Maximizing ETF portfolio returns: the efficacy of the hall of fame evolutionary algorithm in dynamic rebalancing/ Maximizando os Retornos de Portfolios de ETFs: a eficacia do algoritmo evolutivo hall of fame em rebalanceamento dinamico

The study investigated the complex issue of investment portfolio rebalancing, a problem without an analytical solution. Periodic rebalancing of portfolios, while exposing investors to operational risks, incurs significant transaction costs. To address these challenges, the study employed the 'H...

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Bibliographic Details
Published in:GeSec : Revista de Gestão e Secretariado 2024-01, Vol.15 (1), p.1490
Main Authors: de Melo, Francisco Santos, Jr, da Silva, Pedro Aleixo Esteves, da Silva, Allan Jonathan
Format: Article
Language:Portuguese
Subjects:
Algorithms
Exchange-traded funds
Investment analysis
Museums
Online Access:Get full text
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Summary:The study investigated the complex issue of investment portfolio rebalancing, a problem without an analytical solution. Periodic rebalancing of portfolios, while exposing investors to operational risks, incurs significant transaction costs. To address these challenges, the study employed the 'Hall of Fame' evolutionary algorithm aimed at maximizing return over risk in the periodic rebalancing of an ETF portfolio. Using real data, results showed that the portfolio undergoing the rebalancing process achieved a higher return in the analyzed period compared to the static portfolio, which was not rebalanced. The study demonstrates the effectiveness of the 'Hall of Fame' evolutionary algorithm in optimizing portfolio rebalancing in a dynamic and uncertain market context. Keywords: Portfolio Rebalancing. ETFs. Hall of Fame Algorithm. Investment Optimization. O estudo investigou o complexo problema do rebalanceamento de portfolios de investimento, uma questao sem solucao analitica. Rebalancear portfolios periodicamente, alem de expor o investidor a riscos operacionais, acarreta em custos de transacao significativos. Para enfrentar esses desafios, o estudo empregou o algoritmo de evolucao "Hall of Fame" objetivando maximizar o retorno sobre o risco no rebalanceamento periodico de uma carteira de ETFs. Utilizando dados reais, os resultados mostraram que o portfolio que passou pelo processo de rebalanceamento obteve um retorno superior no periodo analisado em comparacao ao portfolio estatico, que nao foi rebalanceado no periodo. O estudo demostra que o algoritmo de evolucao "Hall of Fame" e eficaz na otimizacao do rebalanceamento de portfolios em um contexto de mercado dinamico e incerto. Palavras-chave: Rebalanceamento de Portfolio. ETFs. Algoritmo Hall of Fame. Otimizacao de Investimentos.
ISSN:2178-9010
2178-9010
DOI:10.7769/gesec.v15i1.3432