Compound Your Knowledge: Recent Episodes
Compound Your Knowledge with Alpha Architect
The Alpha Architect mission is to empower investors through education, and our Compound Your Knowledge podcast is meant to be an educational journey that slowly builds confidence in one’s own ability to understand financial concepts and financial research. We believe an educated investor is a sustainable investor, which is critical for the success of any long-horizon active investor. As Ben Franklin is reputed to have said, “An investment in knowledge pays the best interest.”
We talked with Brent Sullivan, chief editor at Tax Alpha Insider, about the history, use cases and future of the 351 exchange. Brent is one of the most respected voices in the investing tax space.
Can stocks really underperform for bonds decades?! In this special Alpha Architect Round Up celebrating 3,000 subscribers, we sit down with Meb Faber to dig into surprising market truths, diversification challenges, and why buy-and-hold doesn’t always work outside the U.S.In this episode, we discuss:• Why stocks can stagnate or trail other assets like bonds and gold for decades• The hidden role of farmland and housing in the global portfolio• Vanguard’s surprising call for international bonds• Trend-following: misunderstood or just out of favor?• The pitfalls of institutional investing and why complexity often loses• Behavioral mistakes investors keep repeating (performance chasing, sitting on cash)• Which countries and strategies are “totally not crushing it” today—but might be tomorrowFollow Meb's summer series "20 Things You May Not Know About Markets (or That Might Surprise You)": https://x.com/MebFaber/status/1936136442079855067Follow the Alpha Architect Team and Meb on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrMeb Faber: https://x.com/MebFaberSubscribe for more insights on diversification, market trends, and smart investing strategies!For more educational resources, visit:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
Submit your questions! Email: jose@alphaarchitect.comAre tariffs coming back—and is the market ready?The global trade landscape just got more complicated. With key tariff extensions expiring and deal-making in limbo, investors are left wondering what’s already priced into the market—and what might still catch them off guard. In this conversation, the Alpha Architect team to break down what these developments mean for inflation, volatility, and long-term investing strategy.In this episode, we discuss:• Why the expiration of tariff extensions could shake global markets• How much of the trade disruption is already priced in• Inflation: transitory spike or structural trend?• The limits of macro forecasting for long-term investors• When trend following works—and why it’s different from economic prediction• What increased access to private equity could mean for everyday investors• Volatility exposure: smart hedge or expensive distraction?Follow the Team on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrSubscribe for more insights on diversification, market trends, and smart investing strategies!Music License: VFX3P5IRW5LIFQAAFor more educational resources, visit:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
Submit your questions! Email: jose@alphaarchitect.comIs Tail Risk Hedging Still Worth It? And What’s Up With Trend Following and International Stocks?In this episode of the Alpha Architect Roundup, we tackle the recent market dip, the muted VIX, and what that means for tail risk hedging strategies. While investors hoping for a crash were left disappointed, the conversation turns to whether protection still has a place in a portfolio. We also dive into the struggles of trend following during whipsaw markets, the subtle resurgence of international equities, and how to think about weighting factors and diversifiers. From AI in factor research to why keeping it simple may still be the best edge, this episode offers a wide-angle lens on risk management, return generation, and investor behavior in today’s market.We discuss:• Why equities remain the dominant return driver—and where value and momentum fit in.• How to think about tail risk hedging when the VIX stays muted.• Lessons from comparing the 2020 crash to the 2025 market dip.• How trend following performed recently, and whether it’s still a valid strategy.• Why implementation (slow vs. fast signals) matters in managed futures.• The nuanced role of trend as a diversifier vs. portfolio protection.• A data-backed argument for international stocks—and whether the trend is sustainable.• What investors are (and aren’t) saying about international allocations.• How to think about weighting schemes in factor and diversifier portfolios.• The pros and cons of AI in factor investing—and why simplicity and transparency still win.Follow the Team on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrSubscribe for more insights on diversification, market trends, and smart investing strategies!For more educational resources, visit:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
Can Apple really be safer than the U.S. government?In this episode of the Alpha Architect Roundup, we explore the odd disconnect between credit ratings and market pricing. Apple holds a higher rating than the U.S.—but Treasury yields suggest otherwise. What does that say about risk perception, inflation expectations, and the role of bonds in your portfolio?In this episode, we discuss:– The disconnect between credit agencies and bond market pricing– The bond market’s lackluster performance post-2022– Rising tariffs and their impact on inflation– Momentum’s underperformance despite a strong market– Whether T-bills are still the “risk-free” rate– Practical strategies for managing long-term macro uncertaintySources:– "Why Are Bond Investors Contrarian While Equity Investors Extrapolate?Understanding Return Expectations, Part 3" by Antti Ilmanen. AQR.Subscribe for more insights on diversification, market trends, and smart investing strategies!For more educational resources, visit our website:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
What stocks should you own in a trade war?That’s the question I posed to Kai Wu, founder of Sparkline Capital, after reading his latest blog post. His answer? It's not what most investors expect—and it goes way beyond headlines about tariffs and retaliation.We discuss:• The two key dimensions of trade exposure: sales and supply chains• Why global firms have historically outperformed—despite higher risk• The concept of a “geopolitical risk premium”• How intangibles like brand equity and human capital change the game• What investors can do today to stay globally exposed without losing sleepSources:Investing Amid Trade Wars by Kai Wu: https://www.sparklinecapital.com/post/investing-amid-trade-warsInternational Intangible Investing by Kai Wu: https://www.sparklinecapital.com/post/international-intangible-valueSubscribe for more insights on diversification, market trends, and smart investing strategies!Website & DisclosuresFor more educational resources, visit our website:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
The Trump Bear Trap: Volatility, Tariffs, and Factor FrustrationMarkets whipsawed through April, with sudden drawdowns, massive rebounds, and political catalysts fueling confusion. In this episode of the Alpha Architect Roundup, we break down whether this is a true bear trap—or just the cost of being a long-term, evidence-based investor.Key Topics Covered:•Is this a bear trap or just market noise?•The impact of Trump’s tariff threats and 90-day delays•Why GDP shrank—and whether it means recession•Crisis alpha and trend following: when should it work?•Small-cap drawdowns and doubts about the size premium•Do value and momentum still deserve investor trust?•What it takes to stick with factor investing through painTimestamps:00:00 –Intro/ Factor investing should be hard01:27 – April volatility: bear trap or bull trap?06:39 – "Kicking the can down the road"12:29 – GDP contraction: signal or noise?15:31 – Crisis alpha and trend disappointment19:49 – Is the size premium dead?21:40 – Factors and the problem of timing27:04 – Are factors dead?36:49 – Is technical analysis for n00bs?40:12 – Final thoughtsSubscribe for more insights on diversification, market trends, and smart investing strategies!Website & DisclosuresFor more educational resources, visit our website:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
Is option hedging worth it — or just an expensive insurance policy?We sat down with Joe DeSipio, Chief Market Strategist at Arin Risk Advisors, to explore how professional investors think about using options for hedging, portfolio construction, and opportunistic trading.In this conversation, we cover:• Why put options are often overpriced, and what to do about it• The rise of retail interest in options and its effects in market-making• How to navigate "explanation risk" with clients• Why 0DTE options aren’t the threat some think they are• Using options as a complement for traditional portfolios• Dynamic vs. static hedging: when to use each approach• The efficiency (and inefficiencies) of the options market• Why RoaringKitty changed the world of options for the bestSubscribe for more insights on diversification, market trends, and smart investing strategies!Website & DisclosuresFor more educational resources, visit our website:https://www.alphaarchitect.comDisclosures:https://www.alphaarchitect.com/disclosures
Submit your questions! Email: jose@alphaarchitect.comWelcome to the Alpha Architect Round up, where we talk market news, trends and answer any questions you may have through an evidence-based lens.In this special edition, we dive deep into trend following, macro momentum, equity valuations, and the market reaction to major trade policy shifts.In this episode:•Does the 200-day moving average still "work"?•April’s tariff news and the return of protectionism•Market volatility and what the VIX is really saying•Trend following vs. macro momentum•Equity valuations and the risks of concentration•The role of Treasury duration in portfolios•And yes... a few predictions for MaySubscribe for more insights on diversification, market trends, and smart investing strategies!For more educational resources, visit our website:https://www.alphaarchitect.com
Submit your questions! Email: jose@alphaarchitect.comWelcome to the Alpha Architect Roundup!In this episode, we dive deep into:Factor investing strategies – How much should you concentrate a portfolio?Separate vs. combined factor funds – What’s the best approach?Regression vs. characteristics – Which method is more effective?Rebalancing factor portfolios – How frequently should you adjust?U.S. dollar weakness – Should investors change their strategy?Strategic Crypto Reserve?! What are the implications for investors?Whether you’re a seasoned investor or just getting started, this video offers practical strategies and expert insights to help you navigate factor investing, market trends, and portfolio construction.👉 Like, subscribe, and share with your friends!📚 For more investing insights, visit https://AlphaArchitect.com/subscribe📲 Follow us on X (formerly Twitter) for real-time updates!Follow the Team on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrDisclosures:https://www.alphaarchitect.com/disclosures
Submit your questions! Email: jose@alphaarchitect.comWelcome to the Alpha Architect Roundup! In this episode, we dive deep into:NVDA's $500B stock wipeout – What happened and why?AI investing risks – Is the AI bubble bursting?Tariff wars & macro trends – How will they impact markets?Portfolio strategies – Should investors adjust their holdings?Momentum investing risks – Could Nvidia’s drop signal a shift?US stock market concentration – Are mega-cap stocks too risky?Factor investing insights – How to stay ahead in 2025Whether you’re a seasoned investor or just getting started, this video offers practical strategies and expert insights to help you navigate today’s volatile market. Don’t miss the discussion on Nvidia, AI stocks, tariffs, and portfolio risks!👉 Like, subscribe, and share with your friends!📚 For more investing insights, visit AlphaArchitect.com/subscribe📲 Follow us on X (formerly Twitter) for real-time updates!Follow the Team on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJr📜 Disclosures: AlphaArchitect.com/disclosures
Submit your questions! Email: jose@alphaarchitect.com Welcome to the Alpha Architect Roundup! In this episode, we dive deep into :- Rising treasury yields and bond market signals- Inflation risk- iShares filing for a managed futures ETF- Everyone's desert island investment factors- Factor investing outlook for 2025- How GameStop (GME) may be a value stock- DJT stock and the underlying playWhether you’re an experienced investor or just getting started, this video offers practical strategies and insights to help you stay ahead. Don’t miss the discussion on meme stocks, short squeezes, and what to watch for in 2025!👉 Like, subscribe, and share with your friends📚 For more educational content, visit AlphaArchitect.com/subscribe.📲 Follow us on X (formerly Twitter) for real-time updates!Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJr
To subscribe to the Alpha Architect blog head to alphaarchitect.com/subscribeHow to invest in 2025? If you're setting goals for the new year, one of them might be to start investing, improve your investment strategy, or simply manage your money more effectively in 2025. To help, we’ve invited our CEO and CIO, Wes Gray, to share insights on how he started his investing journey, the opportunities he sees for 2025 and beyond, and key considerations for investors. Whether you're a beginner or an experienced investor, this video offers potential valuable guidance for the year ahead.0:00 - Intro/ The Grinch-Mobile2:54 - Wes's Investing Journey6:57 - Opportunities in 2025 (and Beyond?)9:57 - Why Can Value and Momentum Work?14:18 - How to Weight Value and Momentum?17:10 - Index Investing?19:55 - How to Diversify22:40 - 100% Stocks?25:13 - 2025 Goals27:11 - Systems Over Outcomes32:03 - Conclusions/ OutroDisclosures: https://alphaarchitect.com/disclosures
Submit your questions! Email: jose@alphaarchitect.com For more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeFollow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrThe Economist Article: https://www.economist.com/finance-and-economics/2024/11/21/should-investors-just-give-up-on-stocks-outside-americaWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. In this episode, we look back to 2024 to reminisce on the lessons learned and look forward to 2025 to see where markets are going.0:00 - Intro0:58 - 2024 Retrospective9:25 - US Concentration15:50 - US CAPE Valuation18:52 - International Mean Reversion26:11 - 2025 Predictions29:07 - Benjamin Graham the Factor Investor?34:40 - Favorite Investors38:40 - OutroDisclosures: https://alphaarchitect.com/disclosures.
Submit your questions! Email: jose@alphaarchitect.com For more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeFollow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrJack's paper "Long Only Value Investing: Does Size Matter?": https://alphaarchitect.com/wp-content/uploads/2022/11/AA-JBISFactorInvesting22LongOnlyValueInvesting.pdfSt. Petersburg momentum blog: https://alphaarchitect.com/2019/04/momentum-factor-investing-in-russia/Welcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. In this episode, we'll touch on multi factor portfolio construction, and how a sequential approach differs from a joint screening process. Additionally, we answer listener questions regarding commodities exposures vs. managed futures, factor reliability and EBIT-to-TEV multiples.0:00 - Intro1:07 - Joint Multifactor Screens vs. Sequential14:52 - Commodities vs. Managed Futures21:37 - Are Factors Noise?28:27 - EBIT-to-TEV vs. Earnings-to-TEV30:50 - OutroDisclosures: https://alphaarchitect.com/disclosures.
Submit your questions! Email: jose@alphaarchitect.comFor more educational resources, check out the Alpha Architect blog. www.alphaarchitect.com/subscribeFollow us on X: Wes Gray, PhD: x.com/alphaarchitect Jack Vogel, PhD: x.com/jvogs02 Ryan Kirlin: x.com/RyanPKirlin Jose Ordoñez Jr: x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about the AQR's Cliff Asness's new paper "The Less-Efficient Market Hypothesis" and review his claims regarding the market becoming less efficient over the past 30 years, valuation spreads as an indication of inefficiency, speeds vs. accuracy of markets, indexing, low interest rates and social media contagion. Additionally, we answer questions on tactical asset allocation, permanent tail hedging and equity contracts in managed futures.0:00 - Intro/ 2k Subs! 1:58 - Valuation Spreads & Market Efficiency 7:29 - Speed vs. Accuracy 20:26 - Indexing & Efficiency 24:22 - Low Interest Rates & Efficiency 30:35 - Social Media & Efficiency 39:56 - Tactical Asset Allocation 44:54 - Permanent Tail Hedging 48:05 - Equity Contracts in Managed Futures 51:21 - OutroSources: Asness, Cliff S., The Less-Efficient Market Hypothesis (August 30, 2024). 50th Anniversary Issue of The Journal of Portfolio Management, Forthcoming.Disclosures: alphaarchitect.com/disclosures.
Submit your questions! Email: jose@alphaarchitect.com For more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeFinancial Repression Blog: "Low or High Inflation? Nope, Stealthy Government Debt Liquidation!": https://alphaarchitect.com/2015/03/stealth-government-debt-liquidation/Jack's "Long-Only Value Investing: Does Size Matter?" Paper: https://alphaarchitect.com/wp-content/uploads/2022/11/AA-JBISFactorInvesting22LongOnlyValueInvesting.pdfFollow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about the recent NVDA earnings and subsequent stock crash, the macro landscape, fixed income trend, yield curve un-inversion, financial repression, factor glide paths and the size factor.0:00 - Intro1:20 - NVDA Crash6:42 - How to Pick Stocks?13:00 - Fixed Income Trends & Yield Curve Un-Inversion18:08 - Financial Repression27:55 - Factor Glide Paths35:55 - Size and Value45:24 - OutroDisclosures: https://alphaarchitect.com/disclosures.
Submit your questions! Email: jose@alphaarchitect.com For more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeRead Jack's paper on transaction costs: https://alphaarchitect.com/wp-content/uploads/2021/08/Factor_Investing_and_Trading_Costs.pdfFollow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about factor decay and ask the question: "Do factor portfolios survive publication decay and transaction costs?" We also look at the 2024 market crash and examine the root causes and what investors should do about it.0:00 - Intro1:11 - August Volatility6:30 - What to Do in a Crash?12:14 - Post-Publication Decay29:42 - Factor Investing Trading Costs36:24 - Sampling Biases40:15 - Adaptive Markets43:15 - OutroSources:Chen, Andrew. Velikov, Mihail. Zeroing In on the Expected Returns ofAnomalies. Journal of Financial and Quantitative Analysis, Vol. 58, No. 3, May 2023 (995): https://www.cambridge.org/core/services/aop-cambridge-core/content/view/945133D5A3ECEEAF466AEE91551FD225/S0022109022000874a.pdf/zeroing-in-on-the-expected-returns-of-anomalies.pdfDisclosures: https://alphaarchitect.com/disclosures.
Submit your questions! Email: jose@alphaarchitect.comFor more educational resources, check out the Alpha Architect blog.www.alphaarchitect.com/subscribeLong-Only Value Investing: Does Size Matter? by Jack Vogel: alphaarchitect.com/wp-content/uplo…ueInvesting.pdfShould You Combine Value and Momentum? with Ryan Kirlin: www.youtube.com/watch?v=IwrYP1AaSF0Follow us on X:Wes Gray, PhD: x.com/alphaarchitectJack Vogel, PhD: x.com/jvogs02Ryan Kirlin: x.com/RyanPKirlinJose Ordoñez Jr: x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about tracking error pain, personal finance topics such as home ownership and home ownership, as well as investing opportunities in crypto, dividend, covered calls ETFs and AI. Lastly, we answer questions about trend following, tail hedging and the size premium.0:00 - Intro0:32 - Tracking Error Pain12:42 - Crypto16:33 - Home Ownership in Today's Market19:18 - Work From Home23:45 - Budgeting28:47 - Dividend Investing32:28 - Covered Calls34:16 - AI42:14 - Is Trend Following a Risk Premium?45:10 - Is Tail Hedging Rational?47:48 - Does Size Matter?50:55 - OutroResources Mentioned:Tail Risk Hedging: Contrasting Put and Trend Strategies by Anti Ilmanen, Ashwin Thapar, Harsha Tummala and Daniel Villalon: www.aqr.com/Insights/Research/W…nd-Trend-StrategiesFact, Fiction, and the Size Effect by Tobias J. Moskowitz: www.aqr.com/Insights/Research/J…and-the-Size-Effect
Submit your questions! Email: jose@alphaarchitect.comFor more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeLong-Only Value Investing: Does Size Matter? by Jack Vogel: https://alphaarchitect.com/wp-content/uploads/2022/11/AA-JBISFactorInvesting22LongOnlyValueInvesting.pdfShould You Combine Value and Momentum? with Ryan Kirlin: https://www.youtube.com/watch?v=IwrYP1AaSF0Follow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about tracking error pain, personal finance topics such as home ownership and home ownership, as well as investing opportunities in crypto, dividend, covered calls ETFs and AI. Lastly, we answer questions about trend following, tail hedging and the size premium.0:00 - Intro0:32 - Tracking Error Pain12:42 - Crypto16:33 - Home Ownership in Today's Market19:18 - Work From Home23:45 - Budgeting28:47 - Dividend Investing32:28 - Covered Calls34:16 - AI42:14 - Is Trend Following a Risk Premium?45:10 - Is Tail Hedging Rational?47:48 - Does Size Matter?50:55 - OutroResources Mentioned:Tail Risk Hedging: Contrasting Put and Trend Strategies by Anti Ilmanen, Ashwin Thapar, Harsha Tummala and Daniel Villalon: https://www.aqr.com/Insights/Research/White-Papers/Tail-Risk-Hedging-Contrasting-Put-and-Trend-StrategiesFact, Fiction, and the Size Effect by Tobias J. Moskowitz: https://www.aqr.com/Insights/Research/Journal-Article/Fact-Fiction-and-the-Size-Effect
Submit your questions! Email: jose@alphaarchitect.comFor more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeFollow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about Roaring Kitty and market sentiment, factor concentration vs. diversification, taxable investing, managed futures, emerging markets, asset class rotation, risk parity and much more!0:00 - Intro0:44- Roaring Kitty is Back!5:20 - Investor FOMO & Momentum10:17 - Factor Concentration18:00 - Taxable Investing20:01 - Managed Futures & Emerging Markets30:30 - Asset Class Rotation34:23 - 🐓35:00 - Risk Parity39:32 - OutroResources Mentioned:Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw,"Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns"Journal of Financial Economics (2011)https://pages.stern.nyu.edu/~rwhitela/papers/max%20jfe11.pdfFrog-in-the-Pan Momentum Investing with Jack Vogel: https://www.youtube.com/watch?v=n2y5oZZlZoA&t=0sDisclosures: https://alphaarchitect.com/disclosures.
For more educational resources, check out the Alpha Architect blog.https://www.alphaarchitect.com/subscribeFollow us on X:Wes Gray, PhD: https://x.com/alphaarchitectJack Vogel, PhD: https://x.com/jvogs02Ryan Kirlin: https://x.com/RyanPKirlinJose Ordoñez Jr: https://x.com/JOrdonezJrWelcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk market trends positioning for inflation, 24/7 NYSE trading, and frog-in-the-pan momentum correlation to discount rates.0:00 - Intro0:36 - Trend Positioning/ Inflation Coming Back?13:10 - NYSE to Trade 24/7?!27:25 - Momentum & Discount Rates35:01 - OutroResources Mentioned:Da, Zhi and Gurun, Umit G. and Warachka, Mitch, Frog in the Pan: Continuous Information and Momentum (September 30, 2012). Momentum and the Clarity of the Trend by Larry Swedroe: https://alphaarchitect.com/2024/05/momentum-and-the-clarity-of-the-trend/Disclosures: https://alphaarchitect.com/disclosures.
This week we discuss Ryan’s article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm’s Total Enterprise Value (TEV).
Article Links:
What’s the Story Behind EBIT/TEV https://alphaarchitect.com/2020/05/01/whats-the-story-behind-ebit-tev/
In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over the past two years ( highlighting great research by the AQR team). The second article, written by Nicolas Rabener, examines portfolios combining either (1) Low Volatility and Momentum or (2) Value and Momentum.
Article Links:
Is There Something Wrong with the Value Premium? https://alphaarchitect.com/2020/03/24/is-there-something-wrong-with-the-value-premium/
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios https://alphaarchitect.com/2020/03/13/low-volatility-momentum-versus-value-momentum-factor-portfolios/
External link to the video here. https://www.youtube.com/watch?v=rIdjBO1iibk&feature=youtu.be
Last week, there were some pretty big dislocations between bond mutual funds and ETFs. I picked one specific example I found interesting, comparing the Vanguard high-yield muni bond mutual fund to two high-yield muni bond ETFs in the marketplace. Ryan and I discussed my example, which hopefully gives some information on how, within the bond market, ETFs can at times act differently than mutual funds.
Video Link: https://www.youtube.com/watch?v=bO1qoil5W-I&feature=youtu.be
In mid-February, prior to the market craziness, Jon Seed posted an article on our site titled: “Price”, ETFs, and Bond Market Liquidity. This was a prescient article, as it highlighted some of the issues with pricing bonds since they do not necessarily trade thousands or millions of times a day like stocks. Jon also mentioned how this affected mutual funds and ETFs, so we thought it was a good idea to bring Jon into the show to discuss more given the recent market events (as well as our CTO, Brandon Koepke).
Article Links:
“Price”, ETFs, and Bond Market Liquidity https://alphaarchitect.com/2020/02/13/price-etfs-and-bond-market-liquidity/
External link to the video here. https://www.youtube.com/watch?v=HYBlse8i-HM&feature=youtu.be
In this week’s video, we discuss two articles examining (1) the performance gap between large and small firms and (2) the case against REITs.
Article Links:
The Gap Between Large and Small Companies is Growing. Why? https://alphaarchitect.com/2020/03/05/the-gap-between-large-and-small-companies-is-growing-why/
The Case Against REIT’s https://alphaarchitect.com/2020/02/06/the-case-against-reits/
External link to the video here. https://www.youtube.com/watch?v=Z7d5cKAM96U&feature=youtu.be
In this week’s video, we discuss two articles examining (1) why Enterprise Multiples explain stock returns and (2) Asset allocation (and factor allocation).
Article Links:
Why Do Enterprise Multiples Predict Expected Stock Returns? alphaarchitect.com/2020/01/21/ente…-stock-returns/
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? alphaarchitect.com/2019/12/30/asse…unified-method/
In this week’s post, we discuss two articles examining (1) the relative underperformance of Value compared to Growth and (2) the new ETF rule and commission-free trading.
Article Links:
The Massive Performance Divergence Between Large Growth and Small Value Stocks https://alphaarchitect.com/2020/02/21/the-massive-performance-divergence-between-large-growth-and-small-value-stocks/
Boutique ETF Issuers Finally Get a Break! https://alphaarchitect.com/2019/10/15/boutique-etf-issuers-finally-get-a-break/
Compound Your Knowledge Holiday Episode by Compound Your Knowledge with Alpha Architect
Factor Investing Update: An Analysis of 2019 International Factor Returns: https://alphaarchitect.com/2020/02/19/factor-investing-update-an-analysis-of-2019-international-factor-returns/
In this week’s post, we discuss two articles. The first article examines the financial performance of collectibles, such as Cars, Wine, and Art. The second article examines PMI and its impact on factor performance.
Research on the Financial Performance of Collectibles https://alphaarchitect.com/2019/07/22/research-on-the-financial-performance-of-collectibles/
Purchasing Managers’ Index (PMI) and Factor Performance https://alphaarchitect.com/2019/07/23/purchasing-managers-index-pmi-and-factor-performance/
Value Investing & Concentration https://alphaarchitect.com/2019/07/18/value-investing-concentration/
Strategies to Reduce Crash Risk in Stocks https://alphaarchitect.com/2019/07/16/strategies-to-reduce-crash-risk-in-stocks/
In this week’s post, we discuss four articles. The size, written by the folks at AQR, is titled “Fact, Fiction, and the Size Effect” and is a deep dive into the Size effect–I highly recommend everyone read the underlying paper as well. The second article examines the baseline historical facts of market sell-offs, both within the U.S. and other markets. The third paper, summarized by Larry Swedroe, examines a way to enhance L/S momentum portfolios. The last article discusses Momentum, Quality, and more importantly, gives some R Code to help those interested in replicating results at home.
Article Links:
Fact, Fiction, and the Size Effect https://alphaarchitect.com/2019/07/08/fact-fiction-and-the-size-effect/
Market Sell-off Analysis: Baseline Historical Facts https://alphaarchitect.com/2019/07/10/market-sell-off-analysis-baseline-historical-facts/
Enhancing the Performance of Momentum Strategies https://alphaarchitect.com/2019/07/12/enhancing-the-performance-of-momentum-strategies/
Momentum, Quality, and R Code https://alphaarchitect.com/2019/07/11/momentum-quality-and-r-code/
We hope everyone had a nice 4th of July weekend!
In this week’s post, we discuss one paper, titled “Buyback Derangement Syndrome.” The paper was summarized on our site by Tommi, and the paper was written by Clifford Asness, Todd Hazelkorn, and Scott Richardson, all of AQR.
Debunking Myths About Stock Buybacks https://alphaarchitect.com/2019/07/01/debunking-myths-about-stock-buybacks/
In this week’s post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written by Andrew Miller, examines Large-Cap Value portfolios. The last post, written by Larry Swedroe, examines Active Management.
Trend Following: The Epitome of No Pain, No Gain https://alphaarchitect.com/2019/06/26/trend-following-the-epitome-of-no-pain-no-gain/
Large-Cap Price-to-Book Investing: What is Dead May Never Die https://alphaarchitect.com/2019/06/25/large-cap-price-to-book-investing-what-is-dead-may-never-die/
Is Active Management Skilled? If So, Who Benefits? https://alphaarchitect.com/2019/06/28/is-active-management-skilled-if-so-who-benefits/
This week Ryan and Jack discuss two topics. First, they discuss a paper examining the performance of bank affiliated mutual funds. Second, they examine a post by Larry Swedroe on diversification.
Paper Links: Do Bank Affiliated Funds Underperform Affiliated Funds? https://alphaarchitect.com/2018/10/29/do-bank-affiliated-funds-underperform-unaffiliated-funds/
Asset Diversification in a Flat World. https://alphaarchitect.com/2018/11/01/asset-diversification-in-a-flat-world/
The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available below. Definitions of common statistics used in our analysis are available below (towards the bottom). https://alphaarchitect.com/disclosures/
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In this week’s post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle–while most are discounting factors in the new “Factor Zoo” world, this is definitely an interesting factor to examine. Second, I briefly summarize Larry Swedroe’s paper on Risk versus Uncertainty, and how one can build alternative portfolios to deal with the fact that we make investment decisions in an uncertain world. Last, I examine a post by Tommi, summarizing a paper showing that even institutional investors appear to get distracted.
A Remarkable New Factor: The Cash Conversion Cycle https://alphaarchitect.com/2019/04/09/a-remarkable-new-factor-the-cash-conversion-cycle/
Additional Link to 1999 CS report. https://studies2.hec.fr/jahia/webdav/site/hec/shared/sites/jeanjean/acces_eleves/finance%20a%20cour%20terme/synth%C3%A8se.pdf
Investment Strategy in an Uncertain World https://alphaarchitect.com/2019/04/11/investment-strategy-in-an-uncertain-world/
Distracted Institutional Investors https://alphaarchitect.com/2019/04/08/distracted-institutional-investors/
Today, Ryan and Jack discuss three topics discussed on Alpha Architect's blog over the past two weeks. First, they discuss a post by Wes, discussing the benefits and pitfalls of portfolio diversification. Second, they discuss a new working paper which questions how the Investment CAPM can price momentum. Last, they discuss a guest post by Larry Swedroe, which examines Portfolio Construction for factor funds.
Video Links/Notes
Summing Up the Potential Benefits and Pitfalls of Diversification in 3 Slides https://alphaarchitect.com/2018/10/04/summing-up-the-potential-benefits-and-pitfalls-of-diversification-in-3-slides/
How Can the Investment CAPM Price Momentum? https://alphaarchitect.com/2018/10/02/how-can-the-investment-capm-price-momentum/
How a Multi-Factor Portfolio is Constructed Matters https://alphaarchitect.com/2018/10/11/how-a-multi-factor-portfolio-is-constructed-matters/
In today’s video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest post by Nicolas Rabener examining Value, Momentum and Carry over the past 10 years. Last, we examine a guest post by Elisabetta discussing a new paper on rankings/incentives.
1042 QRP: How to Finance a Seller Note 00:35 https://alphaarchitect.com/2019/01/23/1042-qrp-how-to-finance-a-seller-note/
Value, Momentum & Carry Across Asset Classes 07:17 https://alphaarchitect.com/2019/01/25/value-momentum-carry-across-asset-classes/
Rankings and Risk-Taking in the Finance Industry 12:37 https://alphaarchitect.com/2019/01/22/rankings-and-risk-taking-in-the-finance-industry/
In this week’s episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs and Mutual Funds. The second article, summarized by Elisabetta, examines the performance of funds by differentiating the fund’s manager on his/her family wealth. The third article, written by Maneesh Shanbhag, examines the benefits of Tax-Loss Harvesting (TLH). The last article, written by Larry Swedroe, takes a deep dive into two explanations for the Value premium–(1) Risk and (2) Behavior.
0:20 - Are ETFs Really Crushing Mutual Funds? https://alphaarchitect.com/2019/04/30/are-etfs-really-crushing-mutual-funds/
6:57 - Buyer Beware: The Reality of Tax-Loss Harvesting Benefits https://alphaarchitect.com/2019/04/26/buyer-beware-the-reality-of-tax-loss-harvesting-benefits/
3:44 - Fund Management: The Poor Beat the Rich https://alphaarchitect.com/2019/04/29/fund-management-the-poor-beat-the-rich/
10:55 - Deep Dive into the Value Factor https://alphaarchitect.com/2019/05/02/deep-dive-into-the-value-factor%EF%BB%BF/
This week Ryan and Jack have a discussion on three topics. First, they discuss ETF tax efficiency based on the findings in a new paper by the RAFI team. Second, they discuss the profitability factor as Larry Swedroe highlights a new paper on international evidence. Third, they discuss Jack's article on how one should benchmark a trend following strategy.
Paper Links: Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help. https://alphaarchitect.com/2018/10/15/can-your-alpha-cover-the-tax-bill-pro-tip-the-etf-wrapper-may-help/
The Profitability Factor: International Evidence https://alphaarchitect.com/2018/10/18/the-profitability-factor-international-evidence/
What is the correct benchmark for trend following? https://alphaarchitect.com/2018/10/16/what-is-the-correct-benchmark-for-trend-following/
This week Ryan and Jack discuss two editorials on machine learning and its impact and use within Research. The first paper is an Editorial by Rob Arnott, Cam Harvey, and Harry Markowitz discussing, in their opinion, proper protocols for research (back-testing) in the era of machine learning. The Second paper, summarized by Elisabetta, is by Joseph Simonian, Marcos Lopez de Prado, and Frank Fabozzi. In their paper, they discuss, at a high-level, how data science and machine learning can help research.
Paper Links: A Backtesting Protocol in the Era of Machine Learning https://alphaarchitect.com/2018/12/17/protocol-to-prevent-quants-gone-wild/
Order from Chaos: Data Science is Revolutionizing Investment Practice https://alphaarchitect.com/2018/12/18/data-science-is-revolutionizing-investment-practice/
In today’s video, we examine three posts. First, we examine Larry Swedroe’s rebuttal to the “failure” of factor investing. Second, we examine a paper examining the performance of the Size and Value factors in China. Last, we examine a fun and light-hearted post by Doug on EBITDA.
Article Links:
“The Failure of Factor Investing was Predictable” https://alphaarchitect.com/2019/01/28/the-failure-of-factor-investing-was-predictable/
Size and Value in China https://alphaarchitect.com/2019/01/31/size-and-value-in-china/
EBITDA, EBITDA, EBITDA…that’s all, folks! https://alphaarchitect.com/2019/01/29/ebitda-ebitda-ebitda-thats-all-folks/
In this week’s video, we discuss three posts. The first post discusses the new index analysis section on our site. The second post, written by Tommi, uses Hedge Funds’ past performance to identify if one can predict future Hedge Fund performance. The last post discusses Wes’ video examining an older article–Factor Investing is Simple, but Not Easy.
Quarterly Index Analysis and Commentary: Q1 2019 https://alphaarchitect.com/2019/04/24/quarterly-index-analysis-and-commentary-q1-2019/
Only Hedge Fund Winners in Tough Times Show Skill https://alphaarchitect.com/2019/04/22/only-hedge-fund-winners-in-tough-times-show-skill/
Factor Investing is Simple, But Not Easy (Video) https://alphaarchitect.com/2019/04/18/factor-investing-is-simple-but-not-easy-video/
In this week’s post, I discuss four papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the momentum of (L/S) factors. The second article, written by Larry Swedroe, asks the following: “The Re-Death of Value, or Déjà Vu All Over?” The third article is a guest post by Robinson Crawford, who gives an overview of equity compensation.
Article Links:
Is factor momentum really everywhere? https://alphaarchitect.com/2019/06/03/is-factor-momentum-really-everywhere/
The Re-Death of Value, or Déjà Vu All Over? https://alphaarchitect.com/2019/06/04/the-re-death-of-value-or-deja-vu-all-over/
Equity Compensation Planning in a TCJA World https://alphaarchitect.com/2019/06/06/equity-compensation-planning-in-a-tcja-world/
This week Ryan and Jack discuss three topics. First, they examine the returns to U.S. stock broken down by (1) size and (2) factors (mega-cap stocks were the place to invest over the last 5 years!). Second, they examine a post by Adam Tkaczuk on Opportunity Zones–a must read for those with low basis securities. Third, they examine a post by Tommi on Hedge Funds and their role in reducing mispricing.
Paper Links:
Factor Investing Fact Check: Are Value and Momentum Dead? https://alphaarchitect.com/2018/11/15/factor-investing-fact-check-are-value-and-momentum-dead/
Want to Minimize Capital Gains Taxes? Check Out Our Guide to Opportunity Zone Investments https://alphaarchitect.com/2018/11/13/want-to-minimize-capital-gains-taxes-check-out-our-guide-to-opportunity-zone-investments/
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing https://alphaarchitect.com/2018/11/12/hedge-funds-may-profit-from-stock-picking-and-help-reduce-mispricing/
Welcome to the newly re-titled weekly video, Compound Your Knowledge. In today’s video, we examine three posts. First, we examine a simple analysis of 2018 Factor portfolio returns. Second, we examine a guest post by Jon Seed examining Warren’s put options, and how they are different than most investors put options. Last, we examine a guest post by Tommi, discussing a new Fama and French article highlighting the distribution of equity returns.
A Simple Analysis of 2018 U.S. Factor Returns 00:40 https://alphaarchitect.com/2019/01/04/a-simple-analysis-of-2018-u-s-factor-returns/
Warren Buffett is Wrong About Options (Except) 06:16 https://alphaarchitect.com/2018/12/28/warren-buffett-is-wrong-about-options-except/
Equity Investing is Riskier than You Probably Expected 10:16 https://alphaarchitect.com/2019/01/14/equity-investing-is-riskier-than-you-probably-expected/
In this week’s post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. The second post, written by Larry Swedroe, examines issues that plague Factor Investing.
Article Links:
Aggregate Investor Confidence in the Stock Market https://alphaarchitect.com/2019/04/15/aggregate-investor-confidence-in-the-stock-market/
The Factors that Plague Factor Investing https://alphaarchitect.com/2019/04/16/the-factors-that-plague-factor-investing/
This week Ryan and I discuss two topics. First, we examine a paper titled, “The Misguided Beliefs of Financial Advisers”, which examines if financial advisors are conflicted, or simply misguided. Second, we examine a post on the Unobservable Global Market Portfolio.
A Proxy for the Unobservable Global Market Portfolio https://alphaarchitect.com/2018/11/26/a-proxy-for-the-unobservable-global-market-portfolio/
Is Financial Advice Conflicted or Is It Simply Misguided https://alphaarchitect.com/2018/11/29/is-financial-advice-conflicted-or-is-it-simply-misguided/
In this week’s video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using volatility targeting to improve risk-adjusted returns. The third article, also written by Larry Swedroe, examines the volatility anomaly. The last article, written by Tommi, examines some things to consider when building an ESG portfolio.
News Sentiment and Bonds https://alphaarchitect.com/2019/05/28/news-sentiment-and-bonds/
Volatility Targeting Improves Risk-Adjusted Returns https://alphaarchitect.com/2019/05/22/volatility-targeting-improves-risk-adjusted-returns/
Volatility Anomalies: IVOL and Vol-of-Vol https://alphaarchitect.com/2019/05/21/volatility-anomalies/
Old link to how to calculate IVOL. https://alphaarchitect.com/2014/12/19/a-quick-lesson-in-volatility-measures/
Things to Consider for ESG Portfolio Construction https://alphaarchitect.com/2019/05/20/things-to-consider-for-esg-portfolio-construction/
In today’s video, we examine three articles from last week. The first article, written by Larry Swedroe, examines the Momentum of News. The second article, written by Wes, examines an out-of-sample test on Momentum by looking at Russian stocks in the 19th century. The third article, written by Tommi, examines the impacts that short sellers have within markets–are they manipulative or do they carry information to make markets more efficient?
The Momentum of News https://alphaarchitect.com/2019/04/04/the-momentum-of-news
Momentum Factor Investing in 19th Century Imperial Russia https://alphaarchitect.com/2019/04/02/momentum-factor-investing-in-russia/
Short Selling + Inside Selling = Bad News https://alphaarchitect.com/2019/04/01/short-selling-may-not-destabilize-markets-but-rather-improve-market-efficiency/
In this week’s video, we examine three articles. The first article, written by Adam Tkaczuk, covers a method to make an opportunity zone (equity) investment behave more like a bond. The second article, written by Larry Swedroe, examines the future performance of past winning & loser funds. The third article, written by Tommi, examines an investment strategy combining the information from (1) short selling and (2) insider buying/selling.
Structuring Lower Risk Opportunity Zone Investments https://alphaarchitect.com/2019/05/16/low-risk-opportunity-zone-investing/
The Folly of Hiring Winners and Firing Losers https://alphaarchitect.com/2019/05/14/the-folly-of-hiring-winners-and-firing-losers%EF%BB%BF/
Short Selling + Insider Selling = Profitable Strategy? https://alphaarchitect.com/2019/05/13/short-selling-insider-selling-bad-news-part-2/
In today’s video, we examine two posts from last week. First, we examine Wes’ post on the Size factor. Second, we examine a paper by Tommi examining the distribution of Size and Value returns over various time horizons.
Article Links:
Is There a Size Effect in the Stock Market? https://alphaarchitect.com/2019/02/14/is-there-a-size-effect-in-the-stock-market/
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons https://alphaarchitect.com/2019/02/11/how-risky-are-the-value-and-size-premiums-part-2-2-of-volatility-lessons/
In this week’s video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using volatility targeting to improve risk-adjusted returns. The third article, also written by Larry Swedroe, examines the volatility anomaly. The last article, written by Tommi, examines some things to consider when building an ESG portfolio.
News Sentiment and Bonds https://alphaarchitect.com/2019/05/28/news-sentiment-and-bonds/
Volatility Targeting Improves Risk-Adjusted Returns https://alphaarchitect.com/2019/05/22/volatility-targeting-improves-risk-adjusted-returns/
Volatility Anomalies: IVOL and Vol-of-Vol https://alphaarchitect.com/2019/05/21/volatility-anomalies/
Old link to how to calculate IVOL. https://alphaarchitect.com/2014/12/19/a-quick-lesson-in-volatility-measures/
Things to Consider for ESG Portfolio Construction https://alphaarchitect.com/2019/05/20/things-to-consider-for-esg-portfolio-construction/
The Alpha Architect mission is to empower investors through education, and our Weekly Research Recap is meant to be an educational journey that slowly builds confidence in one’s own ability to understand financial concepts and financial research. We believe an educated investor is a sustainable investor, which is critical for the success of any long-horizon active investor. As Ben Franklin is reputed to have said, “An investment in knowledge pays the best interest.”
https://alphaarchitect.com/2018/09/06/what-is-smart-beta/
This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by researchers from Goldman Sachs, “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending.”
Paper Links: How large is the tracking error created by trend following? Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
In today’s video, we examine three articles from last week. The first article examines the (under) performance of trend-following over the last decade. The second article by Valeriy Zakamulin examines common questions, and Valeriy’s responses, on “how” to build a trend-following model. The third article by Elisabetta examines the performance of hedge funds when the issuer is either private or public.
Article Links:
Trend-Following: A Decade of Underperformance https://alphaarchitect.com/2019/02/20/trend-following-a-decade-of-underperformance/
If you had to do a trend following strategy, what would it be and why? https://alphaarchitect.com/2019/02/22/if-you-had-to-do-a-trend-following-strategy-what-would-it-be-and-why/
Public Hedge Funds and Their Performance https://alphaarchitect.com/2019/02/18/public-hedge-funds-and-their-performance/
In this week’s episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines the performance of systematically purchasing stocks trading above 10x their sales (revenue).
Tax-Managed Factor Strategies https://alphaarchitect.com/2019/05/06/tax-managed-factor-strategies/
Buying Stocks Trading Above 10x Sales–A Good Idea? https://alphaarchitect.com/2019/05/09/buying-stocks-trading-above-10x-sales-a-good-idea/
This week Ryan and I discuss three posts. First, we examine a guest post titled, “Trend Following on Steroids,” which examines ways to enhance a simple trend-following strategy. Second, we examine a post I wrote regarding how to use trend-following within a standard stock/bond portfolio. Last, we examine a post by Tommi on an AQR paper regarding how to measure Risk Exposures.
Paper Links: Trend Following on Steroids https://alphaarchitect.com/2018/12/07/trend-following-on-steroids/
How to Use Trend Following within a Portfolio https://alphaarchitect.com/2018/12/04/how-to-use-trend-following-within-a-portfolio/
Measuring Factor Exposures: Uses and Abuses https://alphaarchitect.com/2018/12/03/measuring-factor-exposures-uses-and-abuses/
This week Ryan and Jack discuss two posts. First, they examine a guest post by Matthew Bartolini of State Street Global Advisors, discussing the underperformance of Value and its outlook for 2019. Second, they examine a guest post by Elisabetta on a recent JPM paper examining the effects that ETFs have had on Correlations, Liquidity, and Alpha Opportunities.
Paper Links: After a Lost Decade, Will Value Get its Grove Back in 2019? https://alphaarchitect.com/2018/12/11/after-a-lost-decade-will-value-get-its-groove-back-in-2019/
ETFs have NOT screwed up Correlations, Liquidity, and Alpha Opportunities https://alphaarchitect.com/2018/12/10/etfs-have-not-screwed-up-correlations-liquidity-and-alpha-opportunities/
Last week’s video (slightly delayed) involves interviews of three guests of Alpha Architect. The first guest is Adam Butler of Resolve Asset Management. We discuss Resolve’s portfolios and I ask Adam a tough question–if you can only pick one asset class and one rule to use for investments, what would it be? Our second guest (14-minute mark) is Andrew Miller. We discuss a topic relevant for most financial advisors, withdrawal rates. We discuss Andrew’s published and working papers on the topic (links below). Next (28-minute mark), Ryan asks me questions on a summary of my blog post, “Value, Momentum, and Risk.” Ryan then interviews our third guest, Elisabetta Basilico, to discuss her blog post on gender bias in asset management (40-minute mark). Last, at the 48-minute mark, Ryan interviews our CCO/COO Patrick Cleary and our CTO/Portfolio Manager Brandon Koepke on another relevant topic for financial advisors–cybersecurity.
Video Links/Notes
Adam Butler — Resolve Asset Management https://investresolve.com/us/
Andrew Miller — Published and Working Papers on ways to improve withdrawal rates. Here is a blog post, mentioned in the podcast, where we discuss how bonds will perform in the next crisis. https://alphaarchitect.com/2016/06/07/will-bonds-deliver-crisis-alpha-in-the-next-crisis/
Value, Momentum, and Risk https://alphaarchitect.com/2018/09/25/value-and-momentum-and-risk/
Elisabetta Basilico — Why so few women in finance? https://alphaarchitect.com/2018/09/24/the-trillion-dollar-question-why-so-few-women-in-finance/
Patrick Cleary and Brandon Koepke — SEC Cybersecurity Requirements for Registered Investment https://alphaarchitect.com/2018/09/26/sec-cybersecurity-requirements-for-registered-investment-advisors-rias/Advisors (RIAs)
Ryan and Jack discuss three articles published on our blog this week. First, they examine a paper by Linda Zhang investigating the volatility of leveraged ETFs. Second, they discuss an article (and corresponding video and PPT slides from Wes) examining stock momentum strategies. The talk is titled "Momentum Investing, Simple, but not Easy". Last, they examine an article by Aaron Brask examining the value of retirement accounts--this article, along with the prior one, is a must read for those interested in better understanding the benefits of retirement accounts.
Links to the post are below for those interested in digging into the details!
Video Links/Notes:
Leveraged ETFs and Volatility Jumps: https://alphaarchitect.com/2018/09/17/leveraged-etfs-and-volatility-jumps/
Momentum Investing, Like Value Investing, is Simple, but NOT Easy: https://alphaarchitect.com/2018/09/18/momentum-investing-like-value-investing-is-simple-but-not-easy/
Illustrating the Value of Retirement Accounts: https://alphaarchitect.com/2018/09/19/illustrating-the-value-of-retirement-accounts/
Past related article by Aaron: https://alphaarchitect.com/2018/04/19/quantifying-value-retirement-accounts/
Ryan Kirlin and Dr. Jack Vogel discuss three articles published on our blog this week.
First, we examine a summary by Larry Swedroe that highlights the Betting Against Beta (BAB) factor and dives into two new papers examining when the BAB factor performs well.
Second, we discuss a paper titled “The Conservative Formula: Quantitative Investing Made Easy” which uses three well-known factors, (1) low volatility, (2) price momentum, and (3) payout-yield to form a 100 stock portfolio.
Last, we examine a paper titled “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes” authored by the BlackRock, Inc. team–they examine common market-capitalization weighted portfolios and break them down into their factor allocations using long-only and investable (1) Value, (2) Momentum, (3) Quality, (4) Size, and (5) Low Volatility portfolios.
Links to the post are below for those interested in digging into the details!
Video Links/Notes
How Leverage Constraints Effect Mutual Fund Risk Taking (discussion of the BAB factor): https://alphaarchitect.com/2018/09/13/how-leverage-constraints-effect-mutual-fund-risk-taking/
The Conservative Formula: Quantitative Investing Made Easy https://alphaarchitect.com/2018/09/11/the-conservative-formula-quantitative-investing-made-easy/
What’s In Your Benchmark? https://alphaarchitect.com/2018/09/10/whats-in-your-benchmark/
In this episode of Behind the Markets Podcast hosts Jeremy Schwartz and Wes Gray talk high frequency trading, cryptocurrency, & the future of investing with new tech. Also check out the video below of our guest Dave blowing up a bridge which he mentions at the start of our interview!