A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?

Jimmy E. Hilliard () and Jitka Hilliard ()
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Jimmy E. Hilliard: Auburn University, Auburn, AL 36849, USA
Jitka Hilliard: Auburn University, Auburn, AL 36849, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2015, vol. 18, issue 01, 1-18

Abstract: We examine buy and hold and a number of rebalancing strategies on a portfolio of indices that are tracked by ETFs. The indices include Barkley's treasuries and MSCI indices on emerging markets, Pacific and European markets, value funds, and growth funds. Portfolios are rebalanced using threshold schemes and compared with portfolios rebalanced using weights from different points on the Markowitz efficient frontier. We also examine portfolios that are rebalanced across monetary policy regimes. We find that portfolios rebalanced using Markowitz weights that allow for shifts in monetary policy regimes easily outperform both threshold rebalancing and buy and hold strategies.

Keywords: Rebalancing; buy and hold; Sharpe Ratio; geometric mean; ETFs; MSCI indices (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S021909151550006X

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