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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.