Flirting with Models

The Research Library of Newfound Research

Tag: timing luck (Page 1 of 2)

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.

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

What do portfolios and teacups have in common?

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.

Quantifying Timing Luck

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.

Industry Group Momentum & Timing Risk

Empirically, industry groups exhibit an exploitable momentum factor. How much of it is due to timing luck?

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