Category: Craftsmanship (Page 3 of 6)
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.
The Dumb (Timing) Luck of Smart Beta
By Corey Hoffstein
On November 18, 2019