Here, we analyze the ex post, out-of-sample performance of various portfolios strategies through a sequence of investments with monthly rebalancing. Optimal portfolios are derived first using the initial 60 monthly observations, then using the first 61 monthly observations, and so on, . ; and are finally rebalanced using the first T 1 monthly observations, with T ¼ 336 denoting the sample size. Hence, the first investment is made at the end of December 1979, the second at the end of January 1980, and so on, . ; with the last at the end of November 2002. We obtain the month-t realized excess return on each investment.
