→ 📼 BE KIND, REWIND: Did you miss our webinar on the Newfound/ReSolve Robust Equity Momentum Index? Don't worry, you can watch the replay here.
I've been called "obsessed."
And it is probably true. Studying the impacts of rebalance timing luck has been a huge passion of mine for the last half-decade.
But I truly believe it is one of the three axes of diversification (including what, how, and when) and a massively under-appreciated source of portfolio risk.
This week, I study the empirical impact of rebalance timing luck on smart beta portfolios, including value, momentum, low volatility, and quality.
Here's the spoiler: the evidence suggests that comparing two managers who do not neutralize timing luck, or comparing a manager against a benchmark that does not neutralize timing luck (of which I am aware of none), is a completely fruitless endeavor.
I'll say that again: the impact of timing luck can be so large, performance comparisons are almost meaningless.
If you read one article from us this year, let this be it. (PDF)
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