Prior research and empirical investment results have shown that portfolio construction choices related to rebalance schedules may have non-trivial impacts on realized performance. We construct long-only indices that provide exposures to popular U.S. equity factors (value, size, momentum,...

Prior research and empirical investment results demonstrate that strategy performance can be highly sensitive to rebalance schedules, an effect called rebalance timing luck (“RTL”). In this paper we extend the empirical analysis to option-based strategies. As a case study, we replicate a...