Baker, MalcolmTaliaferro, RyanBurnham, Terence2024-10-292017-10Baker, Malcolm, Ryan Taliaferro, and Terry Burnham. "Optimal Tilts: Combining Persistent Characteristic Portfolios." Financial Analysts Journal 73, no. 4 (Fourth Quarter 2017): 75–89.0015-198Xhttps://nrs.harvard.edu/URN-3:HUL.INSTREPOS:37379656We examine the optimal weighting of four tilts in U.S. equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size (a very persistent characteristic) at one end of the spectrum and high frequency reversal at the other. Unlike low-turnover tilts, a full history of transaction costs is essential for determining the expected return of, and hence the optimal allocation to, less persistent, more turnover-intensive characteristics. The mean-variance optimal tilts toward value, size, and profitability are roughly equal to each other and equal to the optimal low-beta tilt. Notably, the low-beta tilt is not subsumed by the other three.en-USJournal Article2024-10-2910.2469/faj.v73.n4.1