macrocephalopod

the march rebalance and reconstitution is looking really interesting. especially momentum. a lot of cyclicals that started falling early that are absolutely ripping but are not expensive yet have spectacular returns on an 11m trailing basis (so the 12-1 def) due to base effects.

What’s your sense on the % of factor aum that follows a quarterly rebalance cycle, rather than just rebalancing continuously as exposures change?

rebalance timing luck is @choffstein’s territory but in my experience its a mix where the behavioral bias is a continuous rebalance process but the systematics are more married to specific discrete rebalance date and process (by definition)

this is slightly dated but it should help answer your questionhttps://twitter.com/NewRiverInvest/status/1340941943161774082 …