Is Global Macro Gossip? S03:E06
Pirates of Finance
00:00
The Seasonality Effects of Rebalancing Asset Classes
Seasonality is the idea that certain factors benefit from being refreshed at, say, the end of quarter. Some people have argued that it are going to go unharvested if you decide to change your re balancing schedule. But i've made the argument that those re balancing effects are so small compared to the absolute magnitude of re balanced timing luck, that it's just not worth it. I wouldn't even think about it as mean reversion between asset classes. Think about this is like refreshing a factor portfolio. It's sort of like we're buying completely different baskets of stocks. And even though it's with the same process that that sort of result ends up being the same,. We prob
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