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

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 Roaring Kitty and market sentiment, factor concentration vs. diversification, taxable investing, managed futures, emerging markets, asset class rotation, risk parity and much more!

0:00 - Intro

0:44- Roaring Kitty is Back!

5:20 - Investor FOMO & Momentum

10:17 - Factor Concentration

18:00 - Taxable Investing

20:01 - Managed Futures & Emerging Markets

30:30 - Asset Class Rotation

34:23 - 🐓

35:00 - Risk Parity

39:32 - Outro

Resources Mentioned:

Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw,

"Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns"

Journal of Financial Economics (2011)

https://pages.stern.nyu.edu/~rwhitela/papers/max%20jfe11.pdf

Frog-in-the-Pan Momentum Investing with Jack Vogel: https://www.youtube.com/watch?v=n2y5oZZlZoA&t=0s

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

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 market trends positioning for inflation, 24/7 NYSE trading, and frog-in-the-pan momentum correlation to discount rates.

0:00 - Intro

0:36 - Trend Positioning/ Inflation Coming Back?

13:10 - NYSE to Trade 24/7?!

27:25 - Momentum & Discount Rates

35:01 - Outro

Resources Mentioned:

Da, Zhi and Gurun, Umit G. and Warachka, Mitch, Frog in the Pan: Continuous Information and Momentum (September 30, 2012).

Momentum and the Clarity of the Trend by Larry Swedroe: https://alphaarchitect.com/2024/05/momentum-and-the-clarity-of-the-trend/

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

This week we discuss Ryan’s article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm’s Total Enterprise Value (TEV).

Article Links:

What’s the Story Behind EBIT/TEV

https://alphaarchitect.com/2020/05/01/whats-the-story-behind-ebit-tev/

In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over the past two years ( highlighting great research by the AQR team). The second article, written by Nicolas Rabener, examines portfolios combining either (1) Low Volatility and Momentum or (2) Value and Momentum.

Article Links:

Is There Something Wrong with the Value Premium?

https://alphaarchitect.com/2020/03/24/is-there-something-wrong-with-the-value-premium/

Low Volatility-Momentum Versus Value-Momentum Factor Portfolios

https://alphaarchitect.com/2020/03/13/low-volatility-momentum-versus-value-momentum-factor-portfolios/

External link to the video here.

https://www.youtube.com/watch?v=rIdjBO1iibk&feature=youtu.be

Last week, there were some pretty big dislocations between bond mutual funds and ETFs. I picked one specific example I found interesting, comparing the Vanguard high-yield muni bond mutual fund to two high-yield muni bond ETFs in the marketplace. Ryan and I discussed my example, which hopefully gives some information on how, within the bond market, ETFs can at times act differently than mutual funds.

Video Link:

https://www.youtube.com/watch?v=bO1qoil5W-I&feature=youtu.be

In mid-February, prior to the market craziness, Jon Seed posted an article on our site titled: “Price”, ETFs, and Bond Market Liquidity. This was a prescient article, as it highlighted some of the issues with pricing bonds since they do not necessarily trade thousands or millions of times a day like stocks. Jon also mentioned how this affected mutual funds and ETFs, so we thought it was a good idea to bring Jon into the show to discuss more given the recent market events (as well as our CTO, Brandon Koepke).

Article Links:

“Price”, ETFs, and Bond Market Liquidity

https://alphaarchitect.com/2020/02/13/price-etfs-and-bond-market-liquidity/

External link to the video here.

https://www.youtube.com/watch?v=HYBlse8i-HM&feature=youtu.be

In this week’s video, we discuss two articles examining (1) the performance gap between large and small firms and (2) the case against REITs.

Article Links:

The Gap Between Large and Small Companies is Growing. Why?

https://alphaarchitect.com/2020/03/05/the-gap-between-large-and-small-companies-is-growing-why/

The Case Against REIT’s

https://alphaarchitect.com/2020/02/06/the-case-against-reits/

External link to the video here.

https://www.youtube.com/watch?v=Z7d5cKAM96U&feature=youtu.be

In this week’s video, we discuss two articles examining (1) why Enterprise Multiples explain stock returns and (2) Asset allocation (and factor allocation).

--

Article Links:

Why Do Enterprise Multiples Predict Expected Stock Returns?

alphaarchitect.com/2020/01/21/ente…-stock-returns/

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

alphaarchitect.com/2019/12/30/asse…unified-method/

In this week’s post, we discuss two articles examining (1) the relative underperformance of Value compared to Growth and (2) the new ETF rule and commission-free trading.

Article Links:

The Massive Performance Divergence Between Large Growth and Small Value Stocks

https://alphaarchitect.com/2020/02/21/the-massive-performance-divergence-between-large-growth-and-small-value-stocks/

Boutique ETF Issuers Finally Get a Break!

https://alphaarchitect.com/2019/10/15/boutique-etf-issuers-finally-get-a-break/

Compound Your Knowledge Holiday Episode by Alpha Architect