This is a summary of links featured on Quantocracy on Saturday, 07/20/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Rebalancing Luck [Spring Valley]The date on which a portfolio is rebalanced can have a tremendous impact on realized performance. We demonstrate that a strategy rebalanced on different dates using the exact same investment process can exhibit return differentials of over 20% across short periods of time. These differences are entirely explained by path dependency, also known as rebalancing luck. In addition, we cannot