Corey Hoffstein - Rebalance Timing Luck (S2E11)
Flirting with Models
How to Avoid Timing Luck Risk in Factor Analysis
Without explicitly neutralized academic factor definitions, it's going to be hard to circumvent this. Just because something says 0.6 doesn't mean there isn't a huge shroud of probability distribution around that number. So I think the best thing we can do is just recognize the risk and maybe not read too deeply into the precision of the output of a factor regression.
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