Category: Weekly Commentary (Page 4 of 21)
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 video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."
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.
Timing Trend Model Specification with Momentum
By Corey Hoffstein
On December 23, 2019