Corey Hoffstein - Rebalance Timing Luck (S2E11)
Flirting with Models
The Role of Fundamental Indexation in Portfolio Management
Pymfant Fleet and a couple other researchers at Robico, who wrote a piece back in early 2010. They actually replicated an annually rebalanced fundamental index. If that annual rebalance happened in March, it ended up outperforming a market cap weighted index by 10%. But if that annual rebAlance occurred in September, it actually underperformed the market cap benchmark in 2009. And so they ended up proposing an identical solution to what we had discovered.
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