RT Journal Article
SR Electronic
T1 Rebalancing Strategies for Creating Efficient Portfolios
JF The Journal of Investing
FD Institutional Investor Journals
SP 93
OP 103
DO 10.3905/joi.2008.707221
VO 17
IS 2
A1 Brian Boscaljon
A1 Greg Filbeck
A1 Chia-Cheng Ho
YR 2008
UL https://pm-research.com/content/17/2/93.abstract
AB This article applies an annual rebalancing strategy to create portfolios of industry leaders and compares the efficiency of these portfolios with the S&P 500 Index and the CRSP market index portfolios. For the last four decades, value-weighted portfolios consisting of as few as eight or nine securities formed from industry leaders are more efficient with annual rebalancing than the S&P 500 and are indistinguishable from the CRSP market index portfolio. The findings suggest important implications for choosing appropriate benchmarks for measuring tracking error.TOPICS: Equity portfolio management, portfolio construction, VAR and use of alternative risk measures of trading risk