Copy

⏱ ...

I recently dove into our archives and found our first blog post ever about timing luck: it was in August 2013.

Unintentionally, this commentary nearly marks the 6-year anniversary. 

And despite being published on the topic, the whole thing still seems to be a completely foreign idea to the industry at large.

So we'll just keep attacking this thing from different angles until the industry catches up.

This week, we're looking at timing luck in smart beta portfolios.  Specifically, we use the monthly tranches of our own Systematic Value strategy to demonstrate how annually-, and even quarterly-, rebalanced portfolios exhibit significant disparity in performance based upon rebalance date alone.  (PDF)

Which for us raises a meaningful question: if the choice of rebalance date can lead to hundreds of basis points in performance disparity in the short run, how in the world can we ever use performance as a guide to manager selection?

⚡️Corey


Updates
🎧 LISTEN: Flirting with Models – Artur Sepp – Convexity Beta (S2E5)


Read of the Week
→ INDUSTRY: "We present empirical evidence that Value is priced within industries over a wide variety of factor definitions, with no premium for industry-selection. We find no clear industry decomposition for Quality and show that different factor definitions vary in potential for earning within- and across-industry premiums. The Low Volatility and Momentum style factors do show consistent within- and across-industry premiums. The Low Volatility anomaly appears to be most pronounced within industries, whereas the Momentum anomaly is most consistent across industries. The evidence for Size points to a within-industry premium, whilst it is unpriced across industries."  A Novel Template for Understanding Priced Factors


✉️ Join Newsletter | ✎ Send us your thoughts | ✄ Share URL
 

Copyright © 2019 Newfound Research LLC, All rights reserved.



Want to change how you receive these emails?
You can update your preferences or unsubscribe from this list.

Newfound Case #8784766