Month: December 2019
In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.
The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.
A podcast episode discussing all things rebalance timing luck: what is it; how can we measure it; what influences it; and how can we try to control it.
2019 Research Compendium
By Corey Hoffstein
On December 30, 2019