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Practical Applications

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Practical Applications of Rebalancing and the Value Effect

Denis B. Chaves, Robert D. Arnott and Cathy Scott
Practical Applications Fall 2013, 1 (2) DOI: https://doi.org/10.3905/pa.2013.1.2.013
Denis B. Chaves
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Robert D. Arnott
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Cathy Scott
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Rebalancing and the Value Effect Denis B. Chaves Robert D. Arnott

Abstract

Why do value portfolios experience higher growth in dividends than growth portfolios? In this Practical Applications report, Denis B. Chaves and Robert D. Arnott of Research Affiliates , propose an answer.

In an interview, Chaves and Arnott describe the findings of their research, which was detailed in Rebalancing and the Value Effect . Published in the Summer 2012 issue of The Journal of Portfolio Management , the article explains that the rules for rebalancing the two types of portfolios lead to an increased growth rate for dividend income in value strategies and a sharply reduced growth rate for dividend income in growth portfolios.

Chaves says their research findings underscore the necessity for managers and investors to take an active approach to rebalancing to ensure that the exercise yields the intended results and doesn’t alter the portfolio’s desired characteristics.

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 1 (2)
Practical Applications
Vol. 1, Issue 2
Fall 2013
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Practical Applications of Rebalancing and the Value Effect
Denis B. Chaves, Robert D. Arnott
Practical Applications Oct 2013, 1 (2) DOI: 10.3905/pa.2013.1.2.013

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Practical Applications of Rebalancing and the Value Effect
Denis B. Chaves, Robert D. Arnott
Practical Applications Oct 2013, 1 (2) DOI: 10.3905/pa.2013.1.2.013
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