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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | Counter-cyclical investing in the SPI Rebalancing within and between your asset classes |
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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. |
Export | BibTeX |