The Impact of Rebalancing Strategies on ETF Portfolio Performance

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

The English language is adequate, yet there are some imprecisions with regards to the scientific jargon, such as "calculated" instead of "estimated" for the standard deviation (line 91), etc.

The sentence in line 101 is unclear: of course portfolio return does not depend only upon shares.

Line 136: I suggest to use the well known definition "Sharpe ratio" (see Basile, Ferrari, "Asset Management and Institutional Investors", Springer, 2016).

Lines 146-148: I do not agree with this interpretation, because the presence of the risk free rate makes the SR quite different from Markowitz's model. It belongs to CAPM, not MPT.

Line 220: Chopra and Ziemba (1993) have already pointed out this problem.

Line 236: replace with "Data and Methods".

Lines 245-256: provide the full name of each ETF.

Line 278: all ETFs are listed by definition.

Table 1: the column "Equation" is useless, given that only one equation is provived and therefore it should be placed in the body of text instead of in this table.

The empirical analysis and its comment are well made and clear.

Author Response

Dear Reviewer!
Thank you for the comments and suggestions for improvement! We agree and accept all correction suggestions! In the attached file, we give a brief answer to each improvement suggestion, and the improvements are marked in the study.

Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

Bottomline: I like the idea behind the paper but the presentation (i.e. explanation) needs improvement throughout the paper. 

The reference Schoenmaker and Schamade to refer to the compensation of systematic risk seems to be exotic. 

The research question is rather a bit vague statement. What exactly is the question to be answered?

The chapter 2 is in large parts rather general knowledge. Could be presented much more condensed.

Partly the layout is broken (e.g. line 228/229), please check more carefully.

Table 1, the col Equation is n/a most of time. A different presentation is to be preferred, therefore. 

I am not sure if the assumptions (parameters of simulation and rebalancing rules) are the main driver of the detected effect. Maybe you re check this with historical simulations. How can you exclude that transactions costs play a dominante rule in your findings?

Table 5 contains lots of information but little explanation. Maybe a graph is the better option?

Author Response

Dear Reviewer!
Thank you for the comments and suggestions for improvement! We agree and accept all correction suggestions! In the attached file, we give a brief answer to each improvement suggestion, and the improvements are marked in the study.

Author Response File: Author Response.pdf