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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.

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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

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

Do Small Cap Value Stocks ACTUALLY Outperform?

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New tracks tagged #Factor Investing