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The constraints are that one would need a sufficient amount of capital such that fixed transaction costs are negligible, since the strategy is a single-instrument rotation type, meaning that each month may have two-way turnover of 200% (sell one ETF, buy another). On the other hand, one would assume that the amount of capital deployed is small enough such that execution costs of trading do not materially impact the performance of the strategy. That is to say, moving multiple billions from one of these ETFs to the other is a non-starter. As all returns are computed close-to-close for the sake of simplicity, this creates the implicit assumption that the market impact and execution costs are very small compared to overall returns.
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