Factor Timing with Transaction Costs
A strategy dynamically allocating across 50 smart-beta factors based on past returns and covariances significantly outperforms static allocation even with transaction costs included.
Featured in No. 136 on 23 Oct 2026 · 2 days after release
- Released
- 21 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7634558
- Authors
- Vaibhav Lalwani and Ashok Gunturu
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).