A Detailed Look at the "Night Effect" with Bruce Lavine
Excess Returns
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Is Transaction Costs a Significant Issue?
We don't think transaction costs are going to be real significant. We're sitting in cash and treasuries of the fund and trading futures on top of them. So we're getting three and a half to 4% yields. In large cap space, the T cost annually might be one to one and a half percent. And then it's a bit more than that in a Russell to.
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