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