Part 4: Multi-Factor Design, Part 2—Keep a Handle on Trading Costs

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Part 4: Multi-Factor Design, Part 2—Keep a Handle on Trading Costs
 

Vitali Kalesnik and Joe Steidl
 

Poor index design can lead to high trading costs for investors. Thoughtful implementation can mitigate these costs by using weighting schemes that promote liquidity, employing turnover-control mechanisms, and applying staggered rebalancing.

Part 1: What Matters in Multi-Factor Investing?

part 2: ignored risks of factor investing

Part 3: Multi-Factor Design,
Part 1—Mixing vs. Integrating
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