Flirting with Models

Corey Hoffstein - Rebalance Timing Luck (S2E11)

Dec 9, 2019

47:47

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Episode notes

Introduction

2min

The Impact of Rebalance Timing Luck on Portfolio Returns

2min

How to Balance Quantitative Signals for Predictive and Forecasting Power

4min

The Role of Fundamental Indexation in Portfolio Management

3min

The Impact of Rebalanced Dates on Asset Management

5min

The Impact of Timing Luck on Strategy Analysis

4min

The Differentiating Variables of a 60-40 Portfolio

5min

How to Reduce Timing Luck in Your Portfolio

2min

How to Minimize Timing Luck

2min

10.

The Benefits of Overlapping Portfolios

2min

11.

The Importance of Timing Luck in Equity Strategies

5min

12.

How to Neutralize Timing Luck

2min

13.

How to Avoid Timing Luck Risk in Factor Analysis

2min

14.

The Seasonality Effect in the Overlapped Portfolio Method

3min

15.

The Impact of Timing Luck on Academic Factor Portfolios

4min

My guest today is … me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns.

In this episode, we talk all things rebalance timing luck. It’s been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios.

We discuss how we first came across the topic, some recent research into it, important implications for the industry at large, and how we can try to solve for it.

I hope you enjoy the conversation.