Corey Hoffstein - Rebalance Timing Luck (S2E11)
Flirting with Models
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The Differentiating Variables of a 60-40 Portfolio
There are really three main driving variables that could account for the amount of rebalance timing luck a strategy might incur. The turnover rate of the strategy, how frequently the strategy is rebalanced and then this last variable that is by technical measure the volatility of a long short portfolio. So higher turnover, more sensitivity to timing luck, higher frequency of rebalancing lowers the sensitivity to timingluck.
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