Tag: timing luck (Page 1 of 2)
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.
Empirically, industry groups exhibit an exploitable momentum factor. How much of it is due to timing luck?
The Dumb (Timing) Luck of Smart Beta
By Corey Hoffstein
On November 18, 2019