We published a new paper this afternoon, Being Strategic About Tactical Allocations.
To quote the abstract,
In this paper we address the issue of balancing the value of tactical decisions with the costs required to implement them. We propose a process where factor bets are extracted from portfolio weights and used in an optimization to balance the cost of trade implementation with tracking error. In a naïve test, overall turnover is reduced by 66-75% while incurring an annualized tracking error of 1.68-2.22%.
We hope you enjoy the read!
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