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Corey Hoffstein - Rebalance Timing Luck (S2E11)
Flirting with Models
The Benefits of Overlapping Portfolios
The amount of rebalanced timing luck that remains after you implement a set of overlapping portfolios is one over the number of overlapping portfolios you use. Once you get 12 overlapping portfolios, for example, only one-twelfth of the original timing luck actually remains. The ultimate balance here becomes what are the operational costs, the trading costs of implementing all these overlapping portfolios versus the actual sensitivity a strategy has to timing luck.
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