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Type	Bachelor's Thesis
Scope	Discipline-based scholarship
Title	Counter-cyclical investing in the SPI Rebalancing within and between your asset classes
Organization Unit	Quantitative Finance (Erich Walter Farkas)
Authors	Nicolas Schwartz
Supervisors	Erich Walter Farkas Patrick Matei Lucescu
Language	English
Institution	University of Zurich
Faculty	Faculty of Business, Economics and Informatics
Date	2022
Abstract Text	In this thesis we examine the performance of equal-weighted, size-weighted and value-weighted portfolios. In addition we test portfolios consisting of a value-weighted and a cash part. We find that the equal- and size-weighted portfolios outperform the value-weighted portfolio in terms of mean return, four-factor alpha and Sharpe Ratio. The best performance for every strategy was observed for the 13 week rebalancing frequency.
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