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In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.
We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.
Diversification: More Than “What”
By Corey Hoffstein
On November 25, 2019