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Corey Hoffstein - Rebalance Timing Luck (S2E11)
Flirting with Models
The Importance of Timing Luck in Equity Strategies
Timothy Stanley: One of the recent commentaries that you wrote was a note entitled the dumb timing luck of smart beta. You empirically calculate how much timing luck existed in several quantitative equity strategies. He says for something like enhanced value to be 2.5%. For momentum, it was 4.5%. Low-vault, because it just by nature tends to be more constrained in the securities it's choosing,. It was only about 75 dips of timing luck in magnitude.
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