Smart Rebalancing
“We demonstrate the efficacy of prioritizing trades to the stocks with the most attractive signals and of focusing portfolio turnover on the trades that offer the highest potential performance impact.”
AssetEquities
StrategyFactor investing
Long/shortLong-only
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Is Sector-neutrality in Factor Investing a Mistake? by Ehsani et al. | 2021 | ||||
| Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing by Arnott et al. | 2019 | ||||
| Why Factor Tilts are Not Smart 'Smart Beta' by Arnott et al. | 2017 | ||||
| A Common Rough Latent State in Conditional Factor Pricing: Rethinking the Fama-French Five-Factor Model by Kamdem | 2026 | ||||
| Factor Momentum and the Momentum Factor by Ehsani and Linnainmaa | 2017 |