Tag: timing luck (Page 1 of 2)
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.
Empirically, industry groups exhibit an exploitable momentum factor. How much of it is due to timing luck?
We evaluate how timing luck – the probability of when events occur within a month – can affect the results of a strategic asset allocation process.
Timing Luck and Systematic Value
By Corey Hoffstein
On July 29, 2019