Investment Strategy Diversification

By all conventional and even some unconventional measures, the US stock market is trading way beyond historical valuation averages and is closer to all time highs. Passive stock index investors have enjoyed a period of extraordinary gains in one of the longest running bull markets. No other major asset class has come close in the last 7 years. Well diversified portfolios have had lackluster returns while the stock market keeps making new highs.

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