Sentences with phrase «testing rebalancing strategies»

In their August 2014 paper entitled «Testing Rebalancing Strategies for Stock - Bond Portfolios Across Different Asset Allocations», Hubert Dichtl, Wolfgang Drobetz and Martin Wambach investigate the net performance implications of different rebalancing approaches and different rebalancing frequencies on portfolios of stocks and government bonds with different weights and in different markets.

Not exact matches

To test economic value of findings, we examine a Dynamic Weighted strategy that modifies a benchmark 60 % allocation to SPDR S&P 500 (SPY) and 40 % allocation to iShares Barclays 7 - 10 Year Treasuries (IEF), rebalanced weekly, to 80 % SPY when T - note condition the prior week is Below Lower and 40 % SPY when Above Upper.

This was the only rebalancing strategy that I tested.

If we test a strategy that rebalances annually on January 1, we introduce look - ahead bias if we use the preceding year's annual results because they would not have been available on January 1 of this year.

Here's a chart from Empirical Finance comparing the back - tested returns to each strategy with a yearly rebalancing (click to enlarge):