Alice in Factorland and the Incredible Shrinking Factor Return

May 2017
Alice in Factorland and the Incredible Shrinking Factor Return
By 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.

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