Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/289195 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 21 [Issue:] 6 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2020 [Pages:] 489-505
Publisher: 
Palgrave Macmillan UK, London
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 real-world 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.
Subjects: 
Household finance
Robo-advisor
Portfolio rebalancing
Fixed-weight asset strategy
JEL: 
D14
G11
G23
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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