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Notices
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Nicolas Rabener (not verified)
6th June 2019 | 2:16pm

Hi David, thanks for your thoughtful questions. The analysis used long-short factors for explaining and then replicating the performance of BRK using these as building blocks. The factors are constructed via well-diversified portfolios of liquid US stocks and are not particular capacity constrained. The factor mimicking portfolio doesn't have a high turnover and we included transaction costs. The objective of the analysis was simply aimed to see if factors explain the outperformance of BRK, which they do.