فهرست نشریات علمی دسترسی آزاد ایران

This study examines the effects of portfolio rebalancing on the performance metrics and risk attributes of equity Exchange-Traded Funds (ETFs) in Iran’s capital market. Employing a descriptive-correlational and practical methodology, this study utilizes post-event data spanning from 2014 to 2023, sourced from the Bourse Information Technology Company and the Financial Information Processing Center (FIP Iran website). The sample includes nine equity funds-Atlas, Ofogh Mellat, Almas, Agas, Bazr, Servatam, Firooze, Charis, and Kardan-selected based on their longevity (Operational for over four years) and superior historical returns. Statistical analyses, including univariate and multiple regression models, were conducted using Stata software. The findings indicate that portfolio rebalancing driven by market dynamics significantly affects fund performance metrics such as efficiency, tracking error, and daily volatility, albeit with varying impacts across different funds. This study underscores the necessity of implementing advanced diversification strategies that account for the risk-return profiles of constituent assets to achieve optimized portfolio performance. Furthermore, balanced portfolio reconstruction is recommended as a critical risk mitigation measure. Given the pronounced influence of rebalancing on tracking errors, it is advised that fund managers design portfolios to achieve a positive tracking error, thereby enhancing pricing efficiency and mitigating intraday volatility. These insights advocate a scientifically grounded approach to ETF management that fosters improved performance and long-term investment stability.