Horn, M., Oehler, A., 2020, Automated Portfolio Rebalancing: Automatic Erosion of Investment Performance?, Journal of Asset Management 21(6), 489-505.
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 realworld 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.
Keywords
Household finance · Robo-advisor · Portfolio rebalancing · Fixed-weight asset strategy
JEL Classifications
D14 · G11 · G23 · G41
Zuvor:
Horn, M., Oehler, A., 2020, Automated Portfolio Rebalancing: Automatic Erosion of Invest-ment Performance?; 82. Wissenschaftliche Jahrestagung des Verbandes der Hochschullehrer für Betriebswirtschaft, März 17-20.
Horn, M., Oehler, A., 2019, Automated Portfolio Rebalancing: Automatic Erosion of Invest-ment Performance?; 88th International Atlantic Economic Conference, October 17-20; 2019 Annual Meeting Academy of Financial Services, October 15-16; EURO 2019, 30th European Conference on Operational Research, June 23-26; 2019 FMA European Conference, June 12-14.
