ABSTRACT
This study aims to analyse the rebalancing strategy towards three types of stock portfolios (i.e. LQ45 index, Property, Housing, and Construction sectoral index, and Consumption sectoral index) over a ten-year period. This study used a simulation approach to compare the performance between rebalanced portfolios and non-rebalanced portfolios. It is found that the rebalanced portfolio resulted in a lower risk in the 2008 crisis and in 2013, as well as higher investment returns, than the non-rebalanced portfolio during the investment period of ten years. However, it is found that statistical testing concludes that there is no significant difference between the results of the non-rebalanced and the rebalanced portfolio. Further, it is also found that rebalancing strategy is more suitable for a progressive industry rather than a defensive industry. This simulation study also involves the transaction cost variable.
