In this episode, we are joined by Kevin Zatloukal. Kevin teaches Computer Science at the University of Washington and has his Ph.D. in Computer Science from MIT. He previously was…
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Value Investing is Back! Or is it?
…account any other factors). Here are the returns of these single factor portfolios from the bottom through March 5th of this year Value – 145.1% Low Quality – 132.6% Small…
Bridgeway's John Montgomery On Their Unique Culture and Lessons From a 25+ Years in Quant Investing
…compensation of its highest paid team members relative to the lowest paid. The firm has also built an excellent long-term record managing quantitative, factor-based strategies. In the interview, we discuss…
Some Practical Ways to Look at Blending Factors
…look at combining factors is to start by thinking about what derails factor-based portfolios in the real world. We have accepted the fact that no matter how we combine factors…
The Elusive Definition of Risk – And Some Practical Ways to Measure It (Ep. 71)
…to help optimize results for the focused factor-based strategies we follow. We hope you enjoy the discussion. Watch, Listen or Stream on YouTube or your Favorite Podcast Platform https://youtu.be/DK_MElTkJZE Jack’s…
Weekly Guru Investor Highlights: Basics of Value Investing, Market Timing is Bad & Evolving Factors
…Basics of Value Investing A Detailed Look At Joel Greenblatt’s Magic Formula Method Why Investors Should Not Try to Time the Market Swedroe on the Battle of Factor Models https://youtu.be/x4ptuOsgGVY…
Swedroe on the Battle of Factor Models
…including the capital asset pricing model (CAPM), the three-factor Fama-French model and the Carhart four-factor model, Swedroe writes, “The fact that we have seen keen competition to improve existing models…
The Basics of Value Investing
…metric they like to use, while others prefer to use a composite of factors. If you look at the long-term performance of all the major value factors, EV/EBITDA and Price/Cash…
Value is the Main Reason Quants Have Performed Badly
…the factor’s short positioning in ‘work-from-home’ tech names that outperformed in 2020.” This lagging performance, BNP found, dragged down multi-factor portfolios, and revealed the worst results tied to higher exposure…
An In Depth Look at Momentum Investing and Trend Following with Jack Vogel (Ep. 69)
There is perhaps no investment factor with more long-term data to support it than momentum. But despite that, its real world usage lags far behind other factors like value. Part…