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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)