Month: January 2018
Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.
Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.
Levered ETFs are often dismissed as not suitable for buy-and-hold investors, but they may be able to play a role in creating risk-efficient portfolios.
Timing Bonds with Value, Momentum, and Carry
By Corey Hoffstein
On January 29, 2018