Blending small-cap growth and value stocks: effect upon a periodic and threshold rebalancing strategy

Martin Bo?a () and Mária Kanderová ()
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Martin Bo?a: Matej Bel University in Banská Bystrica, Faculty of Economics
Mária Kanderová: Matej Bel University in Banská Bystrica, Faculty of Economics
Authors registered in the RePEc Author Service: Martin Boďa

No 6910154, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: The paper is motivated by a preference of many investors for small caps and by the popularity of two prevalent investment styles, out of which one stresses investing into so-called growth stocks whereas the other emphasizes virtues of so-called value stocks. The paper investigates usefulness of periodic rebalancing strategies that are built on investing into small-cap stocks preserving growth and value stocks in some proportions. The usefulness of the proposed rebalancing strategies mixing small caps with growth and value oriented investment styles is evaluated by a case study oriented on the US stock market. Using historical data, several designs for portfolios tracking the S&P 500 Index are constructed out of its constituents and practical advice is drawn for a small investor.

Keywords: periodic rebalancing; threshold rebalancing; small-cap stocks; growth and value stocks; mixed investment style; performance; S&P 500 Index (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2018-10
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Published in Proceedings of the Proceedings of the 10th Economics & Finance Conference, Rome, Oct 2018, pages 79-91

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:6910154

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