SIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 881-896, January 2020.
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio, and the diversity-weighted portfolio) in the presence of dividends and transaction costs is examined under different configurations involving the trading frequency, constituent list size, and renewing frequency. All portfolios outperform the index tracking portfolio in the absence of transaction costs. This outperformance is statistically significant for daily and weekly traded portfolios but not for monthly traded portfolios. However, when proportional transaction costs of 0.5 are imposed, most portfolios no longer outperform the market. Some exceptional cases include the entropy-weighted and the diversity-weighted portfolios under specific configurations. The only statistical significant difference appears for the relative underperformance of the equally-weighted portfolio.

中文翻译：

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比例交易成本对系统生成的投资组合的影响

SIAM金融数学杂志，第11卷，第3期，第881-896页，2020年1月。
凭经验研究了比例交易成本对系统生成的投资组合的影响。在涉及交易频率，成分清单的不同配置下，检查存在股息和交易成本的几种投资组合（指数跟踪投资组合，均等加权投资组合，熵加权投资组合和多样性加权投资组合）的绩效。大小和更新频率。在没有交易成本的情况下，所有投资组合均优于指数跟踪投资组合。对于每日和每周交易的投资组合而言，这种出色的表现具有统计意义，但对于每月交易的投资组合则不具有统计意义。但是，当施加0.5的比例交易成本时，大多数投资组合不再胜过市场。一些特殊情况包括特定配置下的熵加权投资组合和多样性加权投资组合。唯一的统计上的显着差异出现在均等加权投资组合的相对业绩不足方面。