Strategy Note /
Global

FACTOR CONSTRUCTION: PORTFOLIO REBALANCING

    FactorResearch
    25 August 2021
    Published byFactorResearch
    1. Factor portfolios do not benefit significantly from intra-month rebalancing
    2. However, too infrequent rebalancing leads to lower risk-return ratios
    3. The robustness of factor performance at different rebalancing periods is one of the advantages of factor investing