The last decade’s dramatic democratization of factor investing has broadened its investor base to individual investors and their advisors. This paper studies the performance of classic allocation strategies—1/N, mean-variance, and minimum-variance—from these investors’ perspective....

To deliver historically observed factor premiums, long-only factor investing relied heavily on a small number of periods, when factors realized outsized returns in the midst of changing market leadership. This article shows that by rebalancing factor funds more frequently during these...