{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T05:43:01Z","timestamp":1792561381767,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Using a unique dataset of 50 long-short smart beta factors with returns net of transaction costs, we construct a strategy that dynamically invests in factors based on past returns and covariances. The results demonstrate that this approach significantly outperforms a static 1\/N benchmark in terms of risk-adjusted returns, even in the post-2000 period of declining factor premiums. The strategy's low turnover and cost-effective implementation address key practical concerns, providing a robust framework for successful factor timing after transaction costs. The results are robust to multiple specification choices, such as covariance shrinkage, training window length, and transaction cost levels.<\/jats:p>","DOI":"10.2139\/ssrn.7634558","type":"posted-content","created":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T05:16:57Z","timestamp":1792559817000},"source":"Crossref","is-referenced-by-count":0,"title":["Factor Timing with Transaction Costs"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7476-5311","authenticated-orcid":true,"given":"Vaibhav","family":"Lalwani","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ashok","family":"Gunturu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T05:16:57Z","timestamp":1792559817000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7634558"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7634558","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}