“We know this is a passive portfolio but perhaps passive aggressive would be a more apt description,” Harvey wrote in a note to clients. “Factor-wise, the new momentum holdings are expected to be less liquid, indicating transaction costs may be higher during this rebalance. The portfolio would become more expensive, breaking its alignment with value.”
The MTUM rebalance will be executed in three tranches, starting at the close of Wednesday’s trading and concluding on Nov. 30.
This article was provided by Bloomberg News.