Aug 19 2024 43 mins 6
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For more educational resources, check out the Alpha Architect blog.
https://www.alphaarchitect.com/subscribe
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.
For more educational resources, check out the Alpha Architect blog.
https://www.alphaarchitect.com/subscribe
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.
