Technical analysis of ETF portfolio rebalancing strategy.

Portfolio rebalancing strategy is of great importance to minimize the risk taken so as to ensure profitable investments. Regular rebalancing keeps the portfolio developing as it was planned and achieved initial invest goals. The relevant literature of the technical analysis on rebalancing strategy is scarce. After elaborating the four traditional rebalancing strategies and a set of risk measurements, the thesis proposed the multiplier rebalancing strategy, which combines the traditional periodically rebalancing strategy with the interval rebalancing strategy, and Relative Strength Index (RSI) rebalancing strategy based on technical analysis. In order to evaluate the effectiveness of the multiplier and RSI rebalancing strategies, the thesis conducts an experiment to compare the performances of two proposed strategies with the other four traditional strategies in terms of the rewards and risk measurements by using nineteen years Canadian stock and bond Indices and Exchange Traded Funds data from 1983 to 2010. --Leaf ii.