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

Author

Listed:
  • Jimmy E. Hilliard

    (Auburn University, Auburn, AL 36849, USA)

  • Jitka Hilliard

    (Auburn University, Auburn, AL 36849, USA)

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.

Suggested Citation

  • Jimmy E. Hilliard & Jitka Hilliard, 2015. "A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-18.
    • Handle: RePEc:wsi:rpbfmp:v:18:y:2015:i:01:n:s021909151550006x
    DOI: 10.1142/S021909151550006X
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    Citations

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    Cited by:

    1. Imran Hussain Shah & Ahmad Hassan Ahmad, 2017. "How important is the financial sector to price indices in an inflation targeting regime? An empirical analysis of the UK and the US," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1063-1082, May.
    2. Patrick Bielstein & Matthias X. Hanauer, 2019. "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 815-840, April.

    More about this item

    Keywords

    Rebalancing; buy and hold; Sharpe Ratio; geometric mean; ETFs; MSCI indices;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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