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Long-Only Value Investing: Does Size Matter? by Jack Vogel: alphaarchitect.com/wp-content/uplo…ueInvesting.pdf

Should You Combine Value and Momentum? with Ryan Kirlin: www.youtube.com/watch?v=IwrYP1AaSF0

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Jose Ordoñez Jr: x.com/JOrdonezJr

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. 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 - Intro
0:32 - Tracking Error Pain
12:42 - Crypto
16:33 - Home Ownership in Today's Market
19:18 - Work From Home
23:45 - Budgeting
28:47 - Dividend Investing
32:28 - Covered Calls
34:16 - AI
42:14 - Is Trend Following a Risk Premium?
45:10 - Is Tail Hedging Rational?
47:48 - Does Size Matter?
50:55 - Outro

Resources 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-Strategies

Fact, Fiction, and the Size Effect by Tobias J. Moskowitz: www.aqr.com/Insights/Research/J…and-the-Size-Effect

Tracking Error Pain, Dividend Investing & AI | July 2024 Round Up

Submit your questions! Email: jose@alphaarchitect.com
 
For more educational resources, check out the Alpha Architect blog.
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Read Jack's paper on transaction costs: https://alphaarchitect.com/wp-content/uploads/2021/08/Factor_Investing_and_Trading_Costs.pdf

Follow us on X:
Wes Gray, PhD: https://x.com/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

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. 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 - Intro
1:11 - August Volatility
6:30 - What to Do in a Crash?
12:14 - Post-Publication Decay
29:42 - Factor Investing Trading Costs
36:24 - Sampling Biases
40:15 - Adaptive Markets
43:15 - Outro

Sources:

Chen, Andrew. Velikov, Mihail. Zeroing In on the Expected Returns of
Anomalies. 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.pdf

Disclosures: https://alphaarchitect.com/disclosures.

Factor Decay, August Volatility & Transaction Costs | August 2024 Round Up

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For more educational resources, check out the Alpha Architect blog.
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Follow us on X:
Wes Gray, PhD: https://x.com/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

Jack's paper "Long Only Value Investing: Does Size Matter?": https://alphaarchitect.com/wp-content/uploads/2022/11/AA-JBISFactorInvesting22LongOnlyValueInvesting.pdf

St. 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 - Intro
1:07 - Joint Multifactor Screens vs. Sequential
14:52 - Commodities vs. Managed Futures
21:37 - Are Factors Noise?
28:27 - EBIT-to-TEV vs. Earnings-to-TEV
30:50 - Outro

Disclosures: https://alphaarchitect.com/disclosures.

Joint Multi-Factor Screens, Commodity Trend & EBIT-to-TEV | November Round Up

Submit your questions! Email: jose@alphaarchitect.com
 
For more educational resources, check out the Alpha Architect blog.
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Follow us on X:
Wes Gray, PhD: https://x.com/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

The Economist Article: https://www.economist.com/finance-and-economics/2024/11/21/should-investors-just-give-up-on-stocks-outside-america

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 look back to 2024 to reminisce on the lessons learned and look forward to 2025 to see where markets are going.

0:00 - Intro
0:58 - 2024 Retrospective
9:25 - US Concentration
15:50 - US CAPE Valuation
18:52 - International Mean Reversion
26:11 - 2025 Predictions
29:07 - Benjamin Graham the Factor Investor?
34:40 - Favorite Investors
38:40 - Outro

Disclosures: https://alphaarchitect.com/disclosures.

2024 Retrospective, International Investing & U.S. CAPE Valuations | December Round Up

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How 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-Mobile
2:54 - Wes's Investing Journey
6:57 - 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 Diversify
22:40 - 100% Stocks?
25:13 - 2025 Goals
27:11 - Systems Over Outcomes
32:03 - Conclusions/ Outro

Disclosures: https://alphaarchitect.com/disclosures

How to Invest in 2025 with Wes Gray

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 play

Whether 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
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📲 Follow us on X (formerly Twitter) for real-time updates!

Wes Gray, PhD: https://x.com/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

Rising Yields, Investment Factors & Managed Futures ETFs | January Round Up

Submit your questions! Email: jose@alphaarchitect.com

Welcome 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 2025

Whether 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/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

📜 Disclosures: AlphaArchitect.com/disclosures

Trump Tariffs, NVDA Bear Case & Dividend Capture Theory | February Round Up

Submit your questions! Email: jose@alphaarchitect.com

Welcome 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/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

Disclosures:
https://www.alphaarchitect.com/disclosures

Dollar Weakness, Factor Portfolio Construction & Regression Noise  | March Round Up

Can large value stocks hold their own against small value stocks? The answer might surprise you!

In this video we challenge the narrative that small value stocks dominate, explore what really matters for long-only value investors, discuss the impact of liquidity, rebalancing, and portfolio weighting, and examine evidence from U.S. and international markets by examining Jack Vogel's academic paper, "Long Only Investing: Does Size Matter?".

Key Topics:
• Why long/short results don't apply to most investors
• The case for equal-weighting large value stocks
• Liquidity advantages of large caps
• Factor decay and rebalancing frequency in portfolios
• Market cap weighting risks in portfolio construction

Timestamps: 
0:00 – Intro: Do small value stocks really outperform?
1:00 – The finding: Size does not matter!
2:54 – What's large and small?
4:01 – Large vs. small horse race results
4:45 – Economical vs. statistical significance
6:03 – The impact of transaction costs
8:20 – Size and factor decay
9:21 – Out-of-sample tests & variations
10:22 – What happens if one value-weights large value?
12:28 – What does this all mean for investors?
13:41 – Outro

Sources:
“Long-Only Value Investing: Does Size Matter?” by Jack Vogel, PhD: https://alphaarchitect.com/wp-content/uploads/2022/11/AA-JBISFactorInvesting22LongOnlyValueInvesting.pdf

AQR’s “The Devil in HML's Details” by Asness and Frazzini:  https://www.aqr.com/Insights/Research/Journal-Article/The-Devil-in-HMLs-Details

Subscribe for more insights on diversification, market trends, and smart investing strategies!

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https://www.alphaarchitect.com

Disclosures:
https://www.alphaarchitect.com/disclosures

Do Small Cap Value Stocks ACTUALLY Outperform?

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 best

Subscribe for more insights on diversification, market trends, and smart investing strategies!

Website & Disclosures
For more educational resources, visit our website:
https://www.alphaarchitect.com

Disclosures:
https://www.alphaarchitect.com/disclosures

Is Options Hedging Worth It? with Arin Risk Advisors’s Joe DeSipio

Submit your questions! Email: jose@alphaarchitect.com

Welcome 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 May

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Liberation Day, US Bearishness & Macro Momentum | April Round Up

The Trump Bear Trap: Volatility, Tariffs, and Factor Frustration

Markets 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 pain

Timestamps:

00:00 –Intro/ Factor investing should be hard
01:27 – 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 disappointment
19:49 – Is the size premium dead?
21:40 – Factors and the problem of timing
27:04 – Are factors dead?
36:49 – Is technical analysis for n00bs?
40:12 – Final thoughts

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Website & Disclosures
For more educational resources, visit our website:
https://www.alphaarchitect.com

Disclosures:
https://www.alphaarchitect.com/disclosures

The Trump Bear Trap | May Round Up

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 sleep

Sources:
Investing Amid Trade Wars by Kai Wu: https://www.sparklinecapital.com/post/investing-amid-trade-wars
International Intangible Investing by Kai Wu: https://www.sparklinecapital.com/post/international-intangible-value

Subscribe for more insights on diversification, market trends, and smart investing strategies!

Website & Disclosures
For more educational resources, visit our website:
https://www.alphaarchitect.com

Disclosures:
https://www.alphaarchitect.com/disclosures

Investing Amid Trade Wars with Kai Wu

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 uncertainty

Sources:
– "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.com

Disclosures:
https://www.alphaarchitect.com/disclosures

What's Up with Bonds?! | June Round Up

Submit your questions! Email: jose@alphaarchitect.com

Is 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/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

Subscribe for more insights on diversification, market trends, and smart investing strategies!

For more educational resources, visit:
https://www.alphaarchitect.com
Disclosures:
https://www.alphaarchitect.com/disclosures

Tail Hedging & Trend Following in 2025 | July Round Up

Submit your questions! Email: jose@alphaarchitect.com

Are 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/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr

Subscribe for more insights on diversification, market trends, and smart investing strategies!

Music License: VFX3P5IRW5LIFQAA
For more educational resources, visit:
https://www.alphaarchitect.com
Disclosures:
https://www.alphaarchitect.com/disclosures

Is Market Volatility Incoming? | August Round up

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 tomorrow

Follow Meb's summer series "20 Things You May Not Know About Markets (or That Might Surprise You)": https://x.com/MebFaber/status/1936136442079855067

Follow the Alpha Architect Team and Meb on X:
Wes Gray, PhD: https://x.com/alphaarchitect
Jack Vogel, PhD: https://x.com/jvogs02
Ryan Kirlin: https://x.com/RyanPKirlin
Jose Ordoñez Jr: https://x.com/JOrdonezJr
Meb Faber: https://x.com/MebFaber

Subscribe for more insights on diversification, market trends, and smart investing strategies!

For more educational resources, visit:
https://www.alphaarchitect.com

Disclosures:
https://www.alphaarchitect.com/disclosures

Meb Faber: Global Value, Institutional Baggage & Performance Chasing | September Round Up

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!

Behind The Markets Podcast - Alex Sadowski & Dave Babulak

https://alphaarchitect.com/2017/02/03/factor-models-are-more-art-and-less-science/

Factor Investing is More Art, and Less Science

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/

Compound Your Knowledge: Betting Against Beta, The Conservative Formula, Benchmarks

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/

Compound Your Knowledge: Volatility In Levereged ETFs, Momentum, Retirment Accounts

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/

Compound Your Knowledge: Value Performance,  ETF's Impact On Correlations & Liquidity

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/

Compound Your Knowledge: Trend-Following, Portfolios, And Risk Factors

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/

Compound Your Knowledge: Editorials On Machine Learning

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/

Compound Your Knowledge: ETF Tax Efficiency, Profitability Factor, Trend Following

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/

Compound Your Knowledge: Diversification, Investment CAPM, Factor Investing

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/

Compound Your Knowledge Ep 20: Collectibles and PMI (and Factors)

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

Compound Your Knowledge Ep 28: Bond ETF discussion with Jon Seed

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

Compound Your Knowledge Ep 27: Value, Momentum, and Low Volatility

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/

Compound Your Knowledge Episode 29: What’s the Story Behind EBIT/TEV?

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