Flirting with Models

The Research Library of Newfound Research

Tag: rebalance timing luck

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

“Well, you… No, you gotta do more than that.”

In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.

A Conversation on Rebalance Timing Luck

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.

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.
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