Flirting with Models

The Research Library of Newfound Research

Category: Momentum (Page 1 of 4)

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

Straddles and Trend Following

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

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