Rebalancing and factor returns: separating the wheat from the chaff

Despite growing adoption of factors and factor investing, we still come across articles and publications, which seem to miss the point of portfolio rebalancing, diversification and factor returns.

There are two misconceptions we wanted to address in this blog:

  1. Regular portfolio rebalancing is a way to generate excess portfolio returns.
  2. Factor returns are driven, or indeed, are a result of the rebalancing.

You can now read the full blog post at the link below