id sid tid token lemma pos issue-123 1 1 baltic baltic PROPN issue-123 1 2 journal journal PROPN issue-123 1 3 of of ADP issue-123 1 4 economic economic ADJ issue-123 1 5 studies study NOUN issue-123 1 6 127 127 NUM issue-123 1 7 vol vol NOUN issue-123 1 8 . . PROPN issue-123 2 1 2 2 NUM issue-123 2 2 , , PUNCT issue-123 2 3 no no INTJ issue-123 2 4 . . NOUN issue-123 2 5 3 3 NUM issue-123 2 6 , , PUNCT issue-123 2 7 2016 2016 NUM issue-123 2 8 corresponding correspond VERB issue-123 2 9 author author NOUN issue-123 2 10 : : PUNCT issue-123 2 11 1 1 NUM issue-123 2 12 international international ADJ issue-123 2 13 marketing marketing NOUN issue-123 2 14 manager manager NOUN issue-123 2 15 , , PUNCT issue-123 2 16 global global ADJ issue-123 2 17 spirits spirit NOUN issue-123 2 18 . . PUNCT issue-123 3 1 email email NOUN issue-123 3 2 : : PUNCT issue-123 3 3 val.khokhlov@gmail.com val.khokhlov@gmail.com PROPN issue-123 3 4 perold perold PROPN issue-123 3 5 - - PUNCT issue-123 3 6 sharpe sharpe NOUN issue-123 3 7 rebalancing rebalancing NOUN issue-123 3 8 strategies strategy NOUN issue-123 3 9 in in ADP issue-123 3 10 practice practice NOUN issue-123 3 11 valentyn valentyn ADJ issue-123 3 12 khokhlov1 khokhlov1 PROPN issue-123 3 13 global global ADJ issue-123 3 14 spirits spirit NOUN issue-123 3 15 , , PUNCT issue-123 3 16 ukraine ukraine PROPN issue-123 3 17 abstract abstract NOUN issue-123 3 18 . . PUNCT issue-123 4 1 the the DET issue-123 4 2 purpose purpose NOUN issue-123 4 3 of of ADP issue-123 4 4 this this DET issue-123 4 5 paper paper NOUN issue-123 4 6 is be AUX issue-123 4 7 to to PART issue-123 4 8 investigate investigate VERB issue-123 4 9 the the DET issue-123 4 10 different different ADJ issue-123 4 11 strategies strategy NOUN issue-123 4 12 for for ADP issue-123 4 13 portfolio portfolio NOUN issue-123 4 14 rebalanc rebalanc PROPN issue-123 4 15 - - PUNCT issue-123 4 16 ing ing ADJ issue-123 4 17 ( ( PUNCT issue-123 4 18 buy buy VERB issue-123 4 19 - - PUNCT issue-123 4 20 and and CCONJ issue-123 4 21 - - PUNCT issue-123 4 22 hold hold VERB issue-123 4 23 , , PUNCT issue-123 4 24 constant constant ADJ issue-123 4 25 weights weight NOUN issue-123 4 26 , , PUNCT issue-123 4 27 and and CCONJ issue-123 4 28 constant constant ADJ issue-123 4 29 - - PUNCT issue-123 4 30 proportion proportion NOUN issue-123 4 31 portfolio portfolio NOUN issue-123 4 32 insurance insurance NOUN issue-123 4 33 ( ( PUNCT issue-123 4 34 cppi cppi NOUN issue-123 4 35 ) ) PUNCT issue-123 4 36 suggested suggest VERB issue-123 4 37 by by ADP issue-123 4 38 perold perold NOUN issue-123 4 39 and and CCONJ issue-123 4 40 sharpe sharpe PROPN issue-123 4 41 in in ADP issue-123 4 42 a a DET issue-123 4 43 reallife reallife NOUN issue-123 4 44 environment environment NOUN issue-123 4 45 using use VERB issue-123 4 46 the the DET issue-123 4 47 actual actual ADJ issue-123 4 48 market market NOUN issue-123 4 49 data datum NOUN issue-123 4 50 and and CCONJ issue-123 4 51 considering consider VERB issue-123 4 52 trans tran NOUN issue-123 4 53 - - NOUN issue-123 4 54 action action NOUN issue-123 4 55 costs cost NOUN issue-123 4 56 . . PUNCT issue-123 5 1 methodology methodology NOUN issue-123 5 2 . . PUNCT issue-123 6 1 exchange exchange NOUN issue-123 6 2 - - PUNCT issue-123 6 3 traded trade VERB issue-123 6 4 funds fund NOUN issue-123 6 5 were be AUX issue-123 6 6 used use VERB issue-123 6 7 to to PART issue-123 6 8 represent represent VERB issue-123 6 9 asset asset NOUN issue-123 6 10 classes class NOUN issue-123 6 11 , , PUNCT issue-123 6 12 and and CCONJ issue-123 6 13 actual actual ADJ issue-123 6 14 market market NOUN issue-123 6 15 prices price NOUN issue-123 6 16 in in ADP issue-123 6 17 2007 2007 NUM issue-123 6 18 - - SYM issue-123 6 19 2015 2015 NUM issue-123 6 20 for for ADP issue-123 6 21 the the DET issue-123 6 22 etfs etfs PROPN issue-123 6 23 used use VERB issue-123 6 24 to to PART issue-123 6 25 conduct conduct VERB issue-123 6 26 the the DET issue-123 6 27 research research NOUN issue-123 6 28 . . PUNCT issue-123 7 1 the the DET issue-123 7 2 monte monte PROPN issue-123 7 3 - - PUNCT issue-123 7 4 carlo carlo PROPN issue-123 7 5 simulations simulation NOUN issue-123 7 6 were be AUX issue-123 7 7 used use VERB issue-123 7 8 to to PART issue-123 7 9 generate generate VERB issue-123 7 10 400 400 NUM issue-123 7 11 portfolios portfolio NOUN issue-123 7 12 over over ADP issue-123 7 13 3 3 NUM issue-123 7 14 different different ADJ issue-123 7 15 time time NOUN issue-123 7 16 horizons horizon NOUN issue-123 7 17 in in ADP issue-123 7 18 order order NOUN issue-123 7 19 to to PART issue-123 7 20 get get VERB issue-123 7 21 a a DET issue-123 7 22 representative representative ADJ issue-123 7 23 sample sample NOUN issue-123 7 24 . . PUNCT issue-123 8 1 two two NUM issue-123 8 2 actual actual ADJ issue-123 8 3 fee fee NOUN issue-123 8 4 structures structure NOUN issue-123 8 5 were be AUX issue-123 8 6 used use VERB issue-123 8 7 from from ADP issue-123 8 8 the the DET issue-123 8 9 leading lead VERB issue-123 8 10 u.s u.s PROPN issue-123 8 11 . . PROPN issue-123 8 12 brokerage brokerage NOUN issue-123 8 13 firms firm NOUN issue-123 8 14 . . PUNCT issue-123 9 1 results result NOUN issue-123 9 2 of of ADP issue-123 9 3 the the DET issue-123 9 4 portfolio portfolio NOUN issue-123 9 5 dynamics dynamic NOUN issue-123 9 6 research research NOUN issue-123 9 7 show show NOUN issue-123 9 8 outperformance outperformance NOUN issue-123 9 9 of of ADP issue-123 9 10 cppi cppi NOUN issue-123 9 11 over over ADP issue-123 9 12 other other ADJ issue-123 9 13 strategies strategy NOUN issue-123 9 14 on on ADP issue-123 9 15 holding hold VERB issue-123 9 16 periods period NOUN issue-123 9 17 over over ADP issue-123 9 18 36 36 NUM issue-123 9 19 months month NOUN issue-123 9 20 , , PUNCT issue-123 9 21 and and CCONJ issue-123 9 22 on on ADP issue-123 9 23 shorter short ADJ issue-123 9 24 time time NOUN issue-123 9 25 horizons horizon NOUN issue-123 9 26 cppi cppi NOUN issue-123 9 27 and and CCONJ issue-123 9 28 constant constant ADJ issue-123 9 29 weights weight NOUN issue-123 9 30 strategies strategy NOUN issue-123 9 31 clearly clearly ADV issue-123 9 32 dominate dominate VERB issue-123 9 33 over over ADP issue-123 9 34 buyand buyand NOUN issue-123 9 35 - - PUNCT issue-123 9 36 hold hold NOUN issue-123 9 37 strategy strategy NOUN issue-123 9 38 . . PUNCT issue-123 10 1 contrary contrary ADJ issue-123 10 2 to to ADP issue-123 10 3 the the DET issue-123 10 4 previous previous ADJ issue-123 10 5 conclusions conclusion NOUN issue-123 10 6 by by ADP issue-123 10 7 perold perold NOUN issue-123 10 8 and and CCONJ issue-123 10 9 sharpe sharpe PROPN issue-123 10 10 , , PUNCT issue-123 10 11 there there PRON issue-123 10 12 was be VERB issue-123 10 13 no no DET issue-123 10 14 definite definite ADJ issue-123 10 15 link link NOUN issue-123 10 16 between between ADP issue-123 10 17 the the DET issue-123 10 18 stock stock NOUN issue-123 10 19 market market NOUN issue-123 10 20 dynamics dynamic NOUN issue-123 10 21 or or CCONJ issue-123 10 22 volatility volatility NOUN issue-123 10 23 and and CCONJ issue-123 10 24 the the DET issue-123 10 25 preferred preferred ADJ issue-123 10 26 strategy strategy NOUN issue-123 10 27 . . PUNCT issue-123 11 1 we we PRON issue-123 11 2 also also ADV issue-123 11 3 see see VERB issue-123 11 4 that that SCONJ issue-123 11 5 after after ADP issue-123 11 6 a a DET issue-123 11 7 bull bull NOUN issue-123 11 8 market market NOUN issue-123 11 9 period period NOUN issue-123 11 10 the the DET issue-123 11 11 cppi cppi NOUN issue-123 11 12 portfolio portfolio NOUN issue-123 11 13 allocation allocation NOUN issue-123 11 14 shifts shift NOUN issue-123 11 15 to to ADP issue-123 11 16 100 100 NUM issue-123 11 17 % % NOUN issue-123 11 18 equity equity NOUN issue-123 11 19 . . PUNCT issue-123 12 1 the the DET issue-123 12 2 portfolio portfolio NOUN issue-123 12 3 turnover turnover NOUN issue-123 12 4 is be AUX issue-123 12 5 typically typically ADV issue-123 12 6 higher high ADJ issue-123 12 7 and and CCONJ issue-123 12 8 much much ADV issue-123 12 9 more more ADV issue-123 12 10 dispersed disperse VERB issue-123 12 11 for for ADP issue-123 12 12 cppi cppi NOUN issue-123 12 13 strategy strategy NOUN issue-123 12 14 than than ADP issue-123 12 15 for for ADP issue-123 12 16 constant constant ADJ issue-123 12 17 weights weight NOUN issue-123 12 18 strategy strategy NOUN issue-123 12 19 . . PUNCT issue-123 13 1 we we PRON issue-123 13 2 also also ADV issue-123 13 3 found find VERB issue-123 13 4 a a DET issue-123 13 5 strong strong ADJ issue-123 13 6 negative negative ADJ issue-123 13 7 correlation correlation NOUN issue-123 13 8 between between ADP issue-123 13 9 the the DET issue-123 13 10 cppi cppi NOUN issue-123 13 11 portfolio portfolio NOUN issue-123 13 12 turnover turnover NOUN issue-123 13 13 and and CCONJ issue-123 13 14 the the DET issue-123 13 15 initial initial ADJ issue-123 13 16 equity equity NOUN issue-123 13 17 allocation allocation NOUN issue-123 13 18 , , PUNCT issue-123 13 19 whereas whereas SCONJ issue-123 13 20 for for ADP issue-123 13 21 constant constant ADJ issue-123 13 22 weights weight NOUN issue-123 13 23 strategy strategy NOUN issue-123 13 24 the the DET issue-123 13 25 turnover turnover NOUN issue-123 13 26 is be AUX issue-123 13 27 higher high ADJ issue-123 13 28 at at ADP issue-123 13 29 50 50 NUM issue-123 13 30 % % NOUN issue-123 13 31 allocation allocation NOUN issue-123 13 32 to to ADP issue-123 13 33 both both DET issue-123 13 34 stocks stock NOUN issue-123 13 35 and and CCONJ issue-123 13 36 bonds bond NOUN issue-123 13 37 . . PUNCT issue-123 14 1 practical practical ADJ issue-123 14 2 implications implication NOUN issue-123 14 3 . . PUNCT issue-123 15 1 the the DET issue-123 15 2 strategy strategy NOUN issue-123 15 3 choice choice NOUN issue-123 15 4 is be AUX issue-123 15 5 shown show VERB issue-123 15 6 to to PART issue-123 15 7 be be AUX issue-123 15 8 more more ADV issue-123 15 9 a a DET issue-123 15 10 matter matter NOUN issue-123 15 11 of of ADP issue-123 15 12 the the DET issue-123 15 13 holding hold VERB issue-123 15 14 period period NOUN issue-123 15 15 ; ; PUNCT issue-123 15 16 cppi cppi NOUN issue-123 15 17 seems seem VERB issue-123 15 18 the the DET issue-123 15 19 best good ADJ issue-123 15 20 choice choice NOUN issue-123 15 21 over over ADP issue-123 15 22 longer long ADJ issue-123 15 23 periods period NOUN issue-123 15 24 . . PUNCT issue-123 16 1 contrary contrary ADJ issue-123 16 2 to to ADP issue-123 16 3 the the DET issue-123 16 4 widespread widespread ADJ issue-123 16 5 perception perception NOUN issue-123 16 6 , , PUNCT issue-123 16 7 our our PRON issue-123 16 8 research research NOUN issue-123 16 9 shows show VERB issue-123 16 10 that that SCONJ issue-123 16 11 brokerage brokerage NOUN issue-123 16 12 fees fee NOUN issue-123 16 13 has have AUX issue-123 16 14 not not PART issue-123 16 15 had have VERB issue-123 16 16 a a DET issue-123 16 17 material material ADJ issue-123 16 18 influence influence NOUN issue-123 16 19 on on ADP issue-123 16 20 the the DET issue-123 16 21 simulated simulated ADJ issue-123 16 22 portfolio portfolio NOUN issue-123 16 23 performance performance NOUN issue-123 16 24 and and CCONJ issue-123 16 25 , , PUNCT issue-123 16 26 thus thus ADV issue-123 16 27 , , PUNCT issue-123 16 28 should should AUX issue-123 16 29 not not PART issue-123 16 30 be be AUX issue-123 16 31 a a DET issue-123 16 32 factor factor NOUN issue-123 16 33 for for ADP issue-123 16 34 choosing choose VERB issue-123 16 35 a a DET issue-123 16 36 strategy strategy NOUN issue-123 16 37 . . PUNCT issue-123 17 1 originality originality NOUN issue-123 17 2 / / SYM issue-123 17 3 value value NOUN issue-123 17 4 . . PUNCT issue-123 18 1 unlike unlike ADP issue-123 18 2 previous previous ADJ issue-123 18 3 studies study NOUN issue-123 18 4 in in ADP issue-123 18 5 this this DET issue-123 18 6 area area NOUN issue-123 18 7 that that PRON issue-123 18 8 focused focus VERB issue-123 18 9 on on ADP issue-123 18 10 analytical analytical ADJ issue-123 18 11 derivation derivation NOUN issue-123 18 12 based base VERB issue-123 18 13 on on ADP issue-123 18 14 sample sample NOUN issue-123 18 15 statistics statistic NOUN issue-123 18 16 , , PUNCT issue-123 18 17 we we PRON issue-123 18 18 used use VERB issue-123 18 19 the the DET issue-123 18 20 monte monte PROPN issue-123 18 21 - - PUNCT issue-123 18 22 carlo carlo PROPN issue-123 18 23 simulation simulation NOUN issue-123 18 24 on on ADP issue-123 18 25 the the DET issue-123 18 26 actual actual ADJ issue-123 18 27 asset asset NOUN issue-123 18 28 prices price NOUN issue-123 18 29 and and CCONJ issue-123 18 30 brokerage brokerage NOUN issue-123 18 31 fees fee NOUN issue-123 18 32 structures structure NOUN issue-123 18 33 . . PUNCT issue-123 19 1 the the DET issue-123 19 2 results result NOUN issue-123 19 3 of of ADP issue-123 19 4 our our PRON issue-123 19 5 research research NOUN issue-123 19 6 are be AUX issue-123 19 7 much much ADV issue-123 19 8 closer close ADJ issue-123 19 9 to to ADP issue-123 19 10 the the DET issue-123 19 11 actual actual ADJ issue-123 19 12 portfolio portfolio NOUN issue-123 19 13 dynamics dynamic NOUN issue-123 19 14 seen see VERB issue-123 19 15 in in ADP issue-123 19 16 practice practice NOUN issue-123 19 17 . . PUNCT issue-123 20 1 we we PRON issue-123 20 2 also also ADV issue-123 20 3 address address VERB issue-123 20 4 issues issue NOUN issue-123 20 5 like like ADP issue-123 20 6 portfolio portfolio NOUN issue-123 20 7 turnover turnover NOUN issue-123 20 8 and and CCONJ issue-123 20 9 transaction transaction NOUN issue-123 20 10 costs cost NOUN issue-123 20 11 that that PRON issue-123 20 12 are be AUX issue-123 20 13 often often ADV issue-123 20 14 over over ADV issue-123 20 15 - - PUNCT issue-123 20 16 looked look VERB issue-123 20 17 by by ADP issue-123 20 18 academic academic ADJ issue-123 20 19 researchers researcher NOUN issue-123 20 20 . . PUNCT issue-123 21 1 key key ADJ issue-123 21 2 words word NOUN issue-123 21 3 : : PUNCT issue-123 21 4 portfolio portfolio NOUN issue-123 21 5 management management NOUN issue-123 21 6 , , PUNCT issue-123 21 7 rebalancing rebalancing NOUN issue-123 21 8 , , PUNCT issue-123 21 9 portfolio portfolio NOUN issue-123 21 10 turnover turnover NOUN issue-123 21 11 , , PUNCT issue-123 21 12 transaction transaction NOUN issue-123 21 13 costs cost NOUN issue-123 21 14 , , PUNCT issue-123 21 15 monte monte PROPN issue-123 21 16 carlo carlo PROPN issue-123 21 17 simulation simulation PROPN issue-123 21 18 . . PUNCT issue-123 22 1 jel jel PROPN issue-123 22 2 classification classification NOUN issue-123 22 3 : : PUNCT issue-123 22 4 g11 g11 PROPN issue-123 22 5 , , PUNCT issue-123 22 6 g17 g17 NOUN issue-123 22 7 1 1 NUM issue-123 22 8 . . PUNCT issue-123 23 1 introduction introduction NOUN issue-123 23 2 portfolio portfolio NOUN issue-123 23 3 rebalancing rebalancing NOUN issue-123 23 4 is be AUX issue-123 23 5 an an DET issue-123 23 6 area area NOUN issue-123 23 7 of of ADP issue-123 23 8 a a DET issue-123 23 9 great great ADJ issue-123 23 10 practical practical ADJ issue-123 23 11 significance significance NOUN issue-123 23 12 , , PUNCT issue-123 23 13 since since SCONJ issue-123 23 14 any any DET issue-123 23 15 portfolio portfolio NOUN issue-123 23 16 manager manager NOUN issue-123 23 17 should should AUX issue-123 23 18 decide decide VERB issue-123 23 19 how how SCONJ issue-123 23 20 to to PART issue-123 23 21 cope cope VERB issue-123 23 22 with with ADP issue-123 23 23 deviations deviation NOUN issue-123 23 24 of of ADP issue-123 23 25 actual actual ADJ issue-123 23 26 asset asset NOUN issue-123 23 27 weights weight NOUN issue-123 23 28 from from ADP issue-123 23 29 their their PRON issue-123 23 30 targets target NOUN issue-123 23 31 . . PUNCT issue-123 24 1 however however ADV issue-123 24 2 , , PUNCT issue-123 24 3 the the DET issue-123 24 4 academics academic NOUN issue-123 24 5 generally generally ADV issue-123 24 6 paid pay VERB issue-123 24 7 little little ADJ issue-123 24 8 attention attention NOUN issue-123 24 9 to to ADP issue-123 24 10 this this DET issue-123 24 11 topic topic NOUN issue-123 24 12 . . PUNCT issue-123 25 1 perold perold PROPN issue-123 25 2 and and CCONJ issue-123 25 3 sharpe sharpe PROPN issue-123 25 4 in in ADP issue-123 25 5 their their PRON issue-123 25 6 seminal seminal ADJ issue-123 25 7 paper paper NOUN issue-123 25 8 ( ( PUNCT issue-123 25 9 perold perold ADJ issue-123 25 10 , , PUNCT issue-123 25 11 1988 1988 NUM issue-123 25 12 ) ) PUNCT issue-123 25 13 formally formally ADV issue-123 25 14 introduced introduce VERB issue-123 25 15 and and CCONJ issue-123 25 16 analyzed analyze VERB issue-123 25 17 three three NUM issue-123 25 18 rebalancing rebalancing NOUN issue-123 25 19 strategies strategy NOUN issue-123 25 20     SPACE issue-123 25 21 – – PUNCT issue-123 25 22 buy buy NOUN issue-123 25 23 - - PUNCT issue-123 25 24 and and CCONJ issue-123 25 25 - - PUNCT issue-123 25 26 hold hold VERB issue-123 25 27 ( ( PUNCT issue-123 25 28 bh bh NOUN issue-123 25 29 ) ) PUNCT issue-123 25 30 , , PUNCT issue-123 25 31 constant constant ADJ issue-123 25 32 mix mix NOUN issue-123 25 33 or or CCONJ issue-123 25 34 constant constant ADJ issue-123 25 35 weights weight NOUN issue-123 25 36 ( ( PUNCT issue-123 25 37 cw cw NOUN issue-123 25 38 ) ) PUNCT issue-123 25 39 and and CCONJ issue-123 25 40 constant constant ADJ issue-123 25 41 - - PUNCT issue-123 25 42 proportion proportion NOUN issue-123 25 43 portfolio portfolio NOUN issue-123 25 44 insurance insurance NOUN issue-123 25 45 ( ( PUNCT issue-123 25 46 cppi cppi NOUN issue-123 25 47 ) ) PUNCT issue-123 25 48 . . PUNCT issue-123 26 1 the the DET issue-123 26 2 two two NUM issue-123 26 3 former former ADJ issue-123 26 4 strategies strategy NOUN issue-123 26 5 had have AUX issue-123 26 6 always always ADV issue-123 26 7 been be AUX issue-123 26 8 used use VERB issue-123 26 9 by by ADP issue-123 26 10 practitioners practitioner NOUN issue-123 26 11 with with ADP issue-123 26 12 a a DET issue-123 26 13 constant constant ADJ issue-123 26 14 tradeoff tradeoff NOUN issue-123 26 15 between between ADP issue-123 26 16 keeping keep VERB issue-123 26 17 the the DET issue-123 26 18 current current ADJ issue-123 26 19 weights weight NOUN issue-123 26 20 up up ADP issue-123 26 21 to to ADP issue-123 26 22 their their PRON issue-123 26 23 target target NOUN issue-123 26 24 values value NOUN issue-123 26 25 and and CCONJ issue-123 26 26 saving save VERB issue-123 26 27 on on ADP issue-123 26 28 transaction transaction NOUN issue-123 26 29 fees fee NOUN issue-123 26 30 . . PUNCT issue-123 27 1 the the DET issue-123 27 2 third third ADJ issue-123 27 3 strategy strategy NOUN issue-123 27 4 , , PUNCT issue-123 27 5 cppi cppi NOUN issue-123 27 6 , , PUNCT issue-123 27 7 was be AUX issue-123 27 8 much much ADV issue-123 27 9 more more ADV issue-123 27 10 uncommon uncommon ADJ issue-123 27 11 in in ADP issue-123 27 12 practice practice NOUN issue-123 27 13 despite despite SCONJ issue-123 27 14 its its PRON issue-123 27 15 mechanics mechanic NOUN issue-123 27 16 was be AUX issue-123 27 17 investigated investigate VERB issue-123 27 18 in in ADP issue-123 27 19 much much ADJ issue-123 27 20 great great ADJ issue-123 27 21 details detail NOUN issue-123 27 22 by by ADP issue-123 27 23 black black ADJ issue-123 27 24 and and CCONJ issue-123 27 25 perold perold NOUN issue-123 27 26 ( ( PUNCT issue-123 27 27 black black ADJ issue-123 27 28 , , PUNCT issue-123 27 29 1992 1992 NUM issue-123 27 30 ) ) PUNCT issue-123 27 31 . . PUNCT issue-123 28 1 it it PRON issue-123 28 2 was be AUX issue-123 28 3 concluded conclude VERB issue-123 28 4 by by ADP issue-123 28 5 perold perold NOUN issue-123 28 6 and and CCONJ issue-123 28 7 sharpe sharpe NOUN issue-123 28 8 that that SCONJ issue-123 28 9 cw cw NOUN issue-123 28 10 strategies strategy NOUN issue-123 28 11 are be AUX issue-123 28 12 better well ADJ issue-123 28 13 on on ADP issue-123 28 14 volatile volatile ADJ issue-123 28 15 , , PUNCT issue-123 28 16 trendless trendless ADJ issue-123 28 17 market market NOUN issue-123 28 18 , , PUNCT issue-123 28 19 whereas whereas SCONJ issue-123 28 20 cppi cppi NOUN issue-123 28 21 in in ADP issue-123 28 22 the the DET issue-123 28 23 best good ADJ issue-123 28 24 on on ADP issue-123 28 25 a a DET issue-123 28 26 trendy trendy ADJ issue-123 28 27 market market NOUN issue-123 28 28 . . PUNCT issue-123 29 1 other other ADJ issue-123 29 2 researchers researcher NOUN issue-123 29 3 , , PUNCT issue-123 29 4 e.g. e.g. ADV issue-123 29 5 ( ( PUNCT issue-123 29 6 blanchett blanchett PROPN issue-123 29 7 , , PUNCT issue-123 29 8 2011 2011 NUM issue-123 29 9 ) ) PUNCT issue-123 29 10 , , PUNCT issue-123 29 11 argue argue VERB issue-123 29 12 that that SCONJ issue-123 29 13 bh bh PROPN issue-123 29 14 strategy strategy NOUN issue-123 29 15 is be AUX issue-123 29 16 not not PART issue-123 29 17 dead dead ADJ issue-123 29 18 if if SCONJ issue-123 29 19 both both PRON issue-123 29 20 transaction transaction NOUN issue-123 29 21 costs cost NOUN issue-123 29 22 and and CCONJ issue-123 29 23 tax tax NOUN issue-123 29 24 implications implication NOUN issue-123 29 25 are be AUX issue-123 29 26 considered consider VERB issue-123 29 27 . . PUNCT issue-123 30 1 yet yet CCONJ issue-123 30 2 another another DET issue-123 30 3 aspect aspect NOUN issue-123 30 4 of of ADP issue-123 30 5 the the DET issue-123 30 6 rebalancing rebalancing NOUN issue-123 30 7 was be AUX issue-123 30 8 investigated investigate VERB issue-123 30 9 in in ADP issue-123 30 10 ( ( PUNCT issue-123 30 11 leibowitz leibowitz PROPN issue-123 30 12 , , PUNCT issue-123 30 13 2001 2001 NUM issue-123 30 14 ) ) PUNCT issue-123 30 15 that that PRON issue-123 30 16 shows show VERB issue-123 30 17 that that SCONJ issue-123 30 18 a a DET issue-123 30 19 constant constant ADJ issue-123 30 20 risk risk NOUN issue-123 30 21 tolerance tolerance NOUN issue-123 30 22 implies imply VERB issue-123 30 23 changing change VERB issue-123 30 24 the the DET issue-123 30 25 asset asset NOUN issue-123 30 26 allocation allocation NOUN issue-123 30 27 itself itself PRON issue-123 30 28 instead instead ADV issue-123 30 29 of of ADP issue-123 30 30 keeping keep VERB issue-123 30 31 the the DET issue-123 30 32 constant constant ADJ issue-123 30 33 60/40 60/40 NUM issue-123 30 34 mix mix NOUN issue-123 30 35 , , PUNCT issue-123 30 36 which which PRON issue-123 30 37 was be AUX issue-123 30 38 used use VERB issue-123 30 39 as as ADP issue-123 30 40 a a DET issue-123 30 41 benchmark benchmark ADJ issue-123 30 42 asset asset NOUN issue-123 30 43 allocation allocation NOUN issue-123 30 44 by by ADP issue-123 30 45 previous previous ADJ issue-123 30 46 researchers researcher NOUN issue-123 30 47 . . PUNCT issue-123 31 1 the the DET issue-123 31 2 purpose purpose NOUN issue-123 31 3 of of ADP issue-123 31 4 this this DET issue-123 31 5 paper paper NOUN issue-123 31 6 is be AUX issue-123 31 7 to to PART issue-123 31 8 investigate investigate VERB issue-123 31 9 practical practical ADJ issue-123 31 10 issues issue NOUN issue-123 31 11 of of ADP issue-123 31 12 portfolio portfolio NOUN issue-123 31 13 rebalancing rebalancing NOUN issue-123 31 14 . . PUNCT issue-123 32 1 research research NOUN issue-123 32 2 objectives objective NOUN issue-123 32 3 include include VERB issue-123 32 4 checking check VERB issue-123 32 5 perold perold NOUN issue-123 32 6 - - PUNCT issue-123 32 7 sharpe sharpe NOUN issue-123 32 8 strategies strategy NOUN issue-123 32 9 on on ADP issue-123 32 10 different different ADJ issue-123 32 11 holding holding NOUN issue-123 32 12 periods period NOUN issue-123 32 13 and and CCONJ issue-123 32 14 during during ADP issue-123 32 15 different different ADJ issue-123 32 16 stock stock NOUN issue-123 32 17 market market NOUN issue-123 32 18 conditions condition NOUN issue-123 32 19 , , PUNCT issue-123 32 20 using use VERB issue-123 32 21 montecarlo montecarlo NOUN issue-123 32 22 simulations simulation NOUN issue-123 32 23 to to PART issue-123 32 24 check check VERB issue-123 32 25 their their PRON issue-123 32 26 behaviour behaviour NOUN issue-123 32 27 on on ADP issue-123 32 28 different different ADJ issue-123 32 29 time time NOUN issue-123 32 30 periods period NOUN issue-123 32 31 , , PUNCT issue-123 32 32 analyze analyze VERB issue-123 32 33 the the DET issue-123 32 34 portfolio portfolio NOUN issue-123 32 35 turnover turnover NOUN issue-123 32 36 and and CCONJ issue-123 32 37 the the DET issue-123 32 38 effect effect NOUN issue-123 32 39 of of ADP issue-123 32 40 transaction transaction NOUN issue-123 32 41 costs cost NOUN issue-123 32 42 . . PUNCT issue-123 33 1 we we PRON issue-123 33 2 use use VERB issue-123 33 3 both both DET issue-123 33 4 actual actual ADJ issue-123 33 5 funds fund NOUN issue-123 33 6 data datum NOUN issue-123 33 7 and and CCONJ issue-123 33 8 montecarlo montecarlo PROPN issue-123 33 9 simulation simulation NOUN issue-123 33 10 to to PART issue-123 33 11 generate generate VERB issue-123 33 12 portfolios portfolio NOUN issue-123 33 13 . . PUNCT issue-123 34 1 as as ADP issue-123 34 2 perold perold NOUN issue-123 34 3 - - PUNCT issue-123 34 4 sharpe sharpe NOUN issue-123 34 5 , , PUNCT issue-123 34 6 we we PRON issue-123 34 7 focus focus VERB issue-123 34 8 on on ADP issue-123 34 9 the the DET issue-123 34 10 broad broad ADJ issue-123 34 11 stocks stock NOUN issue-123 34 12 - - PUNCT issue-123 34 13 bonds bond NOUN issue-123 34 14 portfolios portfolio NOUN issue-123 34 15 , , PUNCT issue-123 34 16 so so SCONJ issue-123 34 17 we we PRON issue-123 34 18 use use VERB issue-123 34 19 etf etf NOUN issue-123 34 20 funds fund NOUN issue-123 34 21 that that PRON issue-123 34 22 represent represent VERB issue-123 34 23 those those DET issue-123 34 24 asset asset NOUN issue-123 34 25 classes class NOUN issue-123 34 26 broadly broadly ADV issue-123 34 27 and and CCONJ issue-123 34 28 do do AUX issue-123 34 29 not not PART issue-123 34 30 consider consider VERB issue-123 34 31 portfolios portfolio NOUN issue-123 34 32 of of ADP issue-123 34 33 individual individual ADJ issue-123 34 34 securities security NOUN issue-123 34 35 . . PUNCT issue-123 35 1 baltic baltic PROPN issue-123 35 2 journal journal PROPN issue-123 35 3 of of ADP issue-123 35 4 economic economic ADJ issue-123 35 5 studies study NOUN issue-123 35 6 128 128 NUM issue-123 35 7 vol vol NOUN issue-123 35 8 . . PROPN issue-123 36 1 2 2 NUM issue-123 36 2 , , PUNCT issue-123 36 3 no no INTJ issue-123 36 4 . . NOUN issue-123 36 5 3 3 NUM issue-123 36 6 , , PUNCT issue-123 36 7 2016 2016 NUM issue-123 36 8 the the DET issue-123 36 9 paper paper NOUN issue-123 36 10 starts start VERB issue-123 36 11 with with ADP issue-123 36 12 the the DET issue-123 36 13 analysis analysis NOUN issue-123 36 14 of of ADP issue-123 36 15 bh bh NOUN issue-123 36 16 , , PUNCT issue-123 36 17 cw cw NOUN issue-123 36 18 , , PUNCT issue-123 36 19 and and CCONJ issue-123 36 20 cppi cppi NOUN issue-123 36 21 strategies strategy NOUN issue-123 36 22 for for ADP issue-123 36 23 a a DET issue-123 36 24 traditional traditional ADJ issue-123 36 25 60/40 60/40 NUM issue-123 36 26 stocks stock NOUN issue-123 36 27 - - PUNCT issue-123 36 28 bonds bond NOUN issue-123 36 29 portfolio portfolio NOUN issue-123 36 30 in in ADP issue-123 36 31 2007 2007 NUM issue-123 36 32 - - SYM issue-123 36 33 2015 2015 NUM issue-123 36 34 , , PUNCT issue-123 36 35 then then ADV issue-123 36 36 the the DET issue-123 36 37 results result NOUN issue-123 36 38 are be AUX issue-123 36 39 generalized generalize VERB issue-123 36 40 using use VERB issue-123 36 41 three three NUM issue-123 36 42 samples sample NOUN issue-123 36 43 of of ADP issue-123 36 44 400 400 NUM issue-123 36 45 monte monte NOUN issue-123 36 46 - - PUNCT issue-123 36 47 carlo carlo NOUN issue-123 36 48 simulated simulate VERB issue-123 36 49 portfolios portfolio NOUN issue-123 36 50 with with ADP issue-123 36 51 three three NUM issue-123 36 52 different different ADJ issue-123 36 53 holding hold VERB issue-123 36 54 periods period NOUN issue-123 36 55 ( ( PUNCT issue-123 36 56 5 5 NUM issue-123 36 57 years year NOUN issue-123 36 58 , , PUNCT issue-123 36 59 3 3 NUM issue-123 36 60 years year NOUN issue-123 36 61 , , PUNCT issue-123 36 62 18 18 NUM issue-123 36 63 months month NOUN issue-123 36 64 ) ) PUNCT issue-123 36 65 . . PUNCT issue-123 37 1 after after ADP issue-123 37 2 that that PRON issue-123 37 3 the the DET issue-123 37 4 portfolio portfolio NOUN issue-123 37 5 turnover turnover NOUN issue-123 37 6 and and CCONJ issue-123 37 7 the the DET issue-123 37 8 effect effect NOUN issue-123 37 9 of of ADP issue-123 37 10 transaction transaction NOUN issue-123 37 11 costs cost NOUN issue-123 37 12 are be AUX issue-123 37 13 considered consider VERB issue-123 37 14 both both PRON issue-123 37 15 for for ADP issue-123 37 16 different different ADJ issue-123 37 17 transaction transaction NOUN issue-123 37 18 costs cost NOUN issue-123 37 19 models model NOUN issue-123 37 20 and and CCONJ issue-123 37 21 different different ADJ issue-123 37 22 initial initial ADJ issue-123 37 23 portfolio portfolio NOUN issue-123 37 24 allocations allocation NOUN issue-123 37 25 . . PUNCT issue-123 38 1 2 2 X issue-123 38 2 . . X issue-123 38 3 performance performance NOUN issue-123 38 4 over over ADP issue-123 38 5 the the DET issue-123 38 6 entire entire ADJ issue-123 38 7 holding hold VERB issue-123 38 8 period period NOUN issue-123 38 9 perold perold NOUN issue-123 38 10 and and CCONJ issue-123 38 11 sharpe sharpe NOUN issue-123 38 12 is be AUX issue-123 38 13 their their PRON issue-123 38 14 research research NOUN issue-123 38 15 used use VERB issue-123 38 16 a a DET issue-123 38 17 simple simple ADJ issue-123 38 18 portfolio portfolio NOUN issue-123 38 19 consisting consist VERB issue-123 38 20 of of ADP issue-123 38 21 two two NUM issue-123 38 22 assets asset NOUN issue-123 38 23 , , PUNCT issue-123 38 24 the the DET issue-123 38 25 risky risky ADJ issue-123 38 26 asset asset NOUN issue-123 38 27 and and CCONJ issue-123 38 28 the the DET issue-123 38 29 risk risk NOUN issue-123 38 30 - - PUNCT issue-123 38 31 free free ADJ issue-123 38 32 asset asset NOUN issue-123 38 33 . . PUNCT issue-123 39 1 their their PRON issue-123 39 2 approach approach NOUN issue-123 39 3 is be AUX issue-123 39 4 modelled model VERB issue-123 39 5 in in ADP issue-123 39 6 this this DET issue-123 39 7 research research NOUN issue-123 39 8 using use VERB issue-123 39 9 investable investable ADJ issue-123 39 10 assets asset NOUN issue-123 39 11 and and CCONJ issue-123 39 12 actual actual ADJ issue-123 39 13 prices price NOUN issue-123 39 14 . . PUNCT issue-123 40 1 spy spy NOUN issue-123 40 2 exchangetraded exchangetrade VERB issue-123 40 3 fund fund NOUN issue-123 40 4 is be AUX issue-123 40 5 used use VERB issue-123 40 6 as as ADP issue-123 40 7 a a DET issue-123 40 8 proxy proxy NOUN issue-123 40 9 to to ADP issue-123 40 10 the the DET issue-123 40 11 risky risky ADJ issue-123 40 12 asset asset NOUN issue-123 40 13 ( ( PUNCT issue-123 40 14 stocks stock NOUN issue-123 40 15 ) ) PUNCT issue-123 40 16 . . PUNCT issue-123 41 1 finding find VERB issue-123 41 2 a a DET issue-123 41 3 suitable suitable ADJ issue-123 41 4 proxy proxy NOUN issue-123 41 5 for for ADP issue-123 41 6 the the DET issue-123 41 7 risk risk NOUN issue-123 41 8 - - PUNCT issue-123 41 9 free free ADJ issue-123 41 10 asset asset NOUN issue-123 41 11 is be AUX issue-123 41 12 more more ADV issue-123 41 13 challenging challenging ADJ issue-123 41 14 , , PUNCT issue-123 41 15 since since SCONJ issue-123 41 16 investing invest VERB issue-123 41 17 directly directly ADV issue-123 41 18 into into ADP issue-123 41 19 the the DET issue-123 41 20 treasuries treasury NOUN issue-123 41 21 is be AUX issue-123 41 22 not not PART issue-123 41 23 always always ADV issue-123 41 24 an an DET issue-123 41 25 alternative alternative NOUN issue-123 41 26 for for ADP issue-123 41 27 small small ADJ issue-123 41 28 investors investor NOUN issue-123 41 29 . . PUNCT issue-123 42 1 that that PRON issue-123 42 2 ’s ’ VERB issue-123 42 3 why why SCONJ issue-123 42 4 two two NUM issue-123 42 5 etfs etfs NOUN issue-123 42 6 may may AUX issue-123 42 7 be be AUX issue-123 42 8 considered consider VERB issue-123 42 9     SPACE issue-123 42 10 – – PUNCT issue-123 42 11 bil bil NUM issue-123 42 12 , , PUNCT issue-123 42 13 which which PRON issue-123 42 14 is be AUX issue-123 42 15 a a DET issue-123 42 16 straightforward straightforward ADJ issue-123 42 17 alternative alternative NOUN issue-123 42 18 for for ADP issue-123 42 19 the the DET issue-123 42 20 bills bill NOUN issue-123 42 21 considered consider VERB issue-123 42 22 by by ADP issue-123 42 23 perold perold NOUN issue-123 42 24 and and CCONJ issue-123 42 25 sharpe sharpe PROPN issue-123 42 26 but but CCONJ issue-123 42 27 is be AUX issue-123 42 28 virtually virtually ADV issue-123 42 29 a a DET issue-123 42 30 zero zero NUM issue-123 42 31 - - PUNCT issue-123 42 32 return return NOUN issue-123 42 33 zero zero NUM issue-123 42 34 - - PUNCT issue-123 42 35 volatility volatility NOUN issue-123 42 36 asset asset NOUN issue-123 42 37 , , PUNCT issue-123 42 38 and and CCONJ issue-123 42 39 tlt tlt NOUN issue-123 42 40 , , PUNCT issue-123 42 41 which which PRON issue-123 42 42 provides provide VERB issue-123 42 43 a a DET issue-123 42 44 more more ADV issue-123 42 45 interesting interesting ADJ issue-123 42 46 risk risk NOUN issue-123 42 47 - - PUNCT issue-123 42 48 return return NOUN issue-123 42 49 profile profile NOUN issue-123 42 50 while while SCONJ issue-123 42 51 keeping keep VERB issue-123 42 52 credit credit NOUN issue-123 42 53 risk risk NOUN issue-123 42 54 at at ADP issue-123 42 55 zero zero NUM issue-123 42 56 and and CCONJ issue-123 42 57 having have VERB issue-123 42 58 no no DET issue-123 42 59 correlation correlation NOUN issue-123 42 60 with with ADP issue-123 42 61 stocks stock NOUN issue-123 42 62 . . PUNCT issue-123 43 1 the the DET issue-123 43 2 latter latter ADJ issue-123 43 3 has have AUX issue-123 43 4 been be AUX issue-123 43 5 chosen choose VERB issue-123 43 6 as as ADP issue-123 43 7 a a DET issue-123 43 8 more more ADV issue-123 43 9 viable viable ADJ issue-123 43 10 alternative alternative NOUN issue-123 43 11 . . PUNCT issue-123 44 1 given give VERB issue-123 44 2 the the DET issue-123 44 3 availability availability NOUN issue-123 44 4 of of ADP issue-123 44 5 price price NOUN issue-123 44 6 data datum NOUN issue-123 44 7 , , PUNCT issue-123 44 8 the the DET issue-123 44 9 longest long ADJ issue-123 44 10 time time NOUN issue-123 44 11 horizon horizon NOUN issue-123 44 12 accessible accessible ADJ issue-123 44 13 for for ADP issue-123 44 14 our our PRON issue-123 44 15 analysis analysis NOUN issue-123 44 16 are be AUX issue-123 44 17 102 102 NUM issue-123 44 18 months month NOUN issue-123 44 19 from from ADP issue-123 44 20 july july PROPN issue-123 44 21 2007 2007 NUM issue-123 44 22 to to ADP issue-123 44 23 december december PROPN issue-123 44 24 2015 2015 NUM issue-123 44 25 . . PUNCT issue-123 45 1 the the DET issue-123 45 2 three three NUM issue-123 45 3 portfolios portfolio NOUN issue-123 45 4 , , PUNCT issue-123 45 5 representing represent VERB issue-123 45 6 bh bh NOUN issue-123 45 7 , , PUNCT issue-123 45 8 cw cw NOUN issue-123 45 9 and and CCONJ issue-123 45 10 cppi cppi NOUN issue-123 45 11 strategies strategy NOUN issue-123 45 12 respectively respectively ADV issue-123 45 13 , , PUNCT issue-123 45 14 were be AUX issue-123 45 15 created create VERB issue-123 45 16 on on ADP issue-123 45 17 june june PROPN issue-123 45 18 30 30 NUM issue-123 45 19 , , PUNCT issue-123 45 20 2007 2007 NUM issue-123 45 21 by by ADP issue-123 45 22 investing invest VERB issue-123 45 23 $ $ SYM issue-123 45 24 1,000,000 1,000,000 NUM issue-123 45 25 with with ADP issue-123 45 26 the the DET issue-123 45 27 initial initial ADJ issue-123 45 28 asset asset NOUN issue-123 45 29 allocation allocation NOUN issue-123 45 30 60 60 NUM issue-123 45 31 % % NOUN issue-123 45 32 stocks stock NOUN issue-123 45 33 , , PUNCT issue-123 45 34 40 40 NUM issue-123 45 35 % % NOUN issue-123 45 36 bonds bond NOUN issue-123 45 37 ( ( PUNCT issue-123 45 38 technically technically ADV issue-123 45 39 , , PUNCT issue-123 45 40 3988 3988 NUM issue-123 45 41 spy spy NOUN issue-123 45 42 shares share NOUN issue-123 45 43 and and CCONJ issue-123 45 44 4697 4697 NUM issue-123 45 45 tlt tlt NOUN issue-123 45 46 shares share NOUN issue-123 45 47 were be AUX issue-123 45 48 bought buy VERB issue-123 45 49 ) ) PUNCT issue-123 45 50 . . PUNCT issue-123 46 1 the the DET issue-123 46 2 bh bh PROPN issue-123 46 3 portfolio portfolio NOUN issue-123 46 4 was be AUX issue-123 46 5 never never ADV issue-123 46 6 changed change VERB issue-123 46 7 after after ADP issue-123 46 8 that that PRON issue-123 46 9 . . PUNCT issue-123 47 1 the the DET issue-123 47 2 cw cw PROPN issue-123 47 3 portfolio portfolio NOUN issue-123 47 4 was be AUX issue-123 47 5 rebalanced rebalance VERB issue-123 47 6 at at ADP issue-123 47 7 the the DET issue-123 47 8 beginning beginning NOUN issue-123 47 9 of of ADP issue-123 47 10 each each DET issue-123 47 11 month month NOUN issue-123 47 12 by by ADP issue-123 47 13 keeping keep VERB issue-123 47 14 the the DET issue-123 47 15 constant constant ADJ issue-123 47 16 weights weight NOUN issue-123 47 17 at at ADP issue-123 47 18 60 60 NUM issue-123 47 19 % % NOUN issue-123 47 20 and and CCONJ issue-123 47 21 40 40 NUM issue-123 47 22 % % NOUN issue-123 47 23 respectively respectively ADV issue-123 47 24 . . PUNCT issue-123 48 1 the the DET issue-123 48 2 cppi cppi PROPN issue-123 48 3 portfolio portfolio NOUN issue-123 48 4 was be AUX issue-123 48 5 rebalanced rebalance VERB issue-123 48 6 at at ADP issue-123 48 7 the the DET issue-123 48 8 beginning beginning NOUN issue-123 48 9 of of ADP issue-123 48 10 each each DET issue-123 48 11 month month NOUN issue-123 48 12 using use VERB issue-123 48 13 the the DET issue-123 48 14 perold perold NOUN issue-123 48 15 - - PUNCT issue-123 48 16 sharpe sharpe NOUN issue-123 48 17 formula formula NOUN issue-123 48 18 for for ADP issue-123 48 19 the the DET issue-123 48 20 amount amount NOUN issue-123 48 21 invested invest VERB issue-123 48 22 in in ADP issue-123 48 23 stocks stock NOUN issue-123 48 24 with with ADP issue-123 48 25 the the DET issue-123 48 26 floor floor NOUN issue-123 48 27 lev lev PROPN issue-123 48 28 - - PUNCT issue-123 48 29 el el PROPN issue-123 48 30 of of ADP issue-123 48 31 $ $ SYM issue-123 48 32 700,000 700,000 NUM issue-123 48 33 and and CCONJ issue-123 48 34 m m NOUN issue-123 48 35 = = ADJ issue-123 48 36 2 2 NUM issue-123 48 37 : : PUNCT issue-123 48 38 dollars dollar NOUN issue-123 48 39 in in ADP issue-123 48 40 stocks stock NOUN issue-123 48 41 = = SYM issue-123 48 42 m m PROPN issue-123 48 43 ( ( PUNCT issue-123 48 44 assets asset NOUN issue-123 48 45     SPACE issue-123 48 46 – – PUNCT issue-123 48 47 floor floor NOUN issue-123 48 48 ) ) PUNCT issue-123 48 49 ( ( PUNCT issue-123 48 50 1 1 X issue-123 48 51 ) ) PUNCT issue-123 48 52 the the DET issue-123 48 53 dynamics dynamic NOUN issue-123 48 54 of of ADP issue-123 48 55 the the DET issue-123 48 56 actual actual ADJ issue-123 48 57 asset asset NOUN issue-123 48 58 allocation allocation NOUN issue-123 48 59 for for ADP issue-123 48 60 bh bh NOUN issue-123 48 61 , , PUNCT issue-123 48 62 cw cw NOUN issue-123 48 63 and and CCONJ issue-123 48 64 cppi cppi NOUN issue-123 48 65 portfolios portfolio NOUN issue-123 48 66 is be AUX issue-123 48 67 shown show VERB issue-123 48 68 on on ADP issue-123 48 69 figure figure NOUN issue-123 48 70 1 1 NUM issue-123 48 71 . . PUNCT issue-123 49 1 surprisingly surprisingly ADV issue-123 49 2 the the DET issue-123 49 3 bh bh PROPN issue-123 49 4 portfolio portfolio NOUN issue-123 49 5 reverted revert VERB issue-123 49 6 to to ADP issue-123 49 7 almost almost ADV issue-123 49 8 60/40 60/40 NUM issue-123 49 9 allocation allocation NOUN issue-123 49 10 in in ADP issue-123 49 11 20142015 20142015 NUM issue-123 49 12 , , PUNCT issue-123 49 13 so so CCONJ issue-123 49 14 at at ADP issue-123 49 15 the the DET issue-123 49 16 end end NOUN issue-123 49 17 of of ADP issue-123 49 18 the the DET issue-123 49 19 holding hold VERB issue-123 49 20 period period NOUN issue-123 49 21 its its PRON issue-123 49 22 structure structure NOUN issue-123 49 23 was be AUX issue-123 49 24 very very ADV issue-123 49 25 similar similar ADJ issue-123 49 26 to to ADP issue-123 49 27 the the DET issue-123 49 28 cw cw PROPN issue-123 49 29 portfolio portfolio NOUN issue-123 49 30 . . PUNCT issue-123 50 1 the the DET issue-123 50 2 common common ADJ issue-123 50 3 sense sense NOUN issue-123 50 4 may may AUX issue-123 50 5 say say VERB issue-123 50 6 that that SCONJ issue-123 50 7 it it PRON issue-123 50 8 did do AUX issue-123 50 9 not not PART issue-123 50 10 make make VERB issue-123 50 11 much much ADJ issue-123 50 12 sense sense NOUN issue-123 50 13 to to PART issue-123 50 14 spend spend VERB issue-123 50 15 money money NOUN issue-123 50 16 on on ADP issue-123 50 17 monthly monthly ADJ issue-123 50 18 rebalancing rebalancing NOUN issue-123 50 19 just just ADV issue-123 50 20 to to PART issue-123 50 21 end end VERB issue-123 50 22 up up ADP issue-123 50 23 with with ADP issue-123 50 24 the the DET issue-123 50 25 same same ADJ issue-123 50 26 asset asset NOUN issue-123 50 27 mix mix NOUN issue-123 50 28 . . PUNCT issue-123 51 1 however however ADV issue-123 51 2 , , PUNCT issue-123 51 3 if if SCONJ issue-123 51 4 the the DET issue-123 51 5 actual actual ADJ issue-123 51 6 performance performance NOUN issue-123 51 7 results result NOUN issue-123 51 8 are be AUX issue-123 51 9 checked check VERB issue-123 51 10 ( ( PUNCT issue-123 51 11 see see VERB issue-123 51 12 table table NOUN issue-123 51 13 1 1 NUM issue-123 51 14 ) ) PUNCT issue-123 51 15 , , PUNCT issue-123 51 16 the the DET issue-123 51 17 annualized annualize VERB issue-123 51 18 return return NOUN issue-123 51 19 of of ADP issue-123 51 20 cw cw NOUN issue-123 51 21 strategy strategy NOUN issue-123 51 22 is be AUX issue-123 51 23 0.8 0.8 NUM issue-123 51 24 % % NOUN issue-123 51 25 higher high ADJ issue-123 51 26 and and CCONJ issue-123 51 27 that that PRON issue-123 51 28 is be AUX issue-123 51 29 more more ADJ issue-123 51 30 than than ADP issue-123 51 31 enough enough ADJ issue-123 51 32 ( ( PUNCT issue-123 51 33 as as SCONJ issue-123 51 34 will will AUX issue-123 51 35 be be AUX issue-123 51 36 discussed discuss VERB issue-123 51 37 below below ADV issue-123 51 38 ) ) PUNCT issue-123 51 39 to to PART issue-123 51 40 compensate compensate VERB issue-123 51 41 for for ADP issue-123 51 42 the the DET issue-123 51 43 additional additional ADJ issue-123 51 44 costs cost NOUN issue-123 51 45 incurred incur VERB issue-123 51 46 . . PUNCT issue-123 52 1 the the DET issue-123 52 2 asset asset NOUN issue-123 52 3 mix mix NOUN issue-123 52 4 for for ADP issue-123 52 5 cppi cppi NOUN issue-123 52 6 strategy strategy NOUN issue-123 52 7 is be AUX issue-123 52 8 quite quite ADV issue-123 52 9 different different ADJ issue-123 52 10     SPACE issue-123 52 11 – – PUNCT issue-123 52 12 while while SCONJ issue-123 52 13 it it PRON issue-123 52 14 stayed stay VERB issue-123 52 15 pretty pretty ADV issue-123 52 16 similar similar ADJ issue-123 52 17 to to ADP issue-123 52 18 the the DET issue-123 52 19 bh bh PROPN issue-123 52 20 portfolio portfolio NOUN issue-123 52 21 during during ADP issue-123 52 22 turbulent turbulent ADJ issue-123 52 23 times time NOUN issue-123 52 24 of of ADP issue-123 52 25 the the DET issue-123 52 26 2008 2008 NUM issue-123 52 27 - - SYM issue-123 52 28 2009 2009 NUM issue-123 52 29 crisis crisis NOUN issue-123 52 30 , , PUNCT issue-123 52 31 on on ADP issue-123 52 32 the the DET issue-123 52 33 rebounding rebound VERB issue-123 52 34 market market NOUN issue-123 52 35 the the DET issue-123 52 36 cppi cppi NOUN issue-123 52 37 portfolio portfolio NOUN issue-123 52 38 structure structure NOUN issue-123 52 39 quickly quickly ADV issue-123 52 40 shifted shift VERB issue-123 52 41 to to ADP issue-123 52 42 100 100 NUM issue-123 52 43 % % NOUN issue-123 52 44 equity equity NOUN issue-123 52 45 allocation allocation NOUN issue-123 52 46 , , PUNCT issue-123 52 47 and and CCONJ issue-123 52 48 its its PRON issue-123 52 49 annualized annualize VERB issue-123 52 50 return return NOUN issue-123 52 51 over over ADP issue-123 52 52 the the DET issue-123 52 53 entire entire ADJ issue-123 52 54 holding hold VERB issue-123 52 55 period period NOUN issue-123 52 56 turned turn VERB issue-123 52 57 out out ADP issue-123 52 58 to to PART issue-123 52 59 be be AUX issue-123 52 60 significantly significantly ADV issue-123 52 61 higher high ADJ issue-123 52 62 than than ADP issue-123 52 63 for for ADP issue-123 52 64 two two NUM issue-123 52 65 other other ADJ issue-123 52 66 strategies strategy NOUN issue-123 52 67 . . PUNCT issue-123 53 1 0 0 NUM issue-123 53 2 % % NOUN issue-123 53 3 20 20 NUM issue-123 53 4 % % NOUN issue-123 53 5 40 40 NUM issue-123 53 6 % % NOUN issue-123 53 7 60 60 NUM issue-123 53 8 % % NOUN issue-123 53 9 80 80 NUM issue-123 53 10 % % NOUN issue-123 53 11 100 100 NUM issue-123 53 12 % % NOUN issue-123 53 13 al al PROPN issue-123 53 14 lo lo PROPN issue-123 53 15 ca can AUX issue-123 53 16 tio tio VERB issue-123 53 17 n n INTJ issue-123 53 18 to to PART issue-123 53 19 st st PROPN issue-123 53 20 oc oc PROPN issue-123 53 21 ks ks NOUN issue-123 53 22 buy buy VERB issue-123 53 23 - - PUNCT issue-123 53 24 and and CCONJ issue-123 53 25 - - PUNCT issue-123 53 26 hold hold VERB issue-123 53 27 strategy strategy NOUN issue-123 53 28 constant constant ADJ issue-123 53 29 weights weight NOUN issue-123 53 30 strategy strategy NOUN issue-123 53 31 cppi cppi NOUN issue-123 53 32 strategy strategy PROPN issue-123 53 33 fig fig PROPN issue-123 53 34 . . PUNCT issue-123 54 1 1 1 X issue-123 54 2 . . X issue-123 54 3 dymanics dymanic NOUN issue-123 54 4 of of ADP issue-123 54 5 the the DET issue-123 54 6 actual actual ADJ issue-123 54 7 asset asset NOUN issue-123 54 8 allocation allocation NOUN issue-123 54 9 for for ADP issue-123 54 10 bh bh NOUN issue-123 54 11 , , PUNCT issue-123 54 12 cw cw NOUN issue-123 54 13 and and CCONJ issue-123 54 14 cppi cppi NOUN issue-123 54 15 strategies strategy NOUN issue-123 54 16 as as SCONJ issue-123 54 17 readers reader NOUN issue-123 54 18 may may AUX issue-123 54 19 note note VERB issue-123 54 20 from from ADP issue-123 54 21 table table NOUN issue-123 54 22 1 1 NUM issue-123 54 23 , , PUNCT issue-123 54 24 bh bh NOUN issue-123 54 25 strategy strategy NOUN issue-123 54 26 dominates dominate VERB issue-123 54 27 ( ( PUNCT issue-123 54 28 i.e. i.e. X issue-123 54 29 delivers deliver VERB issue-123 54 30 the the DET issue-123 54 31 highest high ADJ issue-123 54 32 current current ADJ issue-123 54 33 return return NOUN issue-123 54 34 ) ) PUNCT issue-123 54 35 during during ADP issue-123 54 36 37 37 NUM issue-123 54 37 months month NOUN issue-123 54 38 between between ADP issue-123 54 39 july july PROPN issue-123 54 40 2007 2007 NUM issue-123 54 41 and and CCONJ issue-123 54 42 december december PROPN issue-123 54 43 2015 2015 NUM issue-123 54 44 , , PUNCT issue-123 54 45 cw cw NOUN issue-123 54 46 strategy strategy NOUN issue-123 54 47     SPACE issue-123 54 48 – – PUNCT issue-123 54 49 during during ADP issue-123 54 50 22 22 NUM issue-123 54 51 months month NOUN issue-123 54 52 , , PUNCT issue-123 54 53 whereas whereas SCONJ issue-123 54 54 cppi cppi NOUN issue-123 54 55 strategy strategy NOUN issue-123 54 56 dominates dominate VERB issue-123 54 57 during during ADP issue-123 54 58 43 43 NUM issue-123 54 59 months month NOUN issue-123 54 60 . . PUNCT issue-123 55 1 another another DET issue-123 55 2 metrics metric NOUN issue-123 55 3 of of ADP issue-123 55 4 practical practical ADJ issue-123 55 5 use use NOUN issue-123 55 6 would would AUX issue-123 55 7 be be AUX issue-123 55 8 the the DET issue-123 55 9 table table NOUN issue-123 55 10 1 1 NUM issue-123 55 11 performance performance NOUN issue-123 55 12 and and CCONJ issue-123 55 13 sample sample NOUN issue-123 55 14 statistics statistic NOUN issue-123 55 15 of of ADP issue-123 55 16 bh bh PROPN issue-123 55 17 , , PUNCT issue-123 55 18 cw cw NOUN issue-123 55 19 and and CCONJ issue-123 55 20 cppi cppi NOUN issue-123 55 21 strategies strategy NOUN issue-123 55 22 in in ADP issue-123 55 23 2007 2007 NUM issue-123 55 24 - - SYM issue-123 55 25 2015 2015 NUM issue-123 55 26 buy buy NOUN issue-123 55 27 - - PUNCT issue-123 55 28 and and CCONJ issue-123 55 29 - - PUNCT issue-123 55 30 hold hold VERB issue-123 55 31 constant constant ADJ issue-123 55 32 weights weight NOUN issue-123 55 33 cppi cppi PROPN issue-123 55 34 total total ADJ issue-123 55 35 return return NOUN issue-123 55 36 , , PUNCT issue-123 55 37 annualized annualize VERB issue-123 55 38 3.86 3.86 NUM issue-123 55 39 % % NOUN issue-123 55 40 4.63 4.63 NUM issue-123 55 41 % % NOUN issue-123 55 42 6.16 6.16 NUM issue-123 55 43 % % NOUN issue-123 55 44 standard standard ADJ issue-123 55 45 deviation deviation NOUN issue-123 55 46 , , PUNCT issue-123 55 47 annualized annualize VERB issue-123 55 48 9.18 9.18 NUM issue-123 55 49 % % NOUN issue-123 55 50 9.56 9.56 NUM issue-123 55 51 % % NOUN issue-123 55 52 10.43 10.43 NUM issue-123 55 53 % % NOUN issue-123 55 54 number number NOUN issue-123 55 55 of of ADP issue-123 55 56 months month NOUN issue-123 55 57 with with ADP issue-123 55 58 the the DET issue-123 55 59 highest high ADJ issue-123 55 60 return return NOUN issue-123 55 61 for for ADP issue-123 55 62 the the DET issue-123 55 63 current current ADJ issue-123 55 64 month month NOUN issue-123 55 65 37 37 NUM issue-123 55 66 22 22 NUM issue-123 55 67 43 43 NUM issue-123 55 68 cumulative cumulative ADJ issue-123 55 69 return return NOUN issue-123 55 70 up up ADP issue-123 55 71 to to ADP issue-123 55 72 this this DET issue-123 55 73 month month NOUN issue-123 55 74 13 13 NUM issue-123 55 75 5 5 NUM issue-123 55 76 84 84 NUM issue-123 55 77 average average ADJ issue-123 55 78 monthly monthly ADJ issue-123 55 79 return return NOUN issue-123 55 80 0.35 0.35 NUM issue-123 55 81 % % NOUN issue-123 55 82 0.42 0.42 NUM issue-123 55 83 % % NOUN issue-123 55 84 0.54 0.54 NUM issue-123 55 85 % % NOUN issue-123 55 86 standard standard ADJ issue-123 55 87 deviation deviation NOUN issue-123 55 88 of of ADP issue-123 55 89 monthly monthly ADJ issue-123 55 90 returns return NOUN issue-123 55 91 2.65 2.65 NUM issue-123 55 92 % % NOUN issue-123 55 93 2.76 2.76 NUM issue-123 55 94 % % NOUN issue-123 55 95 3.01 3.01 NUM issue-123 55 96 % % NOUN issue-123 55 97 skewness skewness NOUN issue-123 55 98 -1.2341 -1.2341 VERB issue-123 55 99 -1.3301 -1.3301 PROPN issue-123 55 100 -0.5174 -0.5174 PROPN issue-123 56 1 excess excess ADJ issue-123 56 2 kurtosis kurtosis VERB issue-123 56 3 4.3774 4.3774 NUM issue-123 56 4 3.8289 3.8289 NUM issue-123 56 5 1.9440 1.9440 NUM issue-123 56 6 minimal minimal ADJ issue-123 56 7 monthly monthly ADJ issue-123 56 8 return return NOUN issue-123 56 9 -11.17 -11.17 INTJ issue-123 56 10 % % NOUN issue-123 56 11 -10.78 -10.78 NUM issue-123 56 12 % % NOUN issue-123 56 13 -10.48 -10.48 INTJ issue-123 56 14 % % NOUN issue-123 56 15 5 5 NUM issue-123 56 16 % % NOUN issue-123 56 17 percentile percentile NOUN issue-123 56 18 of of ADP issue-123 56 19 monthly monthly ADJ issue-123 56 20 returns return NOUN issue-123 56 21 -3.95 -3.95 NUM issue-123 56 22 % % NOUN issue-123 56 23 -3.98 -3.98 NUM issue-123 56 24 % % NOUN issue-123 56 25 -3.97 -3.97 NUM issue-123 56 26 % % NOUN issue-123 56 27 median median ADJ issue-123 56 28 monthly monthly ADJ issue-123 56 29 return return NOUN issue-123 56 30 0.66 0.66 NUM issue-123 56 31 % % NOUN issue-123 56 32 0.62 0.62 NUM issue-123 56 33 % % NOUN issue-123 56 34 0.77 0.77 NUM issue-123 56 35 % % NOUN issue-123 56 36 95 95 NUM issue-123 56 37 % % NOUN issue-123 56 38 percentile percentile NOUN issue-123 56 39 of of ADP issue-123 56 40 monthly monthly ADJ issue-123 56 41 returns return NOUN issue-123 56 42 3.51 3.51 NUM issue-123 56 43 % % NOUN issue-123 56 44 4.14 4.14 NUM issue-123 56 45 % % NOUN issue-123 56 46 4.80 4.80 NUM issue-123 56 47 % % NOUN issue-123 56 48 maximal maximal ADJ issue-123 56 49 monthly monthly ADJ issue-123 56 50 return return NOUN issue-123 56 51 7.55 7.55 NUM issue-123 56 52 % % NOUN issue-123 56 53 6.04 6.04 NUM issue-123 56 54 % % NOUN issue-123 56 55 8.51 8.51 NUM issue-123 56 56 % % NOUN issue-123 56 57 baltic baltic PROPN issue-123 56 58 journal journal PROPN issue-123 56 59 of of ADP issue-123 56 60 economic economic ADJ issue-123 56 61 studies study NOUN issue-123 56 62 129 129 NUM issue-123 56 63 vol vol NOUN issue-123 56 64 . . PROPN issue-123 57 1 2 2 NUM issue-123 57 2 , , PUNCT issue-123 57 3 no no INTJ issue-123 57 4 . . NOUN issue-123 57 5 3 3 NUM issue-123 57 6 , , PUNCT issue-123 57 7 2016 2016 NUM issue-123 57 8 number number NOUN issue-123 57 9 of of ADP issue-123 57 10 months month NOUN issue-123 57 11 a a DET issue-123 57 12 particular particular ADJ issue-123 57 13 strategy strategy NOUN issue-123 57 14 delivered deliver VERB issue-123 57 15 the the DET issue-123 57 16 highest high ADJ issue-123 57 17 cumulative cumulative ADJ issue-123 57 18 return return NOUN issue-123 57 19 , , PUNCT issue-123 57 20 i.e. i.e. X issue-123 57 21 the the DET issue-123 57 22 value value NOUN issue-123 57 23 of of ADP issue-123 57 24 the the DET issue-123 57 25 portfolio portfolio NOUN issue-123 57 26 at at ADP issue-123 57 27 the the DET issue-123 57 28 end end NOUN issue-123 57 29 of of ADP issue-123 57 30 the the DET issue-123 57 31 corresponding corresponding ADJ issue-123 57 32 month month NOUN issue-123 57 33 was be AUX issue-123 57 34 the the DET issue-123 57 35 greatest great ADJ issue-123 57 36 . . PUNCT issue-123 58 1 the the DET issue-123 58 2 picture picture NOUN issue-123 58 3 is be AUX issue-123 58 4 quite quite ADV issue-123 58 5 different different ADJ issue-123 58 6 here here ADV issue-123 58 7 . . PUNCT issue-123 59 1 cppi cppi PROPN issue-123 59 2 strategy strategy NOUN issue-123 59 3 is be AUX issue-123 59 4 the the DET issue-123 59 5 clear clear ADJ issue-123 59 6 favourite favourite ADJ issue-123 59 7 outperforming outperforming NOUN issue-123 59 8 bh bh NOUN issue-123 59 9 and and CCONJ issue-123 59 10 cw cw NOUN issue-123 59 11 strategies strategy NOUN issue-123 59 12 in in ADP issue-123 59 13 84 84 NUM issue-123 59 14 of of ADP issue-123 59 15 102 102 NUM issue-123 59 16 months month NOUN issue-123 59 17 . . PUNCT issue-123 60 1 bh bh PROPN issue-123 60 2 strategy strategy NOUN issue-123 60 3 was be AUX issue-123 60 4 the the DET issue-123 60 5 best good ADJ issue-123 60 6 during during ADP issue-123 60 7 13 13 NUM issue-123 60 8 early early ADJ issue-123 60 9 months month NOUN issue-123 60 10 , , PUNCT issue-123 60 11 mostly mostly ADV issue-123 60 12 in in ADP issue-123 60 13 early early ADJ issue-123 60 14 2008 2008 NUM issue-123 60 15 , , PUNCT issue-123 60 16 and and CCONJ issue-123 60 17 cw cw NOUN issue-123 60 18 provided provide VERB issue-123 60 19 the the DET issue-123 60 20 highest high ADJ issue-123 60 21 value value NOUN issue-123 60 22 of of ADP issue-123 60 23 the the DET issue-123 60 24 portfolio portfolio NOUN issue-123 60 25 only only ADV issue-123 60 26 during during ADP issue-123 60 27 5 5 NUM issue-123 60 28 months month NOUN issue-123 60 29 . . PUNCT issue-123 61 1 the the DET issue-123 61 2 dynamics dynamic NOUN issue-123 61 3 of of ADP issue-123 61 4 the the DET issue-123 61 5 total total ADJ issue-123 61 6 cumulative cumulative ADJ issue-123 61 7 return return NOUN issue-123 61 8 for for ADP issue-123 61 9 different different ADJ issue-123 61 10 strategies strategy NOUN issue-123 61 11 is be AUX issue-123 61 12 plotted plot VERB issue-123 61 13 on on ADP issue-123 61 14 figure figure NOUN issue-123 61 15 2 2 NUM issue-123 61 16 . . PUNCT issue-123 61 17 fig fig NOUN issue-123 61 18 . . PUNCT issue-123 62 1 2 2 X issue-123 62 2 . . X issue-123 62 3 dynamics dynamic NOUN issue-123 62 4 of of ADP issue-123 62 5 the the DET issue-123 62 6 total total ADJ issue-123 62 7 cumulative cumulative ADJ issue-123 62 8 return return NOUN issue-123 62 9 for for ADP issue-123 62 10 bh bh NOUN issue-123 62 11 , , PUNCT issue-123 62 12 cw cw NOUN issue-123 62 13 and and CCONJ issue-123 62 14 cppi cppi PROPN issue-123 62 15 strategy strategy NOUN issue-123 62 16 the the DET issue-123 62 17 sample sample NOUN issue-123 62 18 statistics statistic NOUN issue-123 62 19 of of ADP issue-123 62 20 102 102 NUM issue-123 62 21 monthly monthly ADJ issue-123 62 22 returns return NOUN issue-123 62 23 for for ADP issue-123 62 24 each each DET issue-123 62 25 portfolio portfolio NOUN issue-123 62 26 are be AUX issue-123 62 27 provided provide VERB issue-123 62 28 in in ADP issue-123 62 29 table table NOUN issue-123 62 30 1 1 NUM issue-123 62 31 . . PUNCT issue-123 63 1 while while SCONJ issue-123 63 2 the the DET issue-123 63 3 average average ADJ issue-123 63 4 return return NOUN issue-123 63 5 for for ADP issue-123 63 6 cppi cppi NOUN issue-123 63 7 is be AUX issue-123 63 8 much much ADV issue-123 63 9 higher high ADJ issue-123 63 10 than than ADP issue-123 63 11 for for ADP issue-123 63 12 cw cw NOUN issue-123 63 13 or or CCONJ issue-123 63 14 bh bh PROPN issue-123 63 15 ( ( PUNCT issue-123 63 16 which which PRON issue-123 63 17 is be AUX issue-123 63 18 natural natural ADJ issue-123 63 19 given give VERB issue-123 63 20 its its PRON issue-123 63 21 outperformance outperformance NOUN issue-123 63 22 in in ADP issue-123 63 23 terms term NOUN issue-123 63 24 of of ADP issue-123 63 25 the the DET issue-123 63 26 total total ADJ issue-123 63 27 return return NOUN issue-123 63 28 ) ) PUNCT issue-123 63 29 , , PUNCT issue-123 63 30 the the DET issue-123 63 31 dispersion dispersion NOUN issue-123 63 32 of of ADP issue-123 63 33 monthly monthly ADJ issue-123 63 34 returns return NOUN issue-123 63 35 as as SCONJ issue-123 63 36 measured measure VERB issue-123 63 37 by by ADP issue-123 63 38 the the DET issue-123 63 39 standard standard ADJ issue-123 63 40 deviation deviation NOUN issue-123 63 41 is be AUX issue-123 63 42 also also ADV issue-123 63 43 higher high ADJ issue-123 63 44 for for ADP issue-123 63 45 cppi cppi NOUN issue-123 63 46 , , PUNCT issue-123 63 47 however however ADV issue-123 63 48 that that DET issue-123 63 49 difference difference NOUN issue-123 63 50 is be AUX issue-123 63 51 not not PART issue-123 63 52 huge huge ADJ issue-123 63 53 . . PUNCT issue-123 64 1 hence hence ADV issue-123 64 2 in in ADP issue-123 64 3 terms term NOUN issue-123 64 4 of of ADP issue-123 64 5 the the DET issue-123 64 6 sharpe sharpe PROPN issue-123 64 7 ratio ratio PROPN issue-123 64 8 cppi cppi PROPN issue-123 64 9 strategy strategy NOUN issue-123 64 10 is be AUX issue-123 64 11 clearly clearly ADV issue-123 64 12 preferential preferential ADJ issue-123 64 13 . . PUNCT issue-123 65 1 while while SCONJ issue-123 65 2 the the DET issue-123 65 3 mean mean ADJ issue-123 65 4 return return NOUN issue-123 65 5 and and CCONJ issue-123 65 6 its its PRON issue-123 65 7 standard standard ADJ issue-123 65 8 deviation deviation NOUN issue-123 65 9 steadily steadily ADV issue-123 65 10 increase increase VERB issue-123 65 11 as as SCONJ issue-123 65 12 we we PRON issue-123 65 13 shift shift VERB issue-123 65 14 from from ADP issue-123 65 15 bh bh PROPN issue-123 65 16 to to ADP issue-123 65 17 cw cw PROPN issue-123 65 18 and and CCONJ issue-123 65 19 from from ADP issue-123 65 20 cw cw PROPN issue-123 65 21 to to ADP issue-123 65 22 cppi cppi PROPN issue-123 65 23 , , PUNCT issue-123 65 24 it it PRON issue-123 65 25 ’s ’ VERB issue-123 65 26 not not PART issue-123 65 27 the the DET issue-123 65 28 case case NOUN issue-123 65 29 for for ADP issue-123 65 30 down down ADP issue-123 65 31 - - PUNCT issue-123 65 32 side side NOUN issue-123 65 33 risk risk NOUN issue-123 65 34 . . PUNCT issue-123 66 1 all all DET issue-123 66 2 three three NUM issue-123 66 3 portfolios portfolio NOUN issue-123 66 4 are be AUX issue-123 66 5 comparable comparable ADJ issue-123 66 6 in in ADP issue-123 66 7 terms term NOUN issue-123 66 8 of of ADP issue-123 66 9 5 5 NUM issue-123 66 10 % % NOUN issue-123 66 11 percentile percentile NOUN issue-123 66 12 ( ( PUNCT issue-123 66 13 which which PRON issue-123 66 14 is be AUX issue-123 66 15 a a DET issue-123 66 16 sample sample NOUN issue-123 66 17 measure measure NOUN issue-123 66 18 corresponding correspond VERB issue-123 66 19 to to ADP issue-123 66 20 var var NOUN issue-123 66 21 5 5 NUM issue-123 66 22 % % NOUN issue-123 66 23 ) ) PUNCT issue-123 66 24 . . PUNCT issue-123 67 1 it it PRON issue-123 67 2 ’s ’ VERB issue-123 67 3 also also ADV issue-123 67 4 interesting interesting ADJ issue-123 67 5 to to PART issue-123 67 6 note note VERB issue-123 67 7 that that SCONJ issue-123 67 8 the the DET issue-123 67 9 median median ADJ issue-123 67 10 return return NOUN issue-123 67 11 is be AUX issue-123 67 12 higher high ADJ issue-123 67 13 for for ADP issue-123 67 14 bh bh NOUN issue-123 67 15 than than ADP issue-123 67 16 for for ADP issue-123 67 17 cw cw NOUN issue-123 67 18 strategy strategy NOUN issue-123 67 19 , , PUNCT issue-123 67 20 contrary contrary ADV issue-123 67 21 to to ADP issue-123 67 22 the the DET issue-123 67 23 average average ADJ issue-123 67 24 return return NOUN issue-123 67 25 . . PUNCT issue-123 68 1 cppi cppi PROPN issue-123 68 2 strategy strategy PROPN issue-123 68 3 clearly clearly ADV issue-123 68 4 dominated dominate VERB issue-123 68 5 on on ADP issue-123 68 6 the the DET issue-123 68 7 upward upward ADJ issue-123 68 8 trend trend NOUN issue-123 68 9 in in ADP issue-123 68 10 2011 2011 NUM issue-123 68 11 - - SYM issue-123 68 12 2015 2015 NUM issue-123 68 13 and and CCONJ issue-123 68 14 , , PUNCT issue-123 68 15 surprisingly surprisingly ADV issue-123 68 16 , , PUNCT issue-123 68 17 during during ADP issue-123 68 18 market market NOUN issue-123 68 19 slump slump NOUN issue-123 68 20 in in ADP issue-123 68 21 the the DET issue-123 68 22 second second ADJ issue-123 68 23 half half NOUN issue-123 68 24 on on ADP issue-123 68 25 2008 2008 NUM issue-123 68 26 . . PUNCT issue-123 69 1 however however ADV issue-123 69 2 , , PUNCT issue-123 69 3 during during ADP issue-123 69 4 the the DET issue-123 69 5 most most ADJ issue-123 69 6 part part NOUN issue-123 69 7 of of ADP issue-123 69 8 2009 2009 NUM issue-123 69 9 - - SYM issue-123 69 10 2010 2010 NUM issue-123 69 11 , , PUNCT issue-123 69 12 especially especially ADV issue-123 69 13 on on ADP issue-123 69 14 the the DET issue-123 69 15 rebounding rebound VERB issue-123 69 16 market market NOUN issue-123 69 17 , , PUNCT issue-123 69 18 cw cw PROPN issue-123 69 19 appeared appear VERB issue-123 69 20 to to PART issue-123 69 21 be be AUX issue-123 69 22 the the DET issue-123 69 23 best good ADJ issue-123 69 24 strategy strategy NOUN issue-123 69 25 . . PUNCT issue-123 70 1 according accord VERB issue-123 70 2 to to ADP issue-123 70 3 the the DET issue-123 70 4 peroldsharpe peroldsharpe NOUN issue-123 70 5 analysis analysis NOUN issue-123 70 6 , , PUNCT issue-123 70 7 there there PRON issue-123 70 8 should should AUX issue-123 70 9 have have AUX issue-123 70 10 been be AUX issue-123 70 11 a a DET issue-123 70 12 correlation correlation NOUN issue-123 70 13 between between ADP issue-123 70 14 the the DET issue-123 70 15 stock stock NOUN issue-123 70 16 market market NOUN issue-123 70 17 volatility volatility NOUN issue-123 70 18 and and CCONJ issue-123 70 19 the the DET issue-123 70 20 best good ADJ issue-123 70 21 strategy strategy NOUN issue-123 70 22 during during ADP issue-123 70 23 that that DET issue-123 70 24 period period NOUN issue-123 70 25 . . PUNCT issue-123 71 1 the the DET issue-123 71 2 current current ADJ issue-123 71 3 volatility volatility NOUN issue-123 71 4 ( ( PUNCT issue-123 71 5 proxied proxie VERB issue-123 71 6 by by ADP issue-123 71 7 the the DET issue-123 71 8 monthly monthly ADJ issue-123 71 9 standard standard ADJ issue-123 71 10 deviation deviation NOUN issue-123 71 11 of of ADP issue-123 71 12 the the DET issue-123 71 13 daily daily ADJ issue-123 71 14 spy spy NOUN issue-123 71 15 returns return NOUN issue-123 71 16 ) ) PUNCT issue-123 71 17 was be AUX issue-123 71 18 plotted plot VERB issue-123 71 19 on on ADP issue-123 71 20 figure figure NOUN issue-123 71 21 3 3 NUM issue-123 71 22 with with ADP issue-123 71 23 the the DET issue-123 71 24 shaded shade VERB issue-123 71 25 bars bar NOUN issue-123 71 26 indicating indicate VERB issue-123 71 27 the the DET issue-123 71 28 strategy strategy NOUN issue-123 71 29 that that PRON issue-123 71 30 worked work VERB issue-123 71 31 best well ADV issue-123 71 32 during during ADP issue-123 71 33 the the DET issue-123 71 34 given give VERB issue-123 71 35 month month NOUN issue-123 71 36 . . PUNCT issue-123 72 1 however however ADV issue-123 72 2 , , PUNCT issue-123 72 3 it it PRON issue-123 72 4 is be AUX issue-123 72 5 not not PART issue-123 72 6 possible possible ADJ issue-123 72 7 to to PART issue-123 72 8 conclude conclude VERB issue-123 72 9 there there PRON issue-123 72 10 is be VERB issue-123 72 11 a a DET issue-123 72 12 correlation correlation NOUN issue-123 72 13 between between ADP issue-123 72 14 the the DET issue-123 72 15 volatility volatility NOUN issue-123 72 16 and and CCONJ issue-123 72 17 the the DET issue-123 72 18 best good ADJ issue-123 72 19 strategy strategy NOUN issue-123 72 20 , , PUNCT issue-123 72 21 because because SCONJ issue-123 72 22 during during ADP issue-123 72 23 various various ADJ issue-123 72 24 periods period NOUN issue-123 72 25 of of ADP issue-123 72 26 high high ADJ issue-123 72 27 volatility volatility NOUN issue-123 72 28 ( ( PUNCT issue-123 72 29 october october PROPN issue-123 72 30 2008 2008 NUM issue-123 72 31 , , PUNCT issue-123 72 32 march march PROPN issue-123 72 33 2009 2009 NUM issue-123 72 34 , , PUNCT issue-123 72 35 and and CCONJ issue-123 72 36 august august PROPN issue-123 72 37 2011 2011 NUM issue-123 72 38 ) ) PUNCT issue-123 72 39 different different ADJ issue-123 72 40 strategies strategy NOUN issue-123 72 41 provided provide VERB issue-123 72 42 the the DET issue-123 72 43 highest high ADJ issue-123 72 44 returns return NOUN issue-123 72 45 . . PUNCT issue-123 73 1 also also ADV issue-123 73 2 , , PUNCT issue-123 73 3 during during ADP issue-123 73 4 the the DET issue-123 73 5 periods period NOUN issue-123 73 6 of of ADP issue-123 73 7 low low ADJ issue-123 73 8 volatility volatility NOUN issue-123 73 9 there there PRON issue-123 73 10 was be VERB issue-123 73 11 no no DET issue-123 73 12 clear clear ADJ issue-123 73 13 preference preference NOUN issue-123 73 14 for for ADP issue-123 73 15 any any DET issue-123 73 16 particular particular ADJ issue-123 73 17 strategy strategy NOUN issue-123 73 18 , , PUNCT issue-123 73 19 albeit albeit SCONJ issue-123 73 20 cppi cppi NOUN issue-123 73 21 may may AUX issue-123 73 22 have have AUX issue-123 73 23 been be AUX issue-123 73 24 slightly slightly ADV issue-123 73 25 more more ADV issue-123 73 26 preferable preferable ADJ issue-123 73 27 . . PUNCT issue-123 74 1 fig fig NOUN issue-123 74 2 . . PUNCT issue-123 75 1 3 3 X issue-123 75 2 . . X issue-123 75 3 dominant dominant ADJ issue-123 75 4 strategy strategy NOUN issue-123 75 5 dependence dependence NOUN issue-123 75 6 on on ADP issue-123 75 7 the the DET issue-123 75 8 stock stock NOUN issue-123 75 9 market market NOUN issue-123 75 10 volatility volatility NOUN issue-123 75 11 3 3 NUM issue-123 75 12 . . PUNCT issue-123 75 13 simulated simulate VERB issue-123 75 14 portfolios portfolio NOUN issue-123 75 15 over over ADP issue-123 75 16 smaller small ADJ issue-123 75 17 holding holding NOUN issue-123 75 18 periods period NOUN issue-123 75 19 after after ADP issue-123 75 20 having having AUX issue-123 75 21 considered consider VERB issue-123 75 22 three three NUM issue-123 75 23 strategies strategy NOUN issue-123 75 24 over over ADP issue-123 75 25 the the DET issue-123 75 26 entire entire ADJ issue-123 75 27 holding hold VERB issue-123 75 28 period period NOUN issue-123 75 29 of of ADP issue-123 75 30 102 102 NUM issue-123 75 31 months month NOUN issue-123 75 32 , , PUNCT issue-123 75 33 the the DET issue-123 75 34 monte monte PROPN issue-123 75 35 carlo carlo PROPN issue-123 75 36 simulation simulation PROPN issue-123 75 37 was be AUX issue-123 75 38 performed perform VERB issue-123 75 39 over over ADP issue-123 75 40 smaller small ADJ issue-123 75 41 randomly randomly ADV issue-123 75 42 selected select VERB issue-123 75 43 holding hold VERB issue-123 75 44 periods period NOUN issue-123 75 45 ( ( PUNCT issue-123 75 46 60 60 NUM issue-123 75 47 months month NOUN issue-123 75 48 , , PUNCT issue-123 75 49 36 36 NUM issue-123 75 50 months month NOUN issue-123 75 51 , , PUNCT issue-123 75 52 and and CCONJ issue-123 75 53 18 18 NUM issue-123 75 54 months month NOUN issue-123 75 55 ) ) PUNCT issue-123 75 56 . . PUNCT issue-123 76 1 each each DET issue-123 76 2 simulation simulation NOUN issue-123 76 3 consisted consist VERB issue-123 76 4 of of ADP issue-123 76 5 randomly randomly ADV issue-123 76 6 choosing choose VERB issue-123 76 7 a a DET issue-123 76 8 starting starting NOUN issue-123 76 9 date date NOUN issue-123 76 10 , , PUNCT issue-123 76 11 investing invest VERB issue-123 76 12 $ $ SYM issue-123 76 13 1,000,000 1,000,000 NUM issue-123 76 14 in in ADP issue-123 76 15 a a DET issue-123 76 16 60 60 NUM issue-123 76 17 % % NOUN issue-123 76 18 spy spy NOUN issue-123 76 19 40 40 NUM issue-123 76 20 % % NOUN issue-123 76 21 tlt tlt NOUN issue-123 76 22 mix mix NOUN issue-123 76 23 and and CCONJ issue-123 76 24 running run VERB issue-123 76 25 three three NUM issue-123 76 26 portfolios portfolio NOUN issue-123 76 27 ( ( PUNCT issue-123 76 28 bh bh NOUN issue-123 76 29 , , PUNCT issue-123 76 30 cw cw NOUN issue-123 76 31 , , PUNCT issue-123 76 32 and and CCONJ issue-123 76 33 cppi cppi NOUN issue-123 76 34 ) ) PUNCT issue-123 76 35 with with ADP issue-123 76 36 monthly monthly ADJ issue-123 76 37 rebalancing rebalancing NOUN issue-123 76 38 for for ADP issue-123 76 39 the the DET issue-123 76 40 selected select VERB issue-123 76 41 holding holding NOUN issue-123 76 42 period period NOUN issue-123 76 43 . . PUNCT issue-123 77 1 400 400 NUM issue-123 77 2     SPACE issue-123 77 3 simulations simulation NOUN issue-123 77 4 were be AUX issue-123 77 5 run run VERB issue-123 77 6 for for ADP issue-123 77 7 each each DET issue-123 77 8 holding hold VERB issue-123 77 9 period period NOUN issue-123 77 10 length length NOUN issue-123 77 11 . . PUNCT issue-123 78 1 the the DET issue-123 78 2 simulation simulation NOUN issue-123 78 3 with with ADP issue-123 78 4 60 60 NUM issue-123 78 5 months month NOUN issue-123 78 6 holding hold VERB issue-123 78 7 period period NOUN issue-123 78 8 ( ( PUNCT issue-123 78 9 see see VERB issue-123 78 10 panel panel NOUN issue-123 78 11 a a PRON issue-123 78 12 in in ADP issue-123 78 13 table table NOUN issue-123 78 14 2 2 NUM issue-123 78 15 ) ) PUNCT issue-123 78 16 shows show VERB issue-123 78 17 clear clear ADJ issue-123 78 18 outperformance outperformance NOUN issue-123 78 19 of of ADP issue-123 78 20 cppi cppi NOUN issue-123 78 21 over over ADP issue-123 78 22 other other ADJ issue-123 78 23 strategies strategy NOUN issue-123 78 24 . . PUNCT issue-123 79 1 it it PRON issue-123 79 2 delivers deliver VERB issue-123 79 3 the the DET issue-123 79 4 best good ADJ issue-123 79 5 performance performance NOUN issue-123 79 6 for for ADP issue-123 79 7 357 357 NUM issue-123 79 8 of of ADP issue-123 79 9 400 400 NUM issue-123 79 10 portfolios portfolio NOUN issue-123 79 11 , , PUNCT issue-123 79 12 whereas whereas SCONJ issue-123 79 13 cw cw NOUN issue-123 79 14 strategy strategy NOUN issue-123 79 15 dominates dominate VERB issue-123 79 16 for for ADP issue-123 79 17 39 39 NUM issue-123 79 18 portfolios portfolio NOUN issue-123 79 19 , , PUNCT issue-123 79 20 most most ADJ issue-123 79 21 of of ADP issue-123 79 22 which which PRON issue-123 79 23 were be AUX issue-123 79 24 started start VERB issue-123 79 25 in in ADP issue-123 79 26 2007 2007 NUM issue-123 79 27 and and CCONJ issue-123 79 28 baltic baltic ADJ issue-123 79 29 journal journal NOUN issue-123 79 30 of of ADP issue-123 79 31 economic economic ADJ issue-123 79 32 studies study NOUN issue-123 79 33 130 130 NUM issue-123 79 34 vol vol NOUN issue-123 79 35 . . PROPN issue-123 80 1 2 2 NUM issue-123 80 2 , , PUNCT issue-123 80 3 no no INTJ issue-123 80 4 . . NOUN issue-123 80 5 3 3 NUM issue-123 80 6 , , PUNCT issue-123 80 7 2016 2016 NUM issue-123 80 8 early early ADJ issue-123 80 9 2008 2008 NUM issue-123 80 10 , , PUNCT issue-123 80 11 so so SCONJ issue-123 80 12 they they PRON issue-123 80 13 had have VERB issue-123 80 14 a a DET issue-123 80 15 greater great ADJ issue-123 80 16 exposure exposure NOUN issue-123 80 17 to to ADP issue-123 80 18 the the DET issue-123 80 19 financial financial ADJ issue-123 80 20 crisis crisis NOUN issue-123 80 21 . . PUNCT issue-123 81 1 hence hence ADV issue-123 81 2 it it PRON issue-123 81 3 can can AUX issue-123 81 4 be be AUX issue-123 81 5 concluded conclude VERB issue-123 81 6 that that SCONJ issue-123 81 7 cppi cppi NOUN issue-123 81 8 strategy strategy NOUN issue-123 81 9 was be AUX issue-123 81 10 dominant dominant ADJ issue-123 81 11 on on ADP issue-123 81 12 the the DET issue-123 81 13 post post ADJ issue-123 81 14 - - ADJ issue-123 81 15 crisis crisis ADJ issue-123 81 16 growing grow VERB issue-123 81 17 market market NOUN issue-123 81 18 , , PUNCT issue-123 81 19 however however ADV issue-123 81 20 during during ADP issue-123 81 21 the the DET issue-123 81 22 turbulent turbulent ADJ issue-123 81 23 times time NOUN issue-123 81 24 of of ADP issue-123 81 25 2008 2008 NUM issue-123 81 26 - - SYM issue-123 81 27 2009 2009 NUM issue-123 81 28 cw cw NOUN issue-123 81 29 strategy strategy NOUN issue-123 81 30 was be AUX issue-123 81 31 better well ADJ issue-123 81 32 . . PUNCT issue-123 82 1 the the DET issue-123 82 2 results result NOUN issue-123 82 3 for for ADP issue-123 82 4 the the DET issue-123 82 5 simulation simulation NOUN issue-123 82 6 with with ADP issue-123 82 7 36 36 NUM issue-123 82 8 months month NOUN issue-123 82 9 holding hold VERB issue-123 82 10 period period NOUN issue-123 82 11 ( ( PUNCT issue-123 82 12 see see VERB issue-123 82 13 panel panel NOUN issue-123 82 14 b b PROPN issue-123 82 15 in in ADP issue-123 82 16 table table NOUN issue-123 82 17 2 2 NUM issue-123 82 18 ) ) PUNCT issue-123 82 19 differ differ VERB issue-123 82 20 from from ADP issue-123 82 21 the the DET issue-123 82 22 ones one NOUN issue-123 82 23 discussed discuss VERB issue-123 82 24 above above ADP issue-123 82 25 immaterially immaterially ADV issue-123 82 26 for for ADP issue-123 82 27 bh bh NOUN issue-123 82 28 and and CCONJ issue-123 82 29 cw cw NOUN issue-123 82 30 strategies strategy NOUN issue-123 82 31 , , PUNCT issue-123 82 32 but but CCONJ issue-123 82 33 cppi cppi NOUN issue-123 82 34 strategy strategy NOUN issue-123 82 35 generates generate VERB issue-123 82 36 lower low ADJ issue-123 82 37 returns return NOUN issue-123 82 38 . . PUNCT issue-123 83 1 the the DET issue-123 83 2 amount amount NOUN issue-123 83 3 of of ADP issue-123 83 4 portfolios portfolio NOUN issue-123 83 5 for for ADP issue-123 83 6 which which PRON issue-123 83 7 cppi cppi NOUN issue-123 83 8 dominated dominate VERB issue-123 83 9 is be AUX issue-123 83 10 significantly significantly ADV issue-123 83 11 lower low ADJ issue-123 83 12 than than ADP issue-123 83 13 be be AUX issue-123 83 14 - - PUNCT issue-123 83 15 fore fore NOUN issue-123 83 16 , , PUNCT issue-123 83 17 and and CCONJ issue-123 83 18 at at ADP issue-123 83 19 36 36 NUM issue-123 83 20 months month NOUN issue-123 83 21 holding hold VERB issue-123 83 22 period period NOUN issue-123 83 23 much much ADV issue-123 83 24 more more ADJ issue-123 83 25 cw cw NOUN issue-123 83 26 portfolios portfolio NOUN issue-123 83 27 become become VERB issue-123 83 28 dominant dominant ADJ issue-123 83 29 . . PUNCT issue-123 84 1 when when SCONJ issue-123 84 2 the the DET issue-123 84 3 holding hold VERB issue-123 84 4 period period NOUN issue-123 84 5 is be AUX issue-123 84 6 reduced reduce VERB issue-123 84 7 further far ADV issue-123 84 8 to to ADP issue-123 84 9 18 18 NUM issue-123 84 10 months month NOUN issue-123 84 11 ( ( PUNCT issue-123 84 12 see see VERB issue-123 84 13 panel panel NOUN issue-123 84 14 c c NOUN issue-123 84 15 in in ADP issue-123 84 16 table table NOUN issue-123 84 17 2 2 NUM issue-123 84 18 ) ) PUNCT issue-123 84 19 , , PUNCT issue-123 84 20 the the DET issue-123 84 21 returns return NOUN issue-123 84 22 for for ADP issue-123 84 23 all all DET issue-123 84 24 three three NUM issue-123 84 25 strategies strategy NOUN issue-123 84 26 become become VERB issue-123 84 27 much much ADV issue-123 84 28 more more ADV issue-123 84 29 aligned aligned ADJ issue-123 84 30 . . PUNCT issue-123 85 1 whereas whereas SCONJ issue-123 85 2 bh bh NOUN issue-123 85 3 and and CCONJ issue-123 85 4 cw cw PROPN issue-123 85 5 average average ADJ issue-123 85 6 returns return NOUN issue-123 85 7 are be AUX issue-123 85 8 slightly slightly ADV issue-123 85 9 lower low ADJ issue-123 85 10 , , PUNCT issue-123 85 11 there there PRON issue-123 85 12 is be VERB issue-123 85 13 a a DET issue-123 85 14 significant significant ADJ issue-123 85 15 drop drop NOUN issue-123 85 16 in in ADP issue-123 85 17 the the DET issue-123 85 18 average average ADJ issue-123 85 19 return return NOUN issue-123 85 20 for for ADP issue-123 85 21 cppi cppi NOUN issue-123 85 22 strategy strategy NOUN issue-123 85 23 . . PUNCT issue-123 86 1 while while SCONJ issue-123 86 2 the the DET issue-123 86 3 numbers number NOUN issue-123 86 4 of of ADP issue-123 86 5 dominant dominant ADJ issue-123 86 6 portfolios portfolio NOUN issue-123 86 7 for for ADP issue-123 86 8 each each DET issue-123 86 9 strategy strategy NOUN issue-123 86 10 stays stay VERB issue-123 86 11 about about ADP issue-123 86 12 the the DET issue-123 86 13 same same ADJ issue-123 86 14 as as ADP issue-123 86 15 for for ADP issue-123 86 16 36 36 NUM issue-123 86 17 months month NOUN issue-123 86 18 holding hold VERB issue-123 86 19 period period NOUN issue-123 86 20 , , PUNCT issue-123 86 21 the the DET issue-123 86 22 95 95 NUM issue-123 86 23 % % NOUN issue-123 86 24 confidence confidence NOUN issue-123 86 25 intervals interval NOUN issue-123 86 26 for for ADP issue-123 86 27 all all DET issue-123 86 28 strategies strategy NOUN issue-123 86 29 have have VERB issue-123 86 30 a a DET issue-123 86 31 substantial substantial ADJ issue-123 86 32 overlap overlap NOUN issue-123 86 33 . . PUNCT issue-123 87 1 so so ADV issue-123 87 2 , , PUNCT issue-123 87 3 as as SCONJ issue-123 87 4 the the DET issue-123 87 5 holding hold VERB issue-123 87 6 period period NOUN issue-123 87 7 shortens shorten VERB issue-123 87 8 the the DET issue-123 87 9 distinction distinction NOUN issue-123 87 10 between between ADP issue-123 87 11 the the DET issue-123 87 12 strategies strategy NOUN issue-123 87 13 blurs blur VERB issue-123 87 14 . . PUNCT issue-123 88 1 the the DET issue-123 88 2 total total ADJ issue-123 88 3 portfolio portfolio NOUN issue-123 88 4 turnover turnover NOUN issue-123 88 5 , , PUNCT issue-123 88 6 which which PRON issue-123 88 7 is be AUX issue-123 88 8 calculated calculate VERB issue-123 88 9 as as ADP issue-123 88 10 the the DET issue-123 88 11 total total ADJ issue-123 88 12 value value NOUN issue-123 88 13 of of ADP issue-123 88 14 transactions transaction NOUN issue-123 88 15 executed execute VERB issue-123 88 16 for for ADP issue-123 88 17 rebalancing rebalancing NOUN issue-123 88 18 divided divide VERB issue-123 88 19 by by ADP issue-123 88 20 the the DET issue-123 88 21 initial initial ADJ issue-123 88 22 portfolio portfolio NOUN issue-123 88 23 value value NOUN issue-123 88 24 , , PUNCT issue-123 88 25 is be AUX issue-123 88 26 zero zero NUM issue-123 88 27 for for ADP issue-123 88 28 bh bh NOUN issue-123 88 29 but but CCONJ issue-123 88 30 becomes become VERB issue-123 88 31 quite quite ADV issue-123 88 32 significant significant ADJ issue-123 88 33 for for ADP issue-123 88 34 cw cw NOUN issue-123 88 35 and and CCONJ issue-123 88 36 cppi cppi PROPN issue-123 88 37 ( ( PUNCT issue-123 88 38 see see VERB issue-123 88 39 table table NOUN issue-123 88 40     SPACE issue-123 88 41 2 2 NUM issue-123 88 42 ) ) PUNCT issue-123 88 43 . . PUNCT issue-123 89 1 it it PRON issue-123 89 2 ’s ’ VERB issue-123 89 3 a a DET issue-123 89 4 common common ADJ issue-123 89 5 perception perception NOUN issue-123 89 6 that that SCONJ issue-123 89 7 bh bh NOUN issue-123 89 8 strategy strategy NOUN issue-123 89 9 may may AUX issue-123 89 10 turn turn VERB issue-123 89 11 out out ADP issue-123 89 12 to to PART issue-123 89 13 be be AUX issue-123 89 14 more more ADV issue-123 89 15 desirable desirable ADJ issue-123 89 16 when when SCONJ issue-123 89 17 after after ADP issue-123 89 18 - - PUNCT issue-123 89 19 fees fee NOUN issue-123 89 20 returns return NOUN issue-123 89 21 are be AUX issue-123 89 22 considered consider VERB issue-123 89 23 . . PUNCT issue-123 90 1 however however ADV issue-123 90 2 , , PUNCT issue-123 90 3 when when SCONJ issue-123 90 4 taking take VERB issue-123 90 5 typical typical ADJ issue-123 90 6 commission commission NOUN issue-123 90 7 structures structure NOUN issue-123 90 8 used use VERB issue-123 90 9 by by ADP issue-123 90 10 the the DET issue-123 90 11 major major ADJ issue-123 90 12 brokerage brokerage NOUN issue-123 90 13 firms firm NOUN issue-123 90 14 into into ADP issue-123 90 15 account account NOUN issue-123 90 16 , , PUNCT issue-123 90 17 it it PRON issue-123 90 18 becomes become VERB issue-123 90 19 apparent apparent ADJ issue-123 90 20 that that SCONJ issue-123 90 21 the the DET issue-123 90 22 reduction reduction NOUN issue-123 90 23 in in ADP issue-123 90 24 average average ADJ issue-123 90 25 return return NOUN issue-123 90 26 after after ADP issue-123 90 27 fees fee NOUN issue-123 90 28 is be AUX issue-123 90 29 not not PART issue-123 90 30 significant significant ADJ issue-123 90 31 . . PUNCT issue-123 91 1 two two NUM issue-123 91 2 fee fee NOUN issue-123 91 3 models model NOUN issue-123 91 4 were be AUX issue-123 91 5 modelled model VERB issue-123 91 6     SPACE issue-123 91 7 – – PUNCT issue-123 91 8 the the DET issue-123 91 9 volume volume NOUN issue-123 91 10 - - PUNCT issue-123 91 11 based base VERB issue-123 91 12 model model NOUN issue-123 91 13 , , PUNCT issue-123 91 14 which which PRON issue-123 91 15 depends depend VERB issue-123 91 16 on on ADP issue-123 91 17 the the DET issue-123 91 18 amount amount NOUN issue-123 91 19 of of ADP issue-123 91 20 shares share NOUN issue-123 91 21 traded trade VERB issue-123 91 22 , , PUNCT issue-123 91 23 and and CCONJ issue-123 91 24 the the DET issue-123 91 25 flat flat ADJ issue-123 91 26 - - PUNCT issue-123 91 27 fee fee NOUN issue-123 91 28 model model NOUN issue-123 91 29 , , PUNCT issue-123 91 30 which which PRON issue-123 91 31 is be AUX issue-123 91 32 based base VERB issue-123 91 33 on on ADP issue-123 91 34 a a DET issue-123 91 35 fixed fix VERB issue-123 91 36 fee fee NOUN issue-123 91 37 per per ADP issue-123 91 38 trade trade NOUN issue-123 91 39 . . PUNCT issue-123 92 1 the the DET issue-123 92 2 fees fee NOUN issue-123 92 3 were be AUX issue-123 92 4 calculated calculate VERB issue-123 92 5 as as SCONJ issue-123 92 6 follows follow VERB issue-123 92 7 : : PUNCT issue-123 92 8 • • NOUN issue-123 92 9 for for ADP issue-123 92 10 the the DET issue-123 92 11 volume volume NOUN issue-123 92 12 - - PUNCT issue-123 92 13 based base VERB issue-123 92 14 model model NOUN issue-123 92 15 : : PUNCT issue-123 92 16 $ $ SYM issue-123 92 17 0.005 0.005 NUM issue-123 92 18 per per ADP issue-123 92 19 each each DET issue-123 92 20 share share NOUN issue-123 92 21 traded trade VERB issue-123 92 22 , , PUNCT issue-123 92 23 subject subject ADJ issue-123 92 24 to to ADP issue-123 92 25 a a DET issue-123 92 26 floor floor NOUN issue-123 92 27 of of ADP issue-123 92 28 $ $ SYM issue-123 92 29 1 1 NUM issue-123 92 30 per per ADP issue-123 92 31 trade trade NOUN issue-123 92 32 and and CCONJ issue-123 92 33 to to ADP issue-123 92 34 a a DET issue-123 92 35 cap cap NOUN issue-123 92 36 of of ADP issue-123 92 37 0.5 0.5 NUM issue-123 92 38 % % NOUN issue-123 92 39 of of ADP issue-123 92 40 the the DET issue-123 92 41 total total ADJ issue-123 92 42 trade trade NOUN issue-123 92 43 value value NOUN issue-123 92 44 ; ; PUNCT issue-123 92 45 • • NUM issue-123 92 46 for for ADP issue-123 92 47 the the DET issue-123 92 48 flat flat ADJ issue-123 92 49 - - PUNCT issue-123 92 50 fee fee NOUN issue-123 92 51 model model NOUN issue-123 92 52 : : PUNCT issue-123 92 53 $ $ SYM issue-123 92 54 6.95 6.95 NUM issue-123 92 55 per per ADP issue-123 92 56 trade trade NOUN issue-123 92 57 . . PUNCT issue-123 93 1 for for ADP issue-123 93 2 our our PRON issue-123 93 3 portfolio portfolio NOUN issue-123 93 4 of of ADP issue-123 93 5 $ $ SYM issue-123 93 6 1,000,000 1,000,000 NUM issue-123 93 7 the the DET issue-123 93 8 typical typical ADJ issue-123 93 9 transaction transaction NOUN issue-123 93 10 fees fee NOUN issue-123 93 11 were be AUX issue-123 93 12 way way NOUN issue-123 93 13 below below ADP issue-123 93 14 $ $ SYM issue-123 93 15 1,000 1,000 NUM issue-123 93 16 even even ADV issue-123 93 17 for for ADP issue-123 93 18 5 5 NUM issue-123 93 19 years year NOUN issue-123 93 20 holding hold VERB issue-123 93 21 period period NOUN issue-123 93 22 . . PUNCT issue-123 94 1 therefore therefore ADV issue-123 94 2 , , PUNCT issue-123 94 3 the the DET issue-123 94 4 maximum maximum ADJ issue-123 94 5 decrease decrease NOUN issue-123 94 6 in in ADP issue-123 94 7 total total ADJ issue-123 94 8 return return NOUN issue-123 94 9 for for ADP issue-123 94 10 the the DET issue-123 94 11 entire entire ADJ issue-123 94 12 holding hold VERB issue-123 94 13 period period NOUN issue-123 94 14 is be AUX issue-123 94 15 less less ADJ issue-123 94 16 than than ADP issue-123 94 17 0.1 0.1 NUM issue-123 94 18 % % NOUN issue-123 94 19 , , PUNCT issue-123 94 20 or or CCONJ issue-123 94 21 less less ADJ issue-123 94 22 than than ADP issue-123 94 23 0.02 0.02 NUM issue-123 94 24 % % NOUN issue-123 94 25 when when SCONJ issue-123 94 26 annualized annualize VERB issue-123 94 27 . . PUNCT issue-123 95 1 in in ADP issue-123 95 2 general general ADJ issue-123 95 3 , , PUNCT issue-123 95 4 the the DET issue-123 95 5 volume volume NOUN issue-123 95 6 - - PUNCT issue-123 95 7 based base VERB issue-123 95 8 model model NOUN issue-123 95 9 generates generate VERB issue-123 95 10 lower low ADJ issue-123 95 11 fees fee NOUN issue-123 95 12 when when SCONJ issue-123 95 13 there there PRON issue-123 95 14 are be VERB issue-123 95 15 many many ADJ issue-123 95 16 smaller small ADJ issue-123 95 17 transactions transaction NOUN issue-123 95 18 ( ( PUNCT issue-123 95 19 in in ADP issue-123 95 20 our our PRON issue-123 95 21 case case NOUN issue-123 95 22 the the DET issue-123 95 23 monthly monthly ADJ issue-123 95 24 minimum minimum ADJ issue-123 95 25 commission commission NOUN issue-123 95 26 is be AUX issue-123 95 27 waived waive VERB issue-123 95 28 since since SCONJ issue-123 95 29 the the DET issue-123 95 30 nav nav NOUN issue-123 95 31 of of ADP issue-123 95 32 the the DET issue-123 95 33 portfolio portfolio NOUN issue-123 95 34 is be AUX issue-123 95 35 higher high ADJ issue-123 95 36 than than ADP issue-123 95 37 $ $ SYM issue-123 95 38 100,000 100,000 NUM issue-123 95 39 ) ) PUNCT issue-123 95 40 , , PUNCT issue-123 95 41 whereas whereas SCONJ issue-123 95 42 the the DET issue-123 95 43 flat flat ADJ issue-123 95 44 - - PUNCT issue-123 95 45 fee fee NOUN issue-123 95 46 model model NOUN issue-123 95 47 favours favour VERB issue-123 95 48 a a DET issue-123 95 49 small small ADJ issue-123 95 50 number number NOUN issue-123 95 51 of of ADP issue-123 95 52 large large ADJ issue-123 95 53 trades trade NOUN issue-123 95 54 . . PUNCT issue-123 96 1 however however ADV issue-123 96 2 , , PUNCT issue-123 96 3 for for ADP issue-123 96 4 both both DET issue-123 96 5 fee fee NOUN issue-123 96 6 models model NOUN issue-123 96 7 considered consider VERB issue-123 96 8 , , PUNCT issue-123 96 9 as as ADV issue-123 96 10 well well ADV issue-123 96 11 as as ADP issue-123 96 12 for for ADP issue-123 96 13 any any DET issue-123 96 14 model model NOUN issue-123 96 15 that that PRON issue-123 96 16 is be AUX issue-123 96 17 reasonably reasonably ADV issue-123 96 18 competitive competitive ADJ issue-123 96 19 with with ADP issue-123 96 20 those those DET issue-123 96 21 two two NUM issue-123 96 22 , , PUNCT issue-123 96 23 the the DET issue-123 96 24 amount amount NOUN issue-123 96 25 of of ADP issue-123 96 26 commissions commission NOUN issue-123 96 27 is be AUX issue-123 96 28 way way ADV issue-123 96 29 too too ADV issue-123 96 30 small small ADJ issue-123 96 31 to to PART issue-123 96 32 justify justify VERB issue-123 96 33 switching switch VERB issue-123 96 34 from from ADP issue-123 96 35 a a DET issue-123 96 36 strategy strategy NOUN issue-123 96 37 chosen choose VERB issue-123 96 38 on on ADP issue-123 96 39 before before ADP issue-123 96 40 - - PUNCT issue-123 96 41 fees fee NOUN issue-123 96 42 basis basis NOUN issue-123 96 43 . . PUNCT issue-123 97 1 4 4 X issue-123 97 2 . . X issue-123 97 3 effect effect NOUN issue-123 97 4 of of ADP issue-123 97 5 holding hold VERB issue-123 97 6 period period NOUN issue-123 97 7 length length NOUN issue-123 97 8 on on ADP issue-123 97 9 turnover turnover NOUN issue-123 97 10 the the DET issue-123 97 11 total total ADJ issue-123 97 12 portfolio portfolio NOUN issue-123 97 13 turnover turnover NOUN issue-123 97 14 is be AUX issue-123 97 15 analyzed analyze VERB issue-123 97 16 over over ADP issue-123 97 17 various various ADJ issue-123 97 18 holding hold VERB issue-123 97 19 periods period NOUN issue-123 97 20 ranging range VERB issue-123 97 21 from from ADP issue-123 97 22 12 12 NUM issue-123 97 23 to to PART issue-123 97 24 60 60 NUM issue-123 97 25 months month NOUN issue-123 97 26 using use VERB issue-123 97 27 100 100 NUM issue-123 97 28 monte monte PROPN issue-123 97 29 - - PUNCT issue-123 97 30 carlo carlo NOUN issue-123 97 31 simulations simulation NOUN issue-123 97 32 . . PUNCT issue-123 98 1 the the DET issue-123 98 2 starting starting NOUN issue-123 98 3 date date NOUN issue-123 98 4 was be AUX issue-123 98 5 table table NOUN issue-123 98 6 2 2 NUM issue-123 98 7 monte monte NOUN issue-123 98 8 - - PUNCT issue-123 98 9 carlo carlo PROPN issue-123 98 10 simulation simulation NOUN issue-123 98 11 results result VERB issue-123 98 12 for for ADP issue-123 98 13 bh bh NOUN issue-123 98 14 , , PUNCT issue-123 98 15 cw cw NOUN issue-123 98 16 and and CCONJ issue-123 98 17 cppi cppi NOUN issue-123 98 18 strategies strategy NOUN issue-123 98 19 over over ADP issue-123 98 20 different different ADJ issue-123 98 21 holding hold VERB issue-123 98 22 periods period NOUN issue-123 98 23 panel panel NOUN issue-123 98 24 a. a. NOUN issue-123 98 25 holding holding NOUN issue-123 98 26 period period NOUN issue-123 98 27 60 60 NUM issue-123 98 28 months month NOUN issue-123 98 29 buy buy VERB issue-123 98 30 - - PUNCT issue-123 98 31 and and CCONJ issue-123 98 32 - - PUNCT issue-123 98 33 hold hold VERB issue-123 98 34 constant constant ADJ issue-123 98 35 weights weight NOUN issue-123 98 36 cppi cppi NOUN issue-123 98 37 average average ADJ issue-123 98 38 return return NOUN issue-123 98 39 before before ADP issue-123 98 40 fees fee NOUN issue-123 98 41 , , PUNCT issue-123 98 42 annualized annualize VERB issue-123 98 43 7.87 7.87 NUM issue-123 98 44 % % NOUN issue-123 98 45 8.34 8.34 NUM issue-123 98 46 % % NOUN issue-123 98 47 9.92 9.92 NUM issue-123 98 48 % % NOUN issue-123 98 49 standard standard ADJ issue-123 98 50 error error NOUN issue-123 98 51 0.19 0.19 NUM issue-123 98 52 % % NOUN issue-123 98 53 0.17 0.17 NUM issue-123 98 54 % % NOUN issue-123 98 55 0.21 0.21 NUM issue-123 98 56 % % NOUN issue-123 98 57 95 95 NUM issue-123 98 58 % % NOUN issue-123 98 59 confidence confidence NOUN issue-123 98 60 interval interval NOUN issue-123 98 61 7.50%-8.24 7.50%-8.24 NOUN issue-123 98 62 % % NOUN issue-123 98 63 8.02%-8.66 8.02%-8.66 NUM issue-123 98 64 % % NOUN issue-123 98 65 9.51%-10.34 9.51%-10.34 NUM issue-123 98 66 % % NOUN issue-123 98 67 portfolios portfolio NOUN issue-123 98 68 where where SCONJ issue-123 98 69 the the DET issue-123 98 70 strategy strategy NOUN issue-123 98 71 dominates dominate VERB issue-123 98 72 4 4 NUM issue-123 98 73 39 39 NUM issue-123 98 74 357 357 NUM issue-123 98 75 average average ADJ issue-123 98 76 portfolio portfolio NOUN issue-123 98 77 turnover turnover NOUN issue-123 98 78 0 0 NUM issue-123 98 79 % % NOUN issue-123 98 80 197 197 NUM issue-123 98 81 % % NOUN issue-123 98 82 280 280 NUM issue-123 98 83 % % NOUN issue-123 98 84 fees fee NOUN issue-123 98 85 , , PUNCT issue-123 98 86 volume volume NOUN issue-123 98 87 - - PUNCT issue-123 98 88 based base VERB issue-123 98 89 model model NOUN issue-123 98 90 < < X issue-123 98 91 0.01 0.01 NUM issue-123 98 92 % % NOUN issue-123 98 93 0.02 0.02 NUM issue-123 98 94 % % NOUN issue-123 98 95 0.02 0.02 NUM issue-123 98 96 % % NOUN issue-123 98 97 fees fee NOUN issue-123 98 98 , , PUNCT issue-123 98 99 flat flat ADJ issue-123 98 100 - - PUNCT issue-123 98 101 fee fee NOUN issue-123 98 102 model model NOUN issue-123 98 103 < < X issue-123 98 104 0.01 0.01 NUM issue-123 98 105 % % NOUN issue-123 98 106 0.08 0.08 NUM issue-123 98 107 % % NOUN issue-123 98 108 0.07 0.07 NUM issue-123 98 109 % % NOUN issue-123 98 110 panel panel NOUN issue-123 98 111 b. b. PROPN issue-123 98 112 holding holding PROPN issue-123 98 113 period period NOUN issue-123 98 114 36 36 NUM issue-123 98 115 months month NOUN issue-123 98 116 buy buy VERB issue-123 98 117 - - PUNCT issue-123 98 118 and and CCONJ issue-123 98 119 - - PUNCT issue-123 98 120 hold hold VERB issue-123 98 121 constant constant ADJ issue-123 98 122 weights weight NOUN issue-123 98 123 cppi cppi NOUN issue-123 98 124 average average ADJ issue-123 98 125 return return NOUN issue-123 98 126 before before ADP issue-123 98 127 fees fee NOUN issue-123 98 128 , , PUNCT issue-123 98 129 annualized annualize VERB issue-123 98 130 7.84 7.84 NUM issue-123 98 131 % % NOUN issue-123 98 132 8.45 8.45 NUM issue-123 98 133 % % NOUN issue-123 98 134 9.18 9.18 NUM issue-123 98 135 % % NOUN issue-123 98 136 standard standard ADJ issue-123 98 137 error error NOUN issue-123 98 138 0.26 0.26 NUM issue-123 98 139 % % NOUN issue-123 98 140 0.25 0.25 NUM issue-123 98 141 % % NOUN issue-123 98 142 0.30 0.30 NUM issue-123 98 143 % % NOUN issue-123 98 144 95 95 NUM issue-123 98 145 % % NOUN issue-123 98 146 confidence confidence NOUN issue-123 98 147 interval interval NOUN issue-123 99 1 7.33%-8.36 7.33%-8.36 NOUN issue-123 99 2 % % NOUN issue-123 99 3 7.95%-8.94 7.95%-8.94 NUM issue-123 99 4 % % NOUN issue-123 99 5 8.59%-9.77 8.59%-9.77 NUM issue-123 99 6 % % NOUN issue-123 99 7 portfolios portfolio NOUN issue-123 99 8 where where SCONJ issue-123 99 9 the the DET issue-123 99 10 strategy strategy NOUN issue-123 99 11 dominates dominate VERB issue-123 99 12 14 14 NUM issue-123 99 13 161 161 NUM issue-123 99 14 225 225 NUM issue-123 99 15 average average ADJ issue-123 99 16 portfolio portfolio NOUN issue-123 99 17 turnover turnover NOUN issue-123 99 18 0 0 NUM issue-123 99 19 % % NOUN issue-123 99 20 114 114 NUM issue-123 99 21 % % NOUN issue-123 99 22 201 201 NUM issue-123 99 23 % % NOUN issue-123 99 24 fees fee NOUN issue-123 99 25 , , PUNCT issue-123 99 26 volume volume NOUN issue-123 99 27 - - PUNCT issue-123 99 28 based base VERB issue-123 99 29 model model NOUN issue-123 99 30 < < X issue-123 99 31 0.01 0.01 NUM issue-123 99 32 % % NOUN issue-123 99 33 0.01 0.01 NUM issue-123 99 34 % % NOUN issue-123 99 35 0.02 0.02 NUM issue-123 99 36 % % NOUN issue-123 99 37 fees fee NOUN issue-123 99 38 , , PUNCT issue-123 99 39 flat flat ADJ issue-123 99 40 - - PUNCT issue-123 99 41 fee fee NOUN issue-123 99 42 model model NOUN issue-123 99 43 < < X issue-123 99 44 0.01 0.01 NUM issue-123 99 45 % % NOUN issue-123 99 46 0.05 0.05 NUM issue-123 99 47 % % NOUN issue-123 99 48 0.05 0.05 NUM issue-123 99 49 % % NOUN issue-123 99 50 panel panel NOUN issue-123 99 51 c. c. NOUN issue-123 99 52 holding holding NOUN issue-123 99 53 period period NOUN issue-123 99 54 18 18 NUM issue-123 99 55 months month NOUN issue-123 99 56 buy buy VERB issue-123 99 57 - - PUNCT issue-123 99 58 and and CCONJ issue-123 99 59 - - PUNCT issue-123 99 60 hold hold VERB issue-123 99 61 constant constant ADJ issue-123 99 62 weights weight NOUN issue-123 99 63 cppi cppi NOUN issue-123 99 64 average average ADJ issue-123 99 65 return return NOUN issue-123 99 66 before before ADP issue-123 99 67 fees fee NOUN issue-123 99 68 , , PUNCT issue-123 99 69 annualized annualize VERB issue-123 99 70 7.35 7.35 NUM issue-123 99 71 % % NOUN issue-123 99 72 7.48 7.48 NUM issue-123 99 73 % % NOUN issue-123 99 74 8.17 8.17 NUM issue-123 99 75 % % NOUN issue-123 99 76 standard standard ADJ issue-123 99 77 error error NOUN issue-123 99 78 0.46 0.46 NUM issue-123 99 79 % % NOUN issue-123 99 80 0.46 0.46 NUM issue-123 99 81 % % NOUN issue-123 99 82 0.45 0.45 NUM issue-123 99 83 % % NOUN issue-123 99 84 95 95 NUM issue-123 99 85 % % NOUN issue-123 99 86 confidence confidence NOUN issue-123 99 87 interval interval NOUN issue-123 100 1 6.46%-8.24 6.46%-8.24 NOUN issue-123 100 2 % % NOUN issue-123 100 3 6.58%-8.39 6.58%-8.39 NOUN issue-123 100 4 % % NOUN issue-123 100 5 7.30%-9.05 7.30%-9.05 NUM issue-123 100 6 % % NOUN issue-123 100 7 portfolios portfolio NOUN issue-123 100 8 where where SCONJ issue-123 100 9 the the DET issue-123 100 10 strategy strategy NOUN issue-123 100 11 dominates dominate VERB issue-123 100 12 16 16 NUM issue-123 100 13 156 156 NUM issue-123 100 14 228 228 NUM issue-123 100 15 average average ADJ issue-123 100 16 portfolio portfolio NOUN issue-123 100 17 turnover turnover NOUN issue-123 100 18 0 0 NUM issue-123 100 19 % % NOUN issue-123 100 20 54 54 NUM issue-123 100 21 % % NOUN issue-123 100 22 102 102 NUM issue-123 100 23 % % NOUN issue-123 100 24 fees fee NOUN issue-123 100 25 , , PUNCT issue-123 100 26 volume volume NOUN issue-123 100 27 - - PUNCT issue-123 100 28 based base VERB issue-123 100 29 model model NOUN issue-123 100 30 < < X issue-123 100 31 0.01 0.01 NUM issue-123 100 32 % % NOUN issue-123 100 33 0.01 0.01 NUM issue-123 100 34 % % NOUN issue-123 100 35 0.01 0.01 NUM issue-123 100 36 % % NOUN issue-123 100 37 fees fee NOUN issue-123 100 38 , , PUNCT issue-123 100 39 flat flat ADJ issue-123 100 40 - - PUNCT issue-123 100 41 fee fee NOUN issue-123 100 42 model model NOUN issue-123 100 43 < < X issue-123 100 44 0.01 0.01 NUM issue-123 100 45 % % NOUN issue-123 100 46 0.03 0.03 NUM issue-123 100 47 % % NOUN issue-123 100 48 0.03 0.03 NUM issue-123 100 49 % % NOUN issue-123 100 50 baltic baltic ADJ issue-123 100 51 journal journal NOUN issue-123 100 52 of of ADP issue-123 100 53 economic economic ADJ issue-123 100 54 studies study NOUN issue-123 100 55 131 131 NUM issue-123 100 56 vol vol NOUN issue-123 100 57 . . PROPN issue-123 101 1 2 2 NUM issue-123 101 2 , , PUNCT issue-123 101 3 no no INTJ issue-123 101 4 . . NOUN issue-123 101 5 3 3 NUM issue-123 101 6 , , PUNCT issue-123 101 7 2016 2016 NUM issue-123 101 8 randomly randomly ADV issue-123 101 9 selected select VERB issue-123 101 10 so so SCONJ issue-123 101 11 that that SCONJ issue-123 101 12 the the DET issue-123 101 13 holding hold VERB issue-123 101 14 period period NOUN issue-123 101 15 fits fit VERB issue-123 101 16 between between ADP issue-123 101 17 july july PROPN issue-123 101 18 1 1 NUM issue-123 101 19 , , PUNCT issue-123 101 20 2017 2017 NUM issue-123 101 21 and and CCONJ issue-123 101 22 december december PROPN issue-123 101 23 31 31 NUM issue-123 101 24 , , PUNCT issue-123 101 25 2015 2015 NUM issue-123 101 26 . . PUNCT issue-123 102 1 of of ADP issue-123 102 2 course course NOUN issue-123 102 3 , , PUNCT issue-123 102 4 for for ADP issue-123 102 5 bh bh NOUN issue-123 102 6 strategy strategy NOUN issue-123 102 7 the the DET issue-123 102 8 turnover turnover NOUN issue-123 102 9 is be AUX issue-123 102 10 zero zero NUM issue-123 102 11 . . PUNCT issue-123 103 1 for for ADP issue-123 103 2 cw cw PROPN issue-123 103 3 and and CCONJ issue-123 103 4 cppi cppi PROPN issue-123 103 5 strategy strategy NOUN issue-123 103 6 a a DET issue-123 103 7 strong strong ADJ issue-123 103 8 positive positive ADJ issue-123 103 9 link link NOUN issue-123 103 10 between between ADP issue-123 103 11 the the DET issue-123 103 12 holding hold VERB issue-123 103 13 period period NOUN issue-123 103 14 and and CCONJ issue-123 103 15 the the DET issue-123 103 16 turnover turnover NOUN issue-123 103 17 is be AUX issue-123 103 18 found find VERB issue-123 103 19 ( ( PUNCT issue-123 103 20 see see VERB issue-123 103 21 figure figure NOUN issue-123 103 22 4 4 NUM issue-123 103 23 ) ) PUNCT issue-123 103 24 , , PUNCT issue-123 103 25 however however ADV issue-123 103 26 the the DET issue-123 103 27 dispersion dispersion NOUN issue-123 103 28 of of ADP issue-123 103 29 the the DET issue-123 103 30 turnover turnover NOUN issue-123 103 31 is be AUX issue-123 103 32 much much ADV issue-123 103 33 higher high ADJ issue-123 103 34 for for ADP issue-123 103 35 cppi cppi NOUN issue-123 103 36 . . PUNCT issue-123 104 1 it it PRON issue-123 104 2 can can AUX issue-123 104 3 be be AUX issue-123 104 4 explained explain VERB issue-123 104 5 by by ADP issue-123 104 6 the the DET issue-123 104 7 fact fact NOUN issue-123 104 8 that that SCONJ issue-123 104 9 portfolios portfolio NOUN issue-123 104 10 held hold VERB issue-123 104 11 during during ADP issue-123 104 12 2012 2012 NUM issue-123 104 13 - - SYM issue-123 104 14 2015 2015 NUM issue-123 104 15 are be AUX issue-123 104 16 likely likely ADJ issue-123 104 17 to to PART issue-123 104 18 shift shift VERB issue-123 104 19 to to ADP issue-123 104 20 100 100 NUM issue-123 104 21 % % NOUN issue-123 104 22 equity equity NOUN issue-123 104 23 allocation allocation NOUN issue-123 104 24 under under ADP issue-123 104 25 cppi cppi NOUN issue-123 104 26 strategy strategy NOUN issue-123 104 27 , , PUNCT issue-123 104 28 which which PRON issue-123 104 29 decreased decrease VERB issue-123 104 30 their their PRON issue-123 104 31 rebalancing rebalancing NOUN issue-123 104 32 needs need NOUN issue-123 104 33 and and CCONJ issue-123 104 34 turnover turnover NOUN issue-123 104 35 comparing compare VERB issue-123 104 36 to to ADP issue-123 104 37 those those PRON issue-123 104 38 held hold VERB issue-123 104 39 during during ADP issue-123 104 40 2007 2007 NUM issue-123 104 41 - - SYM issue-123 104 42 2011 2011 NUM issue-123 104 43 . . PUNCT issue-123 105 1 on on ADP issue-123 105 2 the the DET issue-123 105 3 other other ADJ issue-123 105 4 hand hand NOUN issue-123 105 5 , , PUNCT issue-123 105 6 the the DET issue-123 105 7 turnover turnover NOUN issue-123 105 8 under under ADP issue-123 105 9 cw cw NOUN issue-123 105 10 strategy strategy NOUN issue-123 105 11 is be AUX issue-123 105 12 much much ADV issue-123 105 13 more more ADV issue-123 105 14 consistent consistent ADJ issue-123 105 15 , , PUNCT issue-123 105 16 because because SCONJ issue-123 105 17 the the DET issue-123 105 18 target target NOUN issue-123 105 19 asset asset NOUN issue-123 105 20 weights weight NOUN issue-123 105 21 remain remain VERB issue-123 105 22 the the DET issue-123 105 23 same same ADJ issue-123 105 24 . . PUNCT issue-123 106 1 if if SCONJ issue-123 106 2 the the DET issue-123 106 3 dependence dependence NOUN issue-123 106 4 of of ADP issue-123 106 5 the the DET issue-123 106 6 total total ADJ issue-123 106 7 broker broker PROPN issue-123 106 8 commission commission PROPN issue-123 106 9 to to ADP issue-123 106 10 the the DET issue-123 106 11 holding hold VERB issue-123 106 12 period period NOUN issue-123 106 13 length length NOUN issue-123 106 14 is be AUX issue-123 106 15 considered consider VERB issue-123 106 16 , , PUNCT issue-123 106 17 however however ADV issue-123 106 18 , , PUNCT issue-123 106 19 a a DET issue-123 106 20 different different ADJ issue-123 106 21 picture picture NOUN issue-123 106 22 appears appear VERB issue-123 106 23 . . PUNCT issue-123 107 1 the the DET issue-123 107 2 flat flat ADJ issue-123 107 3 - - PUNCT issue-123 107 4 fee fee NOUN issue-123 107 5 model model NOUN issue-123 107 6 ( ( PUNCT issue-123 107 7 see see VERB issue-123 107 8 panel panel NOUN issue-123 107 9 b b PROPN issue-123 107 10 on on ADP issue-123 107 11 figure figure NOUN issue-123 107 12     SPACE issue-123 107 13 5 5 NUM issue-123 107 14 ) ) PUNCT issue-123 107 15 generates generate VERB issue-123 107 16 linearly linearly ADV issue-123 107 17 increasing increase VERB issue-123 107 18 fees fee NOUN issue-123 107 19 for for ADP issue-123 107 20 cw cw NOUN issue-123 107 21 strategy strategy NOUN issue-123 107 22 and and CCONJ issue-123 107 23 for for ADP issue-123 107 24 most most ADJ issue-123 107 25 portfolios portfolio NOUN issue-123 107 26 under under ADP issue-123 107 27 cppi cppi NOUN issue-123 107 28 strategy strategy NOUN issue-123 107 29 , , PUNCT issue-123 107 30 because because SCONJ issue-123 107 31 the the DET issue-123 107 32 number number NOUN issue-123 107 33 of of ADP issue-123 107 34 trades trade NOUN issue-123 107 35 is be AUX issue-123 107 36 proportional proportional ADJ issue-123 107 37 to to ADP issue-123 107 38 the the DET issue-123 107 39 number number NOUN issue-123 107 40 of of ADP issue-123 107 41 rebalancing rebalancing NOUN issue-123 107 42 ( ( PUNCT issue-123 107 43 i.e. i.e. X issue-123 107 44 the the DET issue-123 107 45 number number NOUN issue-123 107 46 of of ADP issue-123 107 47 months month NOUN issue-123 107 48 the the DET issue-123 107 49 portfolio portfolio NOUN issue-123 107 50 is be AUX issue-123 107 51 being be AUX issue-123 107 52 held hold VERB issue-123 107 53 ) ) PUNCT issue-123 107 54 . . PUNCT issue-123 108 1 the the DET issue-123 108 2 only only ADJ issue-123 108 3 exception exception NOUN issue-123 108 4 is be AUX issue-123 108 5 cppi cppi NOUN issue-123 108 6 portfolios portfolio NOUN issue-123 108 7 that that PRON issue-123 108 8 shift shift VERB issue-123 108 9 to to ADP issue-123 108 10 100 100 NUM issue-123 108 11 % % NOUN issue-123 108 12 equity equity NOUN issue-123 108 13 allocation allocation NOUN issue-123 108 14 , , PUNCT issue-123 108 15 as as SCONJ issue-123 108 16 they they PRON issue-123 108 17 do do AUX issue-123 108 18 not not PART issue-123 108 19 re re VERB issue-123 108 20 - - VERB issue-123 108 21 quire quire ADJ issue-123 108 22 subsequent subsequent ADJ issue-123 108 23 rebalancing rebalancing NOUN issue-123 108 24 ( ( PUNCT issue-123 108 25 they they PRON issue-123 108 26 are be AUX issue-123 108 27 the the DET issue-123 108 28 dots dot NOUN issue-123 108 29 below below ADP issue-123 108 30 the the DET issue-123 108 31 diagonal diagonal ADJ issue-123 108 32 line line NOUN issue-123 108 33 on on ADP issue-123 108 34 panel panel NOUN issue-123 108 35 b b NOUN issue-123 108 36 ) ) PUNCT issue-123 108 37 . . PUNCT issue-123 109 1 the the DET issue-123 109 2 volumebased volumebased ADJ issue-123 109 3 model model NOUN issue-123 109 4 ( ( PUNCT issue-123 109 5 see see VERB issue-123 109 6 panel panel NOUN issue-123 109 7 a a PRON issue-123 109 8 on on ADP issue-123 109 9 figure figure NOUN issue-123 109 10 5 5 NUM issue-123 109 11 ) ) PUNCT issue-123 109 12 leads lead VERB issue-123 109 13 to to ADP issue-123 109 14 quite quite ADV issue-123 109 15 different different ADJ issue-123 109 16 results result NOUN issue-123 109 17 , , PUNCT issue-123 109 18 the the DET issue-123 109 19 fees fee NOUN issue-123 109 20 increase increase VERB issue-123 109 21 with with ADP issue-123 109 22 the the DET issue-123 109 23 length length NOUN issue-123 109 24 of of ADP issue-123 109 25 the the DET issue-123 109 26 holding hold VERB issue-123 109 27 period period NOUN issue-123 109 28 , , PUNCT issue-123 109 29 however however ADV issue-123 109 30 , , PUNCT issue-123 109 31 at at ADP issue-123 109 32 a a DET issue-123 109 33 much much ADV issue-123 109 34 slower slow ADJ issue-123 109 35 rate rate NOUN issue-123 109 36 . . PUNCT issue-123 110 1 the the DET issue-123 110 2 scatter scatter NOUN issue-123 110 3 plot plot NOUN issue-123 110 4 depicting depict VERB issue-123 110 5 the the DET issue-123 110 6 amount amount NOUN issue-123 110 7 of of ADP issue-123 110 8 fees fee NOUN issue-123 110 9 in in ADP issue-123 110 10 this this DET issue-123 110 11 case case NOUN issue-123 110 12 is be AUX issue-123 110 13 quite quite ADV issue-123 110 14 similar similar ADJ issue-123 110 15 to to ADP issue-123 110 16 the the DET issue-123 110 17 scatter scatter NOUN issue-123 110 18 plot plot NOUN issue-123 110 19 for for ADP issue-123 110 20 the the DET issue-123 110 21 turnover turnover NOUN issue-123 110 22 , , PUNCT issue-123 110 23 because because SCONJ issue-123 110 24 for for ADP issue-123 110 25 the the DET issue-123 110 26 volume volume NOUN issue-123 110 27 - - PUNCT issue-123 110 28 based base VERB issue-123 110 29 model model NOUN issue-123 110 30 fees fee NOUN issue-123 110 31 are be AUX issue-123 110 32 proportional proportional ADJ issue-123 110 33 to to ADP issue-123 110 34 the the DET issue-123 110 35 amount amount NOUN issue-123 110 36 of of ADP issue-123 110 37 trades trade NOUN issue-123 110 38 . . PUNCT issue-123 111 1 0 0 NUM issue-123 111 2 % % NOUN issue-123 111 3 100 100 NUM issue-123 111 4 % % NOUN issue-123 111 5 200 200 NUM issue-123 111 6 % % NOUN issue-123 111 7 300 300 NUM issue-123 111 8 % % NOUN issue-123 111 9 400 400 NUM issue-123 111 10 % % NOUN issue-123 111 11 500 500 NUM issue-123 111 12 % % NOUN issue-123 111 13 600 600 NUM issue-123 111 14 % % NOUN issue-123 111 15 700 700 NUM issue-123 111 16 % % NOUN issue-123 111 17 0 0 NUM issue-123 111 18 % % NOUN issue-123 111 19 10 10 NUM issue-123 111 20 % % NOUN issue-123 111 21 20 20 NUM issue-123 111 22 % % NOUN issue-123 111 23 30 30 NUM issue-123 111 24 % % NOUN issue-123 111 25 40 40 NUM issue-123 111 26 % % NOUN issue-123 111 27 50 50 NUM issue-123 111 28 % % NOUN issue-123 111 29 60 60 NUM issue-123 111 30 % % NOUN issue-123 111 31 70 70 NUM issue-123 111 32 % % NOUN issue-123 111 33 80 80 NUM issue-123 111 34 % % NOUN issue-123 111 35 90 90 NUM issue-123 111 36 % % NOUN issue-123 111 37 100 100 NUM issue-123 111 38 % % NOUN issue-123 111 39 po po INTJ issue-123 112 1 rt rt INTJ issue-123 112 2 fo fo INTJ issue-123 112 3 lio lio PROPN issue-123 112 4 tu tu PROPN issue-123 112 5 rn rn PROPN issue-123 112 6 ov ov PROPN issue-123 112 7 er er INTJ issue-123 112 8 initial initial ADJ issue-123 112 9 allocation allocation NOUN issue-123 112 10 to to ADP issue-123 112 11 stocks stock NOUN issue-123 112 12 buy buy VERB issue-123 112 13 - - PUNCT issue-123 112 14 and and CCONJ issue-123 112 15 - - PUNCT issue-123 112 16 hold hold VERB issue-123 112 17 strategy strategy NOUN issue-123 112 18 constant constant ADJ issue-123 112 19 weights weight NOUN issue-123 112 20 strategy strategy NOUN issue-123 112 21 cppi cppi NOUN issue-123 112 22 strategy strategy PROPN issue-123 112 23 fig fig PROPN issue-123 112 24 . . PUNCT issue-123 113 1 6 6 NUM issue-123 113 2 . . X issue-123 113 3 total total ADJ issue-123 113 4 portfolio portfolio NOUN issue-123 113 5 turnover turnover NOUN issue-123 113 6 dependence dependence NOUN issue-123 113 7 on on ADP issue-123 113 8 the the DET issue-123 113 9 initial initial ADJ issue-123 113 10 portfolio portfolio NOUN issue-123 113 11 allocation allocation NOUN issue-123 113 12 panel panel NOUN issue-123 113 13 a. a. NOUN issue-123 113 14 volume volume NOUN issue-123 113 15 - - PUNCT issue-123 113 16 based base VERB issue-123 113 17 model model NOUN issue-123 113 18 panel panel PROPN issue-123 113 19 b. b. PROPN issue-123 113 20 flat flat ADJ issue-123 113 21 - - PUNCT issue-123 113 22 fee fee NOUN issue-123 113 23 model model NOUN issue-123 113 24 fig fig NOUN issue-123 113 25 . . PUNCT issue-123 114 1 5 5 NUM issue-123 114 2 . . X issue-123 114 3 total total ADJ issue-123 114 4 brokerage brokerage NOUN issue-123 114 5 commissions commission NOUN issue-123 114 6 dependence dependence NOUN issue-123 114 7 on on ADP issue-123 114 8 the the DET issue-123 114 9 holding hold VERB issue-123 114 10 period period NOUN issue-123 114 11 length length NOUN issue-123 114 12 5 5 NUM issue-123 114 13 . . PUNCT issue-123 114 14 effect effect NOUN issue-123 114 15 of of ADP issue-123 114 16 initial initial ADJ issue-123 114 17 asset asset NOUN issue-123 114 18 allocation allocation NOUN issue-123 114 19 on on ADP issue-123 114 20 turnover turnover NOUN issue-123 114 21 finally finally ADV issue-123 114 22 , , PUNCT issue-123 114 23 the the DET issue-123 114 24 total total ADJ issue-123 114 25 portfolio portfolio NOUN issue-123 114 26 turnover turnover NOUN issue-123 114 27 for for ADP issue-123 114 28 different different ADJ issue-123 114 29 initial initial ADJ issue-123 114 30 portfolio portfolio NOUN issue-123 114 31 composition composition NOUN issue-123 114 32 is be AUX issue-123 114 33 analyzed analyze VERB issue-123 114 34 using use VERB issue-123 114 35 100 100 NUM issue-123 114 36     SPACE issue-123 114 37 monte monte NOUN issue-123 114 38 - - PUNCT issue-123 114 39 carlo carlo PROPN issue-123 114 40 simulations simulation NOUN issue-123 114 41 on on ADP issue-123 114 42 the the DET issue-123 114 43 total total ADJ issue-123 114 44 holding hold VERB issue-123 114 45 period period NOUN issue-123 114 46 of of ADP issue-123 114 47 60 60 NUM issue-123 114 48 month month NOUN issue-123 114 49 . . PUNCT issue-123 115 1 the the DET issue-123 115 2 starting starting NOUN issue-123 115 3 date date NOUN issue-123 115 4 is be AUX issue-123 115 5 randomly randomly ADV issue-123 115 6 selected select VERB issue-123 115 7 so so SCONJ issue-123 115 8 that that SCONJ issue-123 115 9 the the DET issue-123 115 10 holding hold VERB issue-123 115 11 period period NOUN issue-123 115 12 fits fit VERB issue-123 115 13 between between ADP issue-123 115 14 july july PROPN issue-123 115 15 1 1 NUM issue-123 115 16 , , PUNCT issue-123 115 17 2017 2017 NUM issue-123 115 18 and and CCONJ issue-123 115 19 december december PROPN issue-123 115 20 31 31 NUM issue-123 115 21 , , PUNCT issue-123 115 22 2015 2015 NUM issue-123 115 23 , , PUNCT issue-123 115 24 and and CCONJ issue-123 115 25 the the DET issue-123 115 26 initial initial ADJ issue-123 115 27 allocation allocation NOUN issue-123 115 28 to to ADP issue-123 115 29 stocks stock NOUN issue-123 115 30 is be AUX issue-123 115 31 randomly randomly ADV issue-123 115 32 chosen choose VERB issue-123 115 33 between between ADP issue-123 115 34 20 20 NUM issue-123 115 35 % % NOUN issue-123 115 36 and and CCONJ issue-123 115 37 80 80 NUM issue-123 115 38 % % NOUN issue-123 115 39 . . PUNCT issue-123 116 1 for for ADP issue-123 116 2 the the DET issue-123 116 3 cppi cppi PROPN issue-123 116 4 portfolio portfolio PROPN issue-123 116 5 the the DET issue-123 116 6 floor floor NOUN issue-123 116 7 level level NOUN issue-123 116 8 in in ADP issue-123 116 9 formula formula NOUN issue-123 116 10 ( ( PUNCT issue-123 116 11 1 1 X issue-123 116 12 ) ) PUNCT issue-123 116 13 is be AUX issue-123 116 14 adjusted adjust VERB issue-123 116 15 accordingly accordingly ADV issue-123 116 16 . . PUNCT issue-123 117 1 bh bh PROPN issue-123 117 2 strategy strategy NOUN issue-123 117 3 , , PUNCT issue-123 117 4 again again ADV issue-123 117 5 , , PUNCT issue-123 117 6 has have VERB issue-123 117 7 no no DET issue-123 117 8 turnover turnover NOUN issue-123 117 9 . . PUNCT issue-123 118 1 the the DET issue-123 118 2 portfolio portfolio NOUN issue-123 118 3 turnover turnover NOUN issue-123 118 4 for for ADP issue-123 118 5 cw cw NOUN issue-123 118 6 is be AUX issue-123 118 7 much much ADV issue-123 118 8 less less ADV issue-123 118 9 dispersed disperse VERB issue-123 118 10 than than ADP issue-123 118 11 for for ADP issue-123 118 12 cppi cppi NOUN issue-123 118 13 , , PUNCT issue-123 118 14 and and CCONJ issue-123 118 15 the the DET issue-123 118 16 shapes shape NOUN issue-123 118 17 are be AUX issue-123 118 18 quite quite ADV issue-123 118 19 different different ADJ issue-123 118 20 for for ADP issue-123 118 21 the the DET issue-123 118 22 strategies strategy NOUN issue-123 118 23 ( ( PUNCT issue-123 118 24 see see VERB issue-123 118 25 figure figure NOUN issue-123 118 26 6 6 NUM issue-123 118 27 ) ) PUNCT issue-123 118 28 . . PUNCT issue-123 119 1 for for ADP issue-123 119 2 cw cw NOUN issue-123 119 3 strategy strategy NOUN issue-123 119 4 the the DET issue-123 119 5 turnover turnover NOUN issue-123 119 6 ranges range VERB issue-123 119 7 from from ADP issue-123 119 8 100 100 NUM issue-123 119 9 % % NOUN issue-123 119 10 to to PART issue-123 119 11 250 250 NUM issue-123 119 12 % % NOUN issue-123 119 13 and and CCONJ issue-123 119 14 the the DET issue-123 119 15 shape shape NOUN issue-123 119 16 is be AUX issue-123 119 17 slightly slightly ADV issue-123 119 18 bended bend VERB issue-123 119 19 upwards upwards ADV issue-123 119 20 in in ADP issue-123 119 21 the the DET issue-123 119 22 middle middle NOUN issue-123 119 23 ( ( PUNCT issue-123 119 24 i.e. i.e. X issue-123 119 25 turnover turnover NOUN issue-123 119 26 is be AUX issue-123 119 27 higher high ADJ issue-123 119 28 for for ADP issue-123 119 29 portfolios portfolio NOUN issue-123 119 30 with with ADP issue-123 119 31 the the DET issue-123 119 32 initial initial ADJ issue-123 119 33 allocation allocation NOUN issue-123 119 34 to to ADP issue-123 119 35 stocks stock NOUN issue-123 119 36 40 40 NUM issue-123 119 37 % % NOUN issue-123 119 38 to to PART issue-123 119 39 0 0 NUM issue-123 119 40 % % NOUN issue-123 119 41 100 100 NUM issue-123 119 42 % % NOUN issue-123 119 43 200 200 NUM issue-123 119 44 % % NOUN issue-123 119 45 300 300 NUM issue-123 119 46 % % NOUN issue-123 119 47 400 400 NUM issue-123 119 48 % % NOUN issue-123 119 49 0 0 NUM issue-123 119 50 10 10 NUM issue-123 119 51 20 20 NUM issue-123 119 52 30 30 NUM issue-123 119 53 40 40 NUM issue-123 119 54 50 50 NUM issue-123 119 55 60 60 NUM issue-123 119 56 70 70 NUM issue-123 119 57 po po NOUN issue-123 120 1 rt rt INTJ issue-123 120 2 fo fo INTJ issue-123 120 3 lio lio PROPN issue-123 121 1 tu tu PROPN issue-123 121 2 rn rn PROPN issue-123 121 3 ov ov PROPN issue-123 121 4 er er INTJ issue-123 121 5 holding holding NOUN issue-123 121 6 period period NOUN issue-123 121 7 , , PUNCT issue-123 121 8 months month NOUN issue-123 121 9 buy buy VERB issue-123 121 10 - - PUNCT issue-123 121 11 and and CCONJ issue-123 121 12 - - PUNCT issue-123 121 13 hold hold VERB issue-123 121 14 strategy strategy NOUN issue-123 121 15 constant constant ADJ issue-123 121 16 weights weight NOUN issue-123 121 17 strategy strategy NOUN issue-123 121 18 cppi cppi NOUN issue-123 121 19 strategy strategy PROPN issue-123 121 20 fig fig NOUN issue-123 121 21 . . PUNCT issue-123 122 1 4 4 X issue-123 122 2 . . X issue-123 122 3 portfolio portfolio NOUN issue-123 122 4 turnover turnover NOUN issue-123 122 5 dependence dependence NOUN issue-123 122 6 on on ADP issue-123 122 7 the the DET issue-123 122 8 holding hold VERB issue-123 122 9 period period NOUN issue-123 122 10 length length NOUN issue-123 122 11 baltic baltic PROPN issue-123 122 12 journal journal PROPN issue-123 122 13 of of ADP issue-123 122 14 economic economic ADJ issue-123 122 15 studies study NOUN issue-123 122 16 132 132 NUM issue-123 122 17 vol vol NOUN issue-123 122 18 . . PROPN issue-123 123 1 2 2 NUM issue-123 123 2 , , PUNCT issue-123 123 3 no no INTJ issue-123 123 4 . . NOUN issue-123 123 5 3 3 NUM issue-123 123 6 , , PUNCT issue-123 123 7 2016 2016 NUM issue-123 123 8 60 60 NUM issue-123 123 9 % % NOUN issue-123 123 10 than than ADP issue-123 123 11 for for ADP issue-123 123 12 those those PRON issue-123 123 13 at at ADP issue-123 123 14 the the DET issue-123 123 15 ends end NOUN issue-123 123 16 of of ADP issue-123 123 17 the the DET issue-123 123 18 20%-80 20%-80 NUM issue-123 123 19 % % NOUN issue-123 123 20 range range NOUN issue-123 123 21 ) ) PUNCT issue-123 123 22 . . PUNCT issue-123 124 1 while while SCONJ issue-123 124 2 the the DET issue-123 124 3 dispersion dispersion NOUN issue-123 124 4 of of ADP issue-123 124 5 the the DET issue-123 124 6 turnover turnover NOUN issue-123 124 7 for for ADP issue-123 124 8 cppi cppi NOUN issue-123 124 9 strategy strategy NOUN issue-123 124 10 is be AUX issue-123 124 11 significantly significantly ADV issue-123 124 12 greater great ADJ issue-123 124 13 , , PUNCT issue-123 124 14 a a DET issue-123 124 15 strong strong ADJ issue-123 124 16 negative negative ADJ issue-123 124 17 correlation correlation NOUN issue-123 124 18 between between ADP issue-123 124 19 the the DET issue-123 124 20 turnover turnover NOUN issue-123 124 21 and and CCONJ issue-123 124 22 the the DET issue-123 124 23 initial initial ADJ issue-123 124 24 allocation allocation NOUN issue-123 124 25 to to ADP issue-123 124 26 stocks stock NOUN issue-123 124 27 can can AUX issue-123 124 28 be be AUX issue-123 124 29 observed observe VERB issue-123 124 30 ( ( PUNCT issue-123 124 31 i.e. i.e. X issue-123 124 32 the the DET issue-123 124 33 portfolios portfolio NOUN issue-123 124 34 more more ADV issue-123 124 35 exposed expose VERB issue-123 124 36 to to ADP issue-123 124 37 equities equity NOUN issue-123 124 38 have have VERB issue-123 124 39 lower low ADJ issue-123 124 40 turnover turnover NOUN issue-123 124 41 ) ) PUNCT issue-123 124 42 . . PUNCT issue-123 125 1 probably probably ADV issue-123 125 2 , , PUNCT issue-123 125 3 it it PRON issue-123 125 4 is be AUX issue-123 125 5 due due ADJ issue-123 125 6 to to ADP issue-123 125 7 the the DET issue-123 125 8 fact fact NOUN issue-123 125 9 that that SCONJ issue-123 125 10 as as ADP issue-123 125 11 a a DET issue-123 125 12 cppi cppi NOUN issue-123 125 13 portfolio portfolio NOUN issue-123 125 14 shifts shift NOUN issue-123 125 15 to to ADP issue-123 125 16 100 100 NUM issue-123 125 17 % % NOUN issue-123 125 18 equity equity NOUN issue-123 125 19 allocation allocation NOUN issue-123 125 20 on on ADP issue-123 125 21 the the DET issue-123 125 22 growing grow VERB issue-123 125 23 stock stock NOUN issue-123 125 24 market market NOUN issue-123 125 25 less less ADJ issue-123 125 26 re re VERB issue-123 125 27 - - NOUN issue-123 125 28 balancing balancing NOUN issue-123 125 29 is be AUX issue-123 125 30 required require VERB issue-123 125 31 . . PUNCT issue-123 126 1 the the DET issue-123 126 2 dependence dependence NOUN issue-123 126 3 between between ADP issue-123 126 4 the the DET issue-123 126 5 total total ADJ issue-123 126 6 brokerage brokerage NOUN issue-123 126 7 fees fee NOUN issue-123 126 8 and and CCONJ issue-123 126 9 the the DET issue-123 126 10 initial initial ADJ issue-123 126 11 allocation allocation NOUN issue-123 126 12 to to ADP issue-123 126 13 stocks stock NOUN issue-123 126 14 ( ( PUNCT issue-123 126 15 see see VERB issue-123 126 16 figure figure NOUN issue-123 126 17 7 7 NUM issue-123 126 18 ) ) PUNCT issue-123 126 19 is be AUX issue-123 126 20 rather rather ADV issue-123 126 21 similar similar ADJ issue-123 126 22 as as ADP issue-123 126 23 the the DET issue-123 126 24 dependence dependence NOUN issue-123 126 25 between between ADP issue-123 126 26 the the DET issue-123 126 27 commission commission NOUN issue-123 126 28 and and CCONJ issue-123 126 29 the the DET issue-123 126 30 holding hold VERB issue-123 126 31 period period NOUN issue-123 126 32 length length NOUN issue-123 126 33 . . PUNCT issue-123 127 1 for for ADP issue-123 127 2 the the DET issue-123 127 3 volume volume NOUN issue-123 127 4 - - PUNCT issue-123 127 5 based base VERB issue-123 127 6 model model NOUN issue-123 127 7 the the DET issue-123 127 8 scatter scatter NOUN issue-123 127 9 plot plot NOUN issue-123 127 10 is be AUX issue-123 127 11 quite quite ADV issue-123 127 12 similar similar ADJ issue-123 127 13 to to PART issue-123 127 14 scatter scatter VERB issue-123 127 15 plot plot NOUN issue-123 127 16 for for ADP issue-123 127 17 the the DET issue-123 127 18 portfolio portfolio NOUN issue-123 127 19 turnover turnover NOUN issue-123 127 20 , , PUNCT issue-123 127 21 and and CCONJ issue-123 127 22 the the DET issue-123 127 23 reason reason NOUN issue-123 127 24 stays stay VERB issue-123 127 25 the the DET issue-123 127 26 same same ADJ issue-123 127 27     SPACE issue-123 127 28 – – PUNCT issue-123 127 29 fees fee NOUN issue-123 127 30 are be AUX issue-123 127 31 proportional proportional ADJ issue-123 127 32 to to ADP issue-123 127 33 the the DET issue-123 127 34 amount amount NOUN issue-123 127 35 of of ADP issue-123 127 36 shares share NOUN issue-123 127 37 traded trade VERB issue-123 127 38 . . PUNCT issue-123 128 1 for for ADP issue-123 128 2 the the DET issue-123 128 3 flat flat ADJ issue-123 128 4 - - PUNCT issue-123 128 5 fee fee NOUN issue-123 128 6 model model NOUN issue-123 128 7 the the DET issue-123 128 8 total total ADJ issue-123 128 9 fee fee NOUN issue-123 128 10 amount amount NOUN issue-123 128 11 is be AUX issue-123 128 12 the the DET issue-123 128 13 same same ADJ issue-123 128 14 irrespective irrespective ADV issue-123 128 15 of of ADP issue-123 128 16 the the DET issue-123 128 17 portfolio portfolio NOUN issue-123 128 18 allocation allocation NOUN issue-123 128 19 for for ADP issue-123 128 20 cw cw NOUN issue-123 128 21 strategy strategy NOUN issue-123 128 22 , , PUNCT issue-123 128 23 but but CCONJ issue-123 128 24 for for ADP issue-123 128 25 cppi cppi NOUN issue-123 128 26 strategy strategy NOUN issue-123 128 27 some some DET issue-123 128 28 portfolios portfolio NOUN issue-123 128 29 result result VERB issue-123 128 30 in in ADP issue-123 128 31 a a DET issue-123 128 32 lower low ADJ issue-123 128 33 total total ADJ issue-123 128 34 commissions commission NOUN issue-123 128 35 . . PUNCT issue-123 129 1 moreover moreover ADV issue-123 129 2 , , PUNCT issue-123 129 3 the the DET issue-123 129 4 higher high ADJ issue-123 129 5 is be AUX issue-123 129 6 the the DET issue-123 129 7 initial initial ADJ issue-123 129 8 allocation allocation NOUN issue-123 129 9 to to ADP issue-123 129 10 stocks stock NOUN issue-123 129 11 , , PUNCT issue-123 129 12 the the DET issue-123 129 13 lower low ADJ issue-123 129 14 are be AUX issue-123 129 15 the the DET issue-123 129 16 total total ADJ issue-123 129 17 fees fee NOUN issue-123 129 18     SPACE issue-123 129 19 – – PUNCT issue-123 129 20 it it PRON issue-123 129 21 supports support VERB issue-123 129 22 our our PRON issue-123 129 23 previous previous ADJ issue-123 129 24 conclusion conclusion NOUN issue-123 129 25 that that SCONJ issue-123 129 26 some some PRON issue-123 129 27 of of ADP issue-123 129 28 the the DET issue-123 129 29 cppi cppi NOUN issue-123 129 30 portfolios portfolio NOUN issue-123 129 31 , , PUNCT issue-123 129 32 which which PRON issue-123 129 33 subsequently subsequently ADV issue-123 129 34 shift shift VERB issue-123 129 35 to to ADP issue-123 129 36 100 100 NUM issue-123 129 37 % % NOUN issue-123 129 38 equities equity NOUN issue-123 129 39 , , PUNCT issue-123 129 40 require require VERB issue-123 129 41 less less ADJ issue-123 129 42 rebalancing rebalancing NOUN issue-123 129 43 . . PUNCT issue-123 130 1 of of ADP issue-123 130 2 course course NOUN issue-123 130 3 , , PUNCT issue-123 130 4 some some DET issue-123 130 5 cppi cppi NOUN issue-123 130 6 portfolios portfolio NOUN issue-123 130 7 have have AUX issue-123 130 8 never never ADV issue-123 130 9 reached reach VERB issue-123 130 10 100 100 NUM issue-123 130 11 % % NOUN issue-123 130 12 allocation allocation NOUN issue-123 130 13 to to ADP issue-123 130 14 stocks stock NOUN issue-123 130 15 , , PUNCT issue-123 130 16 and and CCONJ issue-123 130 17 the the DET issue-123 130 18 amount amount NOUN issue-123 130 19 of of ADP issue-123 130 20 commissions commission NOUN issue-123 130 21 stayed stay VERB issue-123 130 22 at at ADP issue-123 130 23 the the DET issue-123 130 24 same same ADJ issue-123 130 25 level level NOUN issue-123 130 26 as as ADP issue-123 130 27 for for ADP issue-123 130 28 the the DET issue-123 130 29 cw cw NOUN issue-123 130 30 portfolios portfolio NOUN issue-123 130 31 . . PUNCT issue-123 131 1 panel panel NOUN issue-123 131 2 a. a. NOUN issue-123 131 3 volume volume NOUN issue-123 131 4 - - PUNCT issue-123 131 5 based base VERB issue-123 131 6 model model NOUN issue-123 131 7 panel panel PROPN issue-123 131 8 b. b. PROPN issue-123 131 9 flat flat ADJ issue-123 131 10 - - PUNCT issue-123 131 11 fee fee NOUN issue-123 131 12 model model NOUN issue-123 131 13 fig fig NOUN issue-123 131 14 . . PUNCT issue-123 132 1 7 7 X issue-123 132 2 . . X issue-123 132 3 total total ADJ issue-123 132 4 brokerage brokerage NOUN issue-123 132 5 commission commission NOUN issue-123 132 6 dependence dependence NOUN issue-123 132 7 on on ADP issue-123 132 8 the the DET issue-123 132 9 initial initial ADJ issue-123 132 10 portfolio portfolio NOUN issue-123 132 11 allocation allocation NOUN issue-123 132 12 6 6 NUM issue-123 132 13 . . PUNCT issue-123 133 1 conclusions conclusion NOUN issue-123 133 2 three three NUM issue-123 133 3 different different ADJ issue-123 133 4 portfolio portfolio NOUN issue-123 133 5 rebalancing rebalancing NOUN issue-123 133 6 strategies strategy NOUN issue-123 133 7     SPACE issue-123 133 8 – – PUNCT issue-123 133 9 buy buy NOUN issue-123 133 10 - - PUNCT issue-123 133 11 and and CCONJ issue-123 133 12 - - PUNCT issue-123 133 13 hold hold VERB issue-123 133 14 , , PUNCT issue-123 133 15 constant constant ADJ issue-123 133 16 weights weight NOUN issue-123 133 17 and and CCONJ issue-123 133 18 cppi cppi NOUN issue-123 133 19     SPACE issue-123 133 20 – – PUNCT issue-123 133 21 have have AUX issue-123 133 22 demonstrated demonstrate VERB issue-123 133 23 different different ADJ issue-123 133 24 performance performance NOUN issue-123 133 25 during during ADP issue-123 133 26 the the DET issue-123 133 27 holding hold VERB issue-123 133 28 period period NOUN issue-123 133 29 considered consider VERB issue-123 133 30 in in ADP issue-123 133 31 our our PRON issue-123 133 32 research research NOUN issue-123 133 33 . . PUNCT issue-123 134 1 despite despite SCONJ issue-123 134 2 the the DET issue-123 134 3 fact fact NOUN issue-123 134 4 that that SCONJ issue-123 134 5 cw cw PROPN issue-123 134 6 strategy strategy NOUN issue-123 134 7 performed perform VERB issue-123 134 8 better well ADV issue-123 134 9 on on ADP issue-123 134 10 a a DET issue-123 134 11 turbulent turbulent ADJ issue-123 134 12 market market NOUN issue-123 134 13 in in ADP issue-123 134 14 2009 2009 NUM issue-123 134 15 - - SYM issue-123 134 16 2010 2010 NUM issue-123 134 17 and and CCONJ issue-123 134 18 cppi cppi NOUN issue-123 134 19 was be AUX issue-123 134 20 certainly certainly ADV issue-123 134 21 the the DET issue-123 134 22 best good ADJ issue-123 134 23 strategy strategy NOUN issue-123 134 24 on on ADP issue-123 134 25 a a DET issue-123 134 26 growing grow VERB issue-123 134 27 market market NOUN issue-123 134 28 in in ADP issue-123 134 29 2011 2011 NUM issue-123 134 30 - - SYM issue-123 134 31 2015 2015 NUM issue-123 134 32 , , PUNCT issue-123 134 33 there there PRON issue-123 134 34 is be VERB issue-123 134 35 no no DET issue-123 134 36 evidence evidence NOUN issue-123 134 37 of of ADP issue-123 134 38 definite definite ADJ issue-123 134 39 correlation correlation NOUN issue-123 134 40 between between ADP issue-123 134 41 the the DET issue-123 134 42 market market NOUN issue-123 134 43 volatility volatility NOUN issue-123 134 44 and and CCONJ issue-123 134 45 the the DET issue-123 134 46 dominance dominance NOUN issue-123 134 47 of of ADP issue-123 134 48 a a DET issue-123 134 49 particular particular ADJ issue-123 134 50 rebalancing rebalancing NOUN issue-123 134 51 strategy strategy NOUN issue-123 134 52 . . PUNCT issue-123 135 1 while while SCONJ issue-123 135 2 there there PRON issue-123 135 3 is be VERB issue-123 135 4 some some DET issue-123 135 5 support support NOUN issue-123 135 6 for for ADP issue-123 135 7 perold perold NOUN issue-123 135 8 and and CCONJ issue-123 135 9 sharpe sharpe NOUN issue-123 135 10 conclusion conclusion NOUN issue-123 135 11 that that SCONJ issue-123 135 12 , , PUNCT issue-123 135 13 in in ADP issue-123 135 14 theory theory NOUN issue-123 135 15 , , PUNCT issue-123 135 16 cw cw NOUN issue-123 135 17 should should AUX issue-123 135 18 be be AUX issue-123 135 19 superior superior ADJ issue-123 135 20 in in ADP issue-123 135 21 a a DET issue-123 135 22 market market NOUN issue-123 135 23 characterized characterize VERB issue-123 135 24 by by ADP issue-123 135 25 often often ADV issue-123 135 26 reversals reversal NOUN issue-123 135 27 and and CCONJ issue-123 135 28 cppi cppi NOUN issue-123 135 29 should should AUX issue-123 135 30 be be AUX issue-123 135 31 better well ADJ issue-123 135 32 in in ADP issue-123 135 33 a a DET issue-123 135 34 bull bull NOUN issue-123 135 35 market market NOUN issue-123 135 36 , , PUNCT issue-123 135 37 practice practice NOUN issue-123 135 38 shows show VERB issue-123 135 39 it it PRON issue-123 135 40 is be AUX issue-123 135 41 not not PART issue-123 135 42 always always ADV issue-123 135 43 the the DET issue-123 135 44 case case NOUN issue-123 135 45 . . PUNCT issue-123 136 1 another another DET issue-123 136 2 common common ADJ issue-123 136 3 perception perception NOUN issue-123 136 4 that that PRON issue-123 136 5 has have AUX issue-123 136 6 not not PART issue-123 136 7 been be AUX issue-123 136 8 confirmed confirm VERB issue-123 136 9 in in ADP issue-123 136 10 this this DET issue-123 136 11 research research NOUN issue-123 136 12 is be AUX issue-123 136 13 the the DET issue-123 136 14 attractiveness attractiveness NOUN issue-123 136 15 of of ADP issue-123 136 16 bh bh NOUN issue-123 136 17 strategy strategy NOUN issue-123 136 18 given give VERB issue-123 136 19 its its PRON issue-123 136 20 zero zero NUM issue-123 136 21 transaction transaction NOUN issue-123 136 22 costs cost NOUN issue-123 136 23 . . PUNCT issue-123 137 1 on on ADP issue-123 137 2 our our PRON issue-123 137 3 sample sample NOUN issue-123 137 4 $ $ SYM issue-123 137 5 1,000,000 1,000,000 NUM issue-123 137 6     SPACE issue-123 137 7 portfolio portfolio NOUN issue-123 137 8 the the DET issue-123 137 9 brokerage brokerage NOUN issue-123 137 10 commissions commission NOUN issue-123 137 11 were be AUX issue-123 137 12 too too ADV issue-123 137 13 small small ADJ issue-123 137 14 to to PART issue-123 137 15 justify justify VERB issue-123 137 16 changing change VERB issue-123 137 17 the the DET issue-123 137 18 strategy strategy NOUN issue-123 137 19 because because SCONJ issue-123 137 20 of of ADP issue-123 137 21 the the DET issue-123 137 22 transaction transaction NOUN issue-123 137 23 costs cost NOUN issue-123 137 24 and and CCONJ issue-123 137 25 bh bh NOUN issue-123 137 26 strategy strategy NOUN issue-123 137 27 was be AUX issue-123 137 28 on on ADP issue-123 137 29 average average ADJ issue-123 137 30 the the DET issue-123 137 31 least least ADV issue-123 137 32 performing perform VERB issue-123 137 33 one one NUM issue-123 137 34 . . PUNCT issue-123 138 1 most most ADJ issue-123 138 2 probably probably ADV issue-123 138 3 the the DET issue-123 138 4 same same ADJ issue-123 138 5 will will AUX issue-123 138 6 hold hold VERB issue-123 138 7 true true ADJ issue-123 138 8 for for ADP issue-123 138 9 any any DET issue-123 138 10 portfolio portfolio NOUN issue-123 138 11 exceeding exceed VERB issue-123 138 12 $ $ SYM issue-123 138 13 100,000 100,000 NUM issue-123 138 14 given give VERB issue-123 138 15 the the DET issue-123 138 16 fact fact NOUN issue-123 138 17 that that SCONJ issue-123 138 18 brokers broker NOUN issue-123 138 19 typically typically ADV issue-123 138 20 waive waive VERB issue-123 138 21 a a DET issue-123 138 22 minimal minimal ADJ issue-123 138 23 monthly monthly ADJ issue-123 138 24 payment payment NOUN issue-123 138 25 on on ADP issue-123 138 26 any any DET issue-123 138 27 portfolio portfolio NOUN issue-123 138 28 larger large ADJ issue-123 138 29 than than ADP issue-123 138 30 that that PRON issue-123 138 31 . . PUNCT issue-123 139 1 so so ADV issue-123 139 2 , , PUNCT issue-123 139 3 in in ADP issue-123 139 4 our our PRON issue-123 139 5 opinion opinion NOUN issue-123 139 6 , , PUNCT issue-123 139 7 transaction transaction NOUN issue-123 139 8 fees fee NOUN issue-123 139 9 should should AUX issue-123 139 10 not not PART issue-123 139 11 be be AUX issue-123 139 12 an an DET issue-123 139 13 es es ADJ issue-123 139 14 - - ADJ issue-123 139 15 sential sential ADJ issue-123 139 16 consideration consideration NOUN issue-123 139 17 when when SCONJ issue-123 139 18 choosing choose VERB issue-123 139 19 a a DET issue-123 139 20 rebalancing rebalancing NOUN issue-123 139 21 strategy strategy NOUN issue-123 139 22 over over ADP issue-123 139 23 a a DET issue-123 139 24 sufficiently sufficiently ADV issue-123 139 25 long long ADJ issue-123 139 26 time time NOUN issue-123 139 27 horizon horizon NOUN issue-123 139 28 . . PUNCT issue-123 140 1 finally finally ADV issue-123 140 2 , , PUNCT issue-123 140 3 the the DET issue-123 140 4 holding hold VERB issue-123 140 5 period period NOUN issue-123 140 6 length length NOUN issue-123 140 7 turns turn VERB issue-123 140 8 out out ADP issue-123 140 9 to to PART issue-123 140 10 be be AUX issue-123 140 11 a a DET issue-123 140 12 significant significant ADJ issue-123 140 13 factor factor NOUN issue-123 140 14 . . PUNCT issue-123 141 1 on on ADP issue-123 141 2 short short ADJ issue-123 141 3 time time NOUN issue-123 141 4 horizons horizon NOUN issue-123 141 5 ( ( PUNCT issue-123 141 6 about about ADV issue-123 141 7 18 18 NUM issue-123 141 8     SPACE issue-123 141 9 months month NOUN issue-123 141 10 ) ) PUNCT issue-123 141 11 it it PRON issue-123 141 12 does do AUX issue-123 141 13 not not PART issue-123 141 14 really really ADV issue-123 141 15 matter matter VERB issue-123 141 16 what what DET issue-123 141 17 strategy strategy NOUN issue-123 141 18 is be AUX issue-123 141 19 being be AUX issue-123 141 20 chosen choose VERB issue-123 141 21 , , PUNCT issue-123 141 22 since since SCONJ issue-123 141 23 no no DET issue-123 141 24 statistically statistically ADV issue-123 141 25 sig sig ADJ issue-123 141 26 - - PUNCT issue-123 141 27 nificant nificant ADJ issue-123 141 28 difference difference NOUN issue-123 141 29 in in ADP issue-123 141 30 the the DET issue-123 141 31 mean mean ADJ issue-123 141 32 returns return NOUN issue-123 141 33 has have AUX issue-123 141 34 been be AUX issue-123 141 35 found find VERB issue-123 141 36 . . PUNCT issue-123 142 1 however however ADV issue-123 142 2 , , PUNCT issue-123 142 3 as as SCONJ issue-123 142 4 the the DET issue-123 142 5 portfolio portfolio NOUN issue-123 142 6 is be AUX issue-123 142 7 being be AUX issue-123 142 8 held hold VERB issue-123 142 9 for for ADP issue-123 142 10 a a DET issue-123 142 11 longer long ADJ issue-123 142 12 period period NOUN issue-123 142 13 the the DET issue-123 142 14 difference difference NOUN issue-123 142 15 between between ADP issue-123 142 16 strategies strategy NOUN issue-123 142 17 becomes become VERB issue-123 142 18 more more ADV issue-123 142 19 significant significant ADJ issue-123 142 20     SPACE issue-123 142 21 – – PUNCT issue-123 142 22 cppi cppi NOUN issue-123 142 23 outperforms outperform NOUN issue-123 142 24 cw cw PROPN issue-123 142 25 and and CCONJ issue-123 142 26 cw cw PROPN issue-123 142 27 outperforms outperform VERB issue-123 142 28 bh bh PROPN issue-123 142 29 . . PUNCT issue-123 143 1 when when SCONJ issue-123 143 2 the the DET issue-123 143 3 holding hold VERB issue-123 143 4 period period NOUN issue-123 143 5 is be AUX issue-123 143 6 longer long ADJ issue-123 143 7 than than ADP issue-123 143 8 36 36 NUM issue-123 143 9 months month NOUN issue-123 143 10 , , PUNCT issue-123 143 11 there there PRON issue-123 143 12 is be VERB issue-123 143 13 a a DET issue-123 143 14 95 95 NUM issue-123 143 15 % % NOUN issue-123 143 16 proba proba NOUN issue-123 143 17 - - PUNCT issue-123 143 18 bility bility NOUN issue-123 143 19 that that PRON issue-123 143 20 cppi cppi NOUN issue-123 143 21 will will AUX issue-123 143 22 outperform outperform VERB issue-123 143 23 other other ADJ issue-123 143 24 strategies strategy NOUN issue-123 143 25 . . PUNCT issue-123 144 1 therefore therefore ADV issue-123 144 2 bh bh PROPN issue-123 144 3 strategy strategy PROPN issue-123 144 4 makes make VERB issue-123 144 5 little little ADJ issue-123 144 6 sense sense NOUN issue-123 144 7 for for ADP issue-123 144 8 any any DET issue-123 144 9 investor investor NOUN issue-123 144 10 over over ADP issue-123 144 11 long long ADJ issue-123 144 12 time time NOUN issue-123 144 13 horizons horizon NOUN issue-123 144 14 , , PUNCT issue-123 144 15 and and CCONJ issue-123 144 16 unless unless SCONJ issue-123 144 17 there there PRON issue-123 144 18 are be VERB issue-123 144 19 specific specific ADJ issue-123 144 20 reasons reason NOUN issue-123 144 21 to to PART issue-123 144 22 keep keep VERB issue-123 144 23 asset asset NOUN issue-123 144 24 weights weight NOUN issue-123 144 25 constant constant ADJ issue-123 144 26 and and CCONJ issue-123 144 27 opt opt NOUN issue-123 144 28 for for ADP issue-123 144 29 cw cw NOUN issue-123 144 30 strategy strategy NOUN issue-123 144 31 , , PUNCT issue-123 144 32 cppi cppi NOUN issue-123 144 33 strategy strategy NOUN issue-123 144 34 would would AUX issue-123 144 35 be be AUX issue-123 144 36 the the DET issue-123 144 37 best good ADJ issue-123 144 38 choice choice NOUN issue-123 144 39 . . PUNCT issue-123 145 1 references reference NOUN issue-123 145 2 black black PROPN issue-123 145 3 , , PUNCT issue-123 145 4 f. f. PROPN issue-123 145 5 , , PUNCT issue-123 145 6 perold perold PROPN issue-123 145 7 , , PUNCT issue-123 145 8 a.f a.f PROPN issue-123 145 9 . . PROPN issue-123 145 10 ( ( PUNCT issue-123 145 11 1992 1992 NUM issue-123 145 12 ) ) PUNCT issue-123 145 13 . . PUNCT issue-123 146 1 theory theory NOUN issue-123 146 2 of of ADP issue-123 146 3 constant constant ADJ issue-123 146 4 proportion proportion NOUN issue-123 146 5 portfolio portfolio NOUN issue-123 146 6 insurance insurance NOUN issue-123 146 7 . . PUNCT issue-123 147 1 the the DET issue-123 147 2 jour jour ADJ issue-123 147 3 - - ADJ issue-123 147 4 nal nal NOUN issue-123 147 5 of of ADP issue-123 147 6 economics economic NOUN issue-123 147 7 , , PUNCT issue-123 147 8 dynamics dynamic NOUN issue-123 147 9 and and CCONJ issue-123 147 10 control control NOUN issue-123 147 11 , , PUNCT issue-123 147 12 volume volume NOUN issue-123 147 13 16 16 NUM issue-123 147 14 , , PUNCT issue-123 147 15 issue issue NOUN issue-123 147 16 3 3 NUM issue-123 147 17 - - SYM issue-123 147 18 4 4 NUM issue-123 147 19 , , PUNCT issue-123 147 20 p. p. NOUN issue-123 147 21 403–426 403–426 NUM issue-123 147 22 . . PUNCT issue-123 148 1 blanchett blanchett PROPN issue-123 148 2 , , PUNCT issue-123 148 3 d.m d.m PROPN issue-123 148 4 . . PUNCT issue-123 148 5 ( ( PUNCT issue-123 148 6 2011 2011 NUM issue-123 148 7 ) ) PUNCT issue-123 148 8 . . PUNCT issue-123 149 1 is be AUX issue-123 149 2 buy buy VERB issue-123 149 3 and and CCONJ issue-123 149 4 hold hold VERB issue-123 149 5 dead dead ADJ issue-123 149 6 ? ? PUNCT issue-123 150 1 exploring explore VERB issue-123 150 2 the the DET issue-123 150 3 costs cost NOUN issue-123 150 4 of of ADP issue-123 150 5 tactical tactical ADJ issue-123 150 6 realloca realloca NOUN issue-123 150 7 - - PUNCT issue-123 150 8 tion tion NOUN issue-123 150 9 . . PUNCT issue-123 151 1 journal journal PROPN issue-123 151 2 of of ADP issue-123 151 3 financial financial ADJ issue-123 151 4 planning planning NOUN issue-123 151 5 , , PUNCT issue-123 151 6 volume volume NOUN issue-123 151 7 24 24 NUM issue-123 151 8 , , PUNCT issue-123 151 9 issue issue NOUN issue-123 151 10 2 2 NUM issue-123 151 11 , , PUNCT issue-123 151 12 p. p. NOUN issue-123 151 13 54–61 54–61 PROPN issue-123 151 14 . . PUNCT issue-123 152 1 leibowitz leibowitz PROPN issue-123 152 2 , , PUNCT issue-123 152 3 m.l m.l PROPN issue-123 152 4 . . PROPN issue-123 152 5 , , PUNCT issue-123 152 6 bova bova PROPN issue-123 152 7 , , PUNCT issue-123 152 8 a. a. NOUN issue-123 152 9 ( ( PUNCT issue-123 152 10 2011 2011 NUM issue-123 152 11 ) ) PUNCT issue-123 152 12 . . PUNCT issue-123 153 1 policy policy NOUN issue-123 153 2 portfolios portfolio NOUN issue-123 153 3 and and CCONJ issue-123 153 4 rebalancing rebalancing NOUN issue-123 153 5 behavior behavior NOUN issue-123 153 6 . . PUNCT issue-123 154 1 journal journal PROPN issue-123 154 2 of of ADP issue-123 154 3 portfolio portfolio NOUN issue-123 154 4 management management NOUN issue-123 154 5 , , PUNCT issue-123 154 6 volume volume NOUN issue-123 154 7 37 37 NUM issue-123 154 8 , , PUNCT issue-123 154 9 issue issue NOUN issue-123 154 10 2 2 NUM issue-123 154 11 , , PUNCT issue-123 154 12 p. p. NOUN issue-123 154 13 60–71 60–71 NOUN issue-123 154 14 . . PUNCT issue-123 155 1 perold perold PROPN issue-123 155 2 , , PUNCT issue-123 155 3 a.f a.f PROPN issue-123 155 4 . . PROPN issue-123 155 5 , , PUNCT issue-123 155 6 sharpe sharpe PROPN issue-123 155 7 , , PUNCT issue-123 155 8 w.f w.f PROPN issue-123 155 9 . . PROPN issue-123 155 10 ( ( PUNCT issue-123 155 11 1988 1988 NUM issue-123 155 12 ) ) PUNCT issue-123 155 13 . . PUNCT issue-123 156 1 dynamic dynamic ADJ issue-123 156 2 strategies strategy NOUN issue-123 156 3 for for ADP issue-123 156 4 asset asset NOUN issue-123 156 5 allocation allocation NOUN issue-123 156 6 , , PUNCT issue-123 156 7 financial financial ADJ issue-123 156 8 ana ana PROPN issue-123 156 9 - - PUNCT issue-123 156 10 lyst lyst PROPN issue-123 156 11 journal journal PROPN issue-123 156 12 , , PUNCT issue-123 156 13 volume volume NOUN issue-123 156 14 44 44 NUM issue-123 156 15 , , PUNCT issue-123 156 16 issue issue NOUN issue-123 156 17 1 1 NUM issue-123 156 18 , , PUNCT issue-123 156 19 p. p. NOUN issue-123 156 20 16–27 16–27 NUM issue-123 156 21 . . PUNCT issue-123 157 1 baltic baltic PROPN issue-123 157 2 journal journal PROPN issue-123 157 3 of of ADP issue-123 157 4 economic economic ADJ issue-123 157 5 studies study NOUN issue-123 157 6 133 133 NUM issue-123 157 7 vol vol NOUN issue-123 157 8 . . PROPN issue-123 158 1 2 2 NUM issue-123 158 2 , , PUNCT issue-123 158 3 no no INTJ issue-123 158 4 . . NOUN issue-123 158 5 3 3 NUM issue-123 158 6 , , PUNCT issue-123 158 7 2016 2016 NUM issue-123 158 8 валентин валентин VERB issue-123 158 9 хохлов хохлов VERB issue-123 158 10 стратегии стратегии ADJ issue-123 158 11 перебалансировки перебалансировки PROPN issue-123 158 12 perold perold PROPN issue-123 158 13 - - PUNCT issue-123 158 14 sharpe sharpe PROPN issue-123 158 15 на на PROPN issue-123 158 16 практике практике PROPN issue-123 158 17 аннотация аннотация PROPN issue-123 158 18 . . PUNCT issue-123 159 1 целью целью PROPN issue-123 159 2 статьи статьи PROPN issue-123 159 3 является является PROPN issue-123 159 4 исследование исследование PROPN issue-123 159 5 различных различных PROPN issue-123 159 6 стратегий стратегий NOUN issue-123 159 7 перебалансировки перебалансировки PROPN issue-123 159 8 портфеля портфеля NOUN issue-123 159 9 ( ( PUNCT issue-123 159 10 buy buy NOUN issue-123 159 11 - - PUNCT issue-123 159 12 and and CCONJ issue-123 159 13 - - PUNCT issue-123 159 14 hold hold VERB issue-123 159 15 , , PUNCT issue-123 159 16 постоянные постоянные ADJ issue-123 159 17 веса веса NOUN issue-123 159 18 и и PROPN issue-123 159 19 постоянная постоянная PROPN issue-123 159 20 пропорция пропорция PROPN issue-123 159 21 страхования страхования PROPN issue-123 159 22 портфеля портфеля PROPN issue-123 159 23 ( ( PUNCT issue-123 159 24 cppi cppi NOUN issue-123 159 25 ) ) PUNCT issue-123 159 26 , , PUNCT issue-123 159 27 предложенных предложенных NOUN issue-123 159 28 perold perold PROPN issue-123 159 29 и и PROPN issue-123 159 30 sharpe sharpe PROPN issue-123 159 31 , , PUNCT issue-123 159 32 в в PROPN issue-123 159 33 реалистичной реалистичной PROPN issue-123 159 34 обстановке обстановке PROPN issue-123 159 35 с с PROPN issue-123 159 36 использованием использованием PROPN issue-123 159 37 рыночных рыночных PROPN issue-123 159 38 цен цен VERB issue-123 159 39 и и NOUN issue-123 159 40 принимая принимая NOUN issue-123 159 41 во во NUM issue-123 159 42 внимание внимание PROPN issue-123 159 43 транзакционные транзакционные PROPN issue-123 159 44 издержки издержки PROPN issue-123 159 45 . . PUNCT issue-123 160 1 методика методика PROPN issue-123 160 2 . . PUNCT issue-123 161 1 для для PROPN issue-123 161 2 представления представления PROPN issue-123 161 3 классов классов PROPN issue-123 161 4 активов активов PROPN issue-123 161 5 использованы использованы PROPN issue-123 161 6 биржевые биржевые PROPN issue-123 161 7 фонды фонды VERB issue-123 161 8 , , PUNCT issue-123 161 9 по по PROPN issue-123 161 10 ним ним ADJ issue-123 161 11 взяты взяты NOUN issue-123 161 12 реальные реальные NOUN issue-123 161 13 рыночные рыночные NOUN issue-123 161 14 цены цены ADP issue-123 161 15 за за ADP issue-123 161 16 2007 2007 NUM issue-123 161 17 - - SYM issue-123 161 18 2015 2015 NUM issue-123 161 19 года года NOUN issue-123 161 20 . . PUNCT issue-123 162 1 с с PROPN issue-123 162 2 помощью помощью PROPN issue-123 162 3 метода метода PROPN issue-123 162 4 монте монте ADJ issue-123 162 5 - - PUNCT issue-123 162 6 карло карло NOUN issue-123 162 7 сгенерированы сгенерированы NOUN issue-123 162 8 по по PROPN issue-123 162 9 400 400 NUM issue-123 162 10 портфелей портфелей NOUN issue-123 162 11 на на PROPN issue-123 162 12 3 3 NUM issue-123 162 13 разных разных PROPN issue-123 162 14 горизонтах горизонтах PROPN issue-123 162 15 инвестирования инвестирования PROPN issue-123 162 16 , , PUNCT issue-123 162 17 чтобы чтобы VERB issue-123 162 18 создать создать ADJ issue-123 162 19 репрезентативную репрезентативную NOUN issue-123 162 20 выборку выборку PROPN issue-123 162 21 . . PUNCT issue-123 163 1 две две NOUN issue-123 163 2 реальные реальные NOUN issue-123 163 3 структуры структуры NOUN issue-123 163 4 брокерских брокерских NOUN issue-123 163 5 комиссий комиссий PROPN issue-123 163 6 взяты взяты NOUN issue-123 163 7 исходя исходя NOUN issue-123 163 8 из из PROPN issue-123 163 9 комиссионной комиссионной VERB issue-123 163 10 структуры структуры ADJ issue-123 163 11 крупных крупных PROPN issue-123 163 12 брокеров брокеров PROPN issue-123 163 13 на на PROPN issue-123 163 14 рынке рынке NOUN issue-123 163 15 . . PUNCT issue-123 164 1 результаты результаты PROPN issue-123 164 2 исследования исследования PROPN issue-123 164 3 динамики динамики NOUN issue-123 164 4 портфелей портфелей NOUN issue-123 164 5 показывают показывают ADV issue-123 164 6 предпочтительность предпочтительность PROPN issue-123 164 7 cppi cppi PROPN issue-123 165 1 над над PROPN issue-123 165 2 другими другими PROPN issue-123 165 3 стратегиями стратегиями PROPN issue-123 165 4 на на PROPN issue-123 165 5 горизонтах горизонтах PROPN issue-123 165 6 инвестирования инвестирования PROPN issue-123 165 7 от от ADP issue-123 165 8 36 36 NUM issue-123 165 9 месяцев месяцев NOUN issue-123 165 10 , , PUNCT issue-123 165 11 тогда тогда PROPN issue-123 165 12 как как PROPN issue-123 165 13 на на PROPN issue-123 165 14 более более NOUN issue-123 165 15 коротких коротких ADP issue-123 165 16 горизонтах горизонтах ADJ issue-123 165 17 cppi cppi PROPN issue-123 165 18 и и PROPN issue-123 165 19 стратегия стратегия PROPN issue-123 165 20 постоянных постоянных PROPN issue-123 165 21 весов весов PROPN issue-123 165 22 является является ADJ issue-123 165 23 более более NOUN issue-123 165 24 предпочтительными предпочтительными PROPN issue-123 165 25 , , PUNCT issue-123 165 26 нежели нежели VERB issue-123 165 27 стратегия стратегия ADJ issue-123 165 28 buy buy VERB issue-123 165 29 - - PUNCT issue-123 165 30 and and CCONJ issue-123 165 31 - - PUNCT issue-123 165 32 hold hold VERB issue-123 165 33 . . PUNCT issue-123 166 1 вопреки вопреки PROPN issue-123 166 2 выводам выводам PROPN issue-123 166 3 perold perold PROPN issue-123 166 4 и и PROPN issue-123 166 5 sharpe sharpe PROPN issue-123 166 6 , , PUNCT issue-123 166 7 не не PROPN issue-123 166 8 было было PROPN issue-123 166 9 обнаружено обнаружено PROPN issue-123 166 10 связи связи PROPN issue-123 166 11 между между PROPN issue-123 166 12 ценовой ценовой PROPN issue-123 166 13 динамикой динамикой PROPN issue-123 166 14 или или PROPN issue-123 166 15 волатильностью волатильностью PROPN issue-123 166 16 рынков рынков PROPN issue-123 166 17 и и PROPN issue-123 166 18 предпочтением предпочтением PROPN issue-123 166 19 той той PROPN issue-123 166 20 или или NOUN issue-123 166 21 иной иной ADJ issue-123 166 22 стратегии стратегии NOUN issue-123 166 23 . . PUNCT issue-123 167 1 было было PROPN issue-123 167 2 замечено замечено NOUN issue-123 167 3 , , PUNCT issue-123 167 4 что что NOUN issue-123 167 5 после после NOUN issue-123 167 6 периода периода ADJ issue-123 167 7 « « PUNCT issue-123 167 8 бычьего бычьего NOUN issue-123 167 9 » » PUNCT issue-123 167 10 рынка рынка PROPN issue-123 167 11 аллокация аллокация PROPN issue-123 167 12 cppi cppi PROPN issue-123 167 13 портфеля портфеля PROPN issue-123 167 14 имеет имеет NOUN issue-123 167 15 тенденцию тенденцию NOUN issue-123 167 16 к к AUX issue-123 167 17 сдвигу сдвигу X issue-123 167 18 в в PROPN issue-123 167 19 100 100 NUM issue-123 167 20 % % NOUN issue-123 167 21 акции акции VERB issue-123 167 22 . . PUNCT issue-123 168 1 оборот оборот PROPN issue-123 168 2 активов активов PROPN issue-123 168 3 в в PROPN issue-123 168 4 портфеле портфеле PROPN issue-123 168 5 является является VERB issue-123 168 6 более более NOUN issue-123 168 7 быстрым быстрым NOUN issue-123 168 8 и и PROPN issue-123 168 9 менее менее PROPN issue-123 168 10 стабильным стабильным PROPN issue-123 168 11 для для PROPN issue-123 168 12 стратегии стратегии PROPN issue-123 168 13 cppi cppi PROPN issue-123 168 14 по по PROPN issue-123 168 15 сравнению сравнению NOUN issue-123 168 16 со со ADP issue-123 168 17 стратегией стратегией PROPN issue-123 168 18 постоянных постоянных PROPN issue-123 168 19 весов весов PROPN issue-123 168 20 . . PUNCT issue-123 169 1 мы мы PROPN issue-123 169 2 также также PROPN issue-123 169 3 обнаружили обнаружили VERB issue-123 169 4 сильную сильную PROPN issue-123 169 5 негативную негативную PROPN issue-123 169 6 корреляцию корреляцию PROPN issue-123 169 7 между между PROPN issue-123 169 8 оборотом оборотом VERB issue-123 169 9 cppi cppi PROPN issue-123 169 10 портфеля портфеля PROPN issue-123 169 11 и и PROPN issue-123 169 12 первоначальной первоначальной PROPN issue-123 169 13 аллокацией аллокацией NOUN issue-123 169 14 в в PROPN issue-123 169 15 акции акции VERB issue-123 169 16 , , PUNCT issue-123 169 17 в в PROPN issue-123 169 18 то то ADV issue-123 169 19 время время PROPN issue-123 170 1 как как PROPN issue-123 170 2 для для PROPN issue-123 170 3 стратегии стратегии PROPN issue-123 170 4 постоянных постоянных PROPN issue-123 170 5 весов весов PROPN issue-123 170 6 наибольший наибольший PROPN issue-123 170 7 оборот оборот NOUN issue-123 170 8 происходит происходит NOUN issue-123 170 9 при при PROPN issue-123 170 10 аллокации аллокации PROPN issue-123 170 11 в в PROPN issue-123 170 12 акции акции VERB issue-123 170 13 и и PROPN issue-123 170 14 в в PROPN issue-123 170 15 облигации облигации VERB issue-123 170 16 по по ADP issue-123 170 17 50 50 NUM issue-123 170 18 % % NOUN issue-123 170 19 . . PUNCT issue-123 171 1 практическое практическое ADJ issue-123 171 2 значение значение PROPN issue-123 171 3 . . PUNCT issue-123 172 1 показано показано NOUN issue-123 172 2 , , PUNCT issue-123 172 3 что что NOUN issue-123 172 4 выбор выбор NOUN issue-123 172 5 стратегии стратегии PROPN issue-123 172 6 зависит зависит PROPN issue-123 172 7 в в PROPN issue-123 172 8 первую первую PROPN issue-123 172 9 очередь очередь VERB issue-123 172 10 от от ADP issue-123 172 11 горизонта горизонта PROPN issue-123 172 12 инвестирования инвестирования PROPN issue-123 172 13 , , PUNCT issue-123 172 14 на на PROPN issue-123 172 15 длинных длинных PROPN issue-123 172 16 горизонтах горизонтах PROPN issue-123 172 17 предпочтительной предпочтительной PROPN issue-123 172 18 кажется кажется ADJ issue-123 172 19 стратегия стратегия PROPN issue-123 172 20 cppi cppi NOUN issue-123 172 21 . . PUNCT issue-123 173 1 вопреки вопреки PROPN issue-123 173 2 распространенному распространенному PROPN issue-123 173 3 мнению мнению PROPN issue-123 173 4 , , PUNCT issue-123 173 5 наше наше PROPN issue-123 173 6 исследование исследование PROPN issue-123 173 7 показывает показывает NOUN issue-123 173 8 , , PUNCT issue-123 173 9 что что NOUN issue-123 173 10 брокерские брокерские PROPN issue-123 173 11 комиссии комиссии PROPN issue-123 173 12 не не PROPN issue-123 173 13 оказывали оказывали PROPN issue-123 173 14 существенного существенного NOUN issue-123 173 15 влияния влияния NOUN issue-123 173 16 на на PROPN issue-123 173 17 результаты результаты PROPN issue-123 173 18 сгенерированных сгенерированных PROPN issue-123 173 19 портфелей портфелей PROPN issue-123 173 20 , , PUNCT issue-123 173 21 поэтому поэтому PROPN issue-123 173 22 они они PROPN issue-123 173 23 не не PROPN issue-123 173 24 должны должны PROPN issue-123 173 25 быть быть NOUN issue-123 173 26 определяющим определяющим ADV issue-123 173 27 фактором фактором PROPN issue-123 173 28 при при PROPN issue-123 173 29 выборе выборе ADV issue-123 173 30 стратегии стратегии NOUN issue-123 173 31 . . PUNCT issue-123 174 1 значение значение PROPN issue-123 174 2 / / SYM issue-123 174 3 оригинальность оригинальность NOUN issue-123 174 4 . . PUNCT issue-123 175 1 в в PROPN issue-123 175 2 отличие отличие PROPN issue-123 175 3 от от PRON issue-123 175 4 предыдущих предыдущих VERB issue-123 175 5 исследований исследований PROPN issue-123 175 6 в в PROPN issue-123 175 7 этой этой PROPN issue-123 175 8 области области PROPN issue-123 175 9 , , PUNCT issue-123 175 10 которые которые PROPN issue-123 175 11 фокусировались фокусировались PROPN issue-123 175 12 на на PROPN issue-123 175 13 аналитическом аналитическом PROPN issue-123 175 14 выводе выводе PROPN issue-123 175 15 и и PROPN issue-123 175 16 основывались основывались PROPN issue-123 175 17 на на PROPN issue-123 175 18 выборочных выборочных PROPN issue-123 175 19 статистиках статистиках PROPN issue-123 175 20 , , PUNCT issue-123 175 21 мы мы ADP issue-123 175 22 использовали использовали PROPN issue-123 175 23 метод метод PROPN issue-123 175 24 монте монте PROPN issue-123 175 25 - - PUNCT issue-123 175 26 карло карло NOUN issue-123 175 27 на на PROPN issue-123 175 28 реальных реальных PROPN issue-123 175 29 ценовых ценовых VERB issue-123 175 30 данных данных PROPN issue-123 175 31 и и PROPN issue-123 175 32 структуре структуре NOUN issue-123 175 33 брокерских брокерских ADP issue-123 175 34 комиссий комиссий PROPN issue-123 175 35 . . PUNCT issue-123 176 1 результаты результаты PROPN issue-123 176 2 нашего нашего PROPN issue-123 176 3 исследования исследования PROPN issue-123 176 4 гораздо гораздо NOUN issue-123 176 5 лучше лучше NOUN issue-123 176 6 характеризуют характеризуют NOUN issue-123 176 7 динамику динамику VERB issue-123 176 8 портфелей портфелей PROPN issue-123 176 9 на на PROPN issue-123 176 10 практике практике PROPN issue-123 176 11 . . PUNCT issue-123 177 1 мы мы ADP issue-123 177 2 также также PROPN issue-123 177 3 затронули затронули PROPN issue-123 177 4 такие такие PROPN issue-123 177 5 вопросы вопросы NOUN issue-123 177 6 , , PUNCT issue-123 177 7 как как VERB issue-123 177 8 оборот оборот NOUN issue-123 177 9 портфеля портфеля NOUN issue-123 177 10 и и PROPN issue-123 177 11 транзакционные транзакционные NOUN issue-123 177 12 издержки издержки PROPN issue-123 177 13 , , PUNCT issue-123 177 14 которые которые PROPN issue-123 177 15 зачастую зачастую PROPN issue-123 177 16 упускают упускают PROPN issue-123 177 17 из из PROPN issue-123 177 18 виду виду VERB issue-123 177 19 академические академические PROPN issue-123 177 20 исследователи исследователи VERB issue-123 177 21 . . PUNCT