | 9.18% |
| Num of Reb | 7 |
