Alice in Factorland and the Incredible Shrinking Factor Return

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.

The Incredible Shrinking Factor Return

The Incredible Shrinking Factor Return (Unabridged)

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