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

Abstract

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

Minami, Seiji and Wakatsuki, Tetsuroh, Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy (June 17, 2014). Available at SSRN: https://ssrn.com/abstract=2453380 or http://dx.doi.org/10.2139/ssrn.2453380

Seiji Minami (Contact Author)

Resona Bank ( email )

Fukagawa Gatharia W2
5-65, Kiba 1-Chome
Tokyo, 135-8581
Japan

Tetsuroh Wakatsuki

Resona Bank ( email )

Tokyo
Japan

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