Automated portfolio rebalancing : Automatic erosion of investment performance?




Faculty/Professorship: Finance  
Author(s): Horn, Matthias  ; Oehler, Andreas  
Publisher Information: Bamberg : Otto-Friedrich-Universität
Year of publication: 2022
Pages: 489–505
Source/Other editions: The journal of asset management : international quarterly journal for the financial community a major new, 21 (2021), 6, S. 489–505 - ISSN: 1470-8272
is version of: 10.1057/s41260-020-00183-0
Year of first publication: 2021
Language(s): English
Licence: Creative Commons - CC BY - Attribution 4.0 International 
URN: urn:nbn:de:bvb:473-irb-550940
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: 650 Management & public relations  
RVK Classification: QK 800   
Type: Article
URI: https://fis.uni-bamberg.de/handle/uniba/55094
Release Date: 13. October 2022

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