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You have discovered an investment strategy that can beat the market by 300 basis points per year. Assume that the stock market is expected to

You have discovered an investment strategy that can beat the market by 300 basis points per year. Assume that the stock market is expected to return 9% per annum. Unfortunately, to implement your strategy, you will have to turn over your portfolio three times a year. Think of this as rebalancing (selling and buying) 25% of your portfolio every month. You have very good traders, who can execute trades at a cost of only 7.5 cents per transaction (15 cents round-trip) on a $30 stock. Does this strategy make sense?

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