Enhanced Portfolio Performance Using a Momentum Approach to Annual Rebalancing

Michael D. Mattei
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Michael D. Mattei: Rubel School of Business, Bellarmine University, 2001 Newburg Road, Louisville, KY 40205, USA

IJFS, 2018, vol. 6, issue 1, 1-9

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.

Keywords: rebalancing; momentum; portfolio performance; asset allocation (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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