Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy
6 Pages Posted: 17 Jun 2014 Last revised: 13 Nov 2014
Date Written: June 17, 2014
We propose a practical method of portfolio construction for long only fund such as smart beta strategy. We can save trading costs in portfolio rebalance by a simple and intuitive rule between portfolio weight and score.
The appendices for this paper are available at the following URL: http://ssrn.com/abstract=2522817
Keywords: Trading Costs, Smart Beta, Factor Tilts, Turnover, Market Impact
JEL Classification: G11, C61
Suggested Citation: Suggested Citation