Rebalancing strategy analysis on three types of stock portfolios (LQ45, construction, and consumption) in Indonesia for the 2006–2015 period

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.