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Is rebalancing the source of factor premiums?

Is rebalancing the source of factor premiums?

Some argue that the mere mechanism of rebalancing increases returns, and that this explains the success of factor investment strategies. Although factor strategies do need rebalancing to maintain their exposures, there are several reasons why it is unlikely that this is their source of added value.

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Author

David Blitz, PhD
Head Quantitative Equities Research


Low-Volatility Investing: Collected Robeco Articles

banner-low-vol-120x152px.jpg2015 Edition of the Robeco book on low-volatility investing.

With 24 articles
by David Blitz, Pim van Vliet and other Robeco researchers.

Low Vol Book 2015 edition

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