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APRIL 2017

 

Alice in Factorland and the Incredible Shrinking Factor Return
 

Rob Arnott, Vitali Kalesnik, Lillian Wu
 

Research by Rob Arnott, Vitali Kalesnik, and Lillian Wu shows that factor-tilt strategies suffer from substantial return slippage (vs. factor long–short paper portfolios) due to the real-world costs of implementation.

Alice in Factorland
The Incredible Shrinking Factor Return
The Incredible Shrinking Factor Return (Unabridged)

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The content provided on this website is informational, subject to change and is not investment advice or any offer or solicitation for the purchase or sale of investments.  Any use of this content is subject to and evidence of the user’s acceptance of all important legal disclosures, disclaimers, terms of use and provisions found at www.researchaffiliates.com/en_us/about-us/legal.html, including the user’s complete release of liability for any use of the content, which may contain inaccuracies. 

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