Reducing Turnover with Smart Beta

I saw an analysis a few months ago on rebalancing portfolios sorted on CAPE monthly, which really didn’t make a lot of sense to me.  Many long term valuation metrics need a little time to work out.  Brightman talks about smart beta in this issue, and an important feature of smoothing value variables is pointed out that I had not spent much time with – reducing turnover.

A quick chart before the download:



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What Makes Alternative Beta Smart?