TABLE 5
FROM:
An examination of alternative portfolio rebalancing strategies applied to sector funds
Stanley G Eakins and Stanley Stansell
BACK TO ARTICLETable 5. Portfolio summary statistics for sector funds beginning in 1992 with various rebalancing strategies — sectors are banking, consumer products, energy and leisure
| No rebalancing | 29% trigger | Daily | Monthly | Quarterly | Semi-annual | Annual | |
|---|---|---|---|---|---|---|---|
| Mean | 0.0469% | 0.0489% | 0.0487% | 0.0483% | 0.0456% | 0.0450% | 0.0443% |
| Std | 0.9145% | 0.8783% | 0.8801% | 0.8786% | 0.8927% | 0.9018% | 0.8989% |
| CV | 127.4111% | 115.8895% | 116.5161% | 117.6056% | 127.9855% | 131.4553% | 133.4810% |
| Min | -6.3576% | -6.3235% | -6.2946% | -6.2982% | -6.2995% | -6.3226% | -6.3214% |
| Max | 5.6021% | 5.4441% | 5.3588% | 5.3825% | 5.2509% | 5.2364% | 5.2335% |
| Num pos | 1290 | 1301 | 1297 | 1294 | 1293 | 1296 | 1298 |
| Num neg | 1115 | 1106 | 1111 | 1114 | 1115 | 1112 | 1109 |
| Avg annualised return | 11.42% | 12.05% | 12.02% | 11.88% | 11.09% | 10.91% | 10.71% |
| Annl. std | 14.545% | 13.970% | 14.000% | 13.975% | 14.199% | 14.344% | 14.299% |
| Annual Gain from rebalancing | 0 | 0.6382% | 0.5990% | 0.4671% | -0.3217% | -0.5046% | -0.7041% |
| Number of rebalancing instances | 0 | 12 | 2408 | 114 | 38 | 19 | 9 |
