Luck in Rebalance Timing

An important and often overlooked topic was raised by Corey Hoffstein at NewFound Research. Here are his first couple of tweets on that topic: Indeed, this is about rebalance timing and how little attention it gets. Within the construct of a systematic strategy, this is a part of the Execution Model. The Black Box Revealed Courtesy: Inside the Black Box - The Simple Truth about Quantitative Trading by Rishi Narang