Tag: timing luck
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
Volatility is one way to manage risk. How sensitive a portfolio is to small changes in inputs – a measure of its fragility – is another important measure.
Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.
The Dumb (Timing) Luck of Smart Beta
By Corey Hoffstein
On November 18, 2019