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Int. J. Financial Stud. 2018, 6(1), 15; https://doi.org/10.3390/ijfs6010015

Enhanced Portfolio Performance Using a Momentum Approach to Annual Rebalancing

Rubel School of Business, Bellarmine University, 2001 Newburg Road, Louisville, KY 40205, USA
Received: 15 November 2017 / Revised: 19 January 2018 / Accepted: 23 January 2018 / Published: 1 February 2018
Full-Text   |   PDF [171 KB, uploaded 1 February 2018]

Abstract

After diversification, periodic portfolio rebalancing has become one of the most widely practiced methods for reducing portfolio risk and enhancing returns. Most of the rebalancing strategies found in the literature are generally regarded as contrarian approaches to rebalancing. A recent article proposed a rebalancing approach that incorporates a momentum approach to rebalancing. The momentum approach had a better risk adjusted return than either the traditional approach or a Buy-and-Hold approach. This article identifies an improvement to the momentum approach and then examines the impact of transactions costs and taxes on the portfolio performance of four active rebalancing approaches. View Full-Text
Keywords: rebalancing; momentum; portfolio performance; asset allocation rebalancing; momentum; portfolio performance; asset allocation
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Mattei, M.D. Enhanced Portfolio Performance Using a Momentum Approach to Annual Rebalancing. Int. J. Financial Stud. 2018, 6, 15.

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Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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