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Automated portfolio rebalancing : Automatic erosion of investment performance?
Horn, Matthias; Oehler, Andreas (2021): Automated portfolio rebalancing : Automatic erosion of investment performance?, in: The journal of asset management : a major new, international quarterly journal for the financial community, Basingstoke: Palgrave Macmillan, Jg. 21, Nr. 6, S. 489–505, doi: 10.1057/s41260-020-00183-0.
Faculty/Chair:
Author:
Title of the Journal:
The journal of asset management : a major new, international quarterly journal for the financial community
ISSN:
1470-8272
1479-179X
Publisher Information:
Year of publication:
2021
Volume:
21
Issue:
6
Pages:
Language:
English
Abstract:
Robo-advisers enable investors to establish an automated rebalancing strategy for a portfolio usually consisting of stocks and bonds. Since households’ portfolios additionally include further frequently tradable assets like real estate funds, articles of great value and cash(-equivalents), we analyze whether households would benefit from a service that automatically rebalances a portfolio which additionally includes the latter assets. In contrast to previous studies, this paper relies on real-world household portfolios, which are derived from the German central bank’s (Deutsche Bundesbank) Panel on Household Finances (PHF)-Survey. We compute the portfolio performance increase/decrease that households would have achieved by employing rebalancing strategies instead of a buy-and-hold strategy in the period from September 2010 to July 2015 and analyze whether subsamples of households with certain sociodemographic and socioeconomic characteristics would have benefited more from portfolio rebalancing than other household subsamples. The empirical analysis shows that the analyzed German households would not have benefited from an automated rebalancing service and that no subgroup of households would have significantly outperformed another subgroup in the presence of rebalancing strategies.
GND Keywords: ;  ;  ;  ;  ; 
Portfoliomanagement
Rebalancierung
Festverzinsliches Wertpapier
Kapitalanlage
Ropoter
Künstliche Intelligenz
Keywords: ;  ;  ; 
Household finance
Robo-advisor
Portfolio rebalancing
Fixed-weight asset strategy
DDC Classification:
RVK Classification:
Peer Reviewed:
Yes:
International Distribution:
Yes:
Type:
Article
Activation date:
December 16, 2020
Versioning
Question on publication
Permalink
https://fis.uni-bamberg.de/handle/uniba/49144