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.
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.