Nov 07 2024 31 mins 2
Submit your questions! Email: [email protected]
For more educational resources, check out the Alpha Architect blog.
https://www.alphaarchitect.com/subscribe
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.
For more educational resources, check out the Alpha Architect blog.
https://www.alphaarchitect.com/subscribe
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.
