Acta Univ. Agric. Silvic. Mendelianae Brun. 2020, 68, 139-155
Published online 2020-02-27

Performance of Six Sigma Rebalancing for Portfolios Mixing Polar Investment Styles

Martin Boďa1,2, Mária Kanderová2

1Department of Mathematics, Faculty of Natural Sciences, Ján Evangelista Purkyně University in Ústí nad Labem, Pasteurova 1, 400 96 Ústí nad Labem, Czech Republic
2Quantitative Methods and Information Systems Department, Faculty of Economics, Matej Bel University in Banská Bystrica, Národná 1, 974 01 Banská Bystrica, Slovak Republic

Received June 3, 2019
Accepted December 2, 2019

The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Boďa and Roháčová and is based on ideas borrowed from the managerial concept Six Sigma. Centring upon a small investor who is willing to invest into S&P 500 Index components in an attempt to track the S&P 500 Index, the paper compares the performance of different rebalancing strategies for four different sets of monthly data ranging from 2011 to 2017. Rebalancing is undertaken on a monthly basis and tracking portfolios are diversified by investing in proportions into stocks belonging to investment styles defined by size (big/small caps) and market-to-book ratio (growth/value stocks). The results show that the Six Sigma rebalancing strategy is superior in a transaction-cost-free environment, but when transaction costs are accounted for, it is dominated by the buy-and hold strategy and a liberal threshold rebalancing strategy. Overall, periodic rebalancing fares unsatisfactorily with respect to criteria adopted for performance assessment.


The research presented in the paper arose in fulfilment of the grant scheme of VEGA [# 1/0554/16].


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