This week Ryan and Jack discuss two posts. First, they examine a guest post by Matthew Bartolini of State Street Global Advisors, discussing the underperformance of Value and its outlook for 2019. Second, they examine a guest post by Elisabetta on a recent JPM paper examining the effects that ETFs have had on Correlations, Liquidity, and Alpha Opportunities.

Paper Links:

After a Lost Decade, Will Value Get its Grove Back in 2019?

https://alphaarchitect.com/2018/12/11/after-a-lost-decade-will-value-get-its-groove-back-in-2019/

ETFs have NOT screwed up Correlations, Liquidity, and Alpha Opportunities

https://alphaarchitect.com/2018/12/10/etfs-have-not-screwed-up-correlations-liquidity-and-alpha-opportunities/

Last week’s video (slightly delayed) involves interviews of three guests of Alpha Architect. The first guest is Adam Butler of Resolve Asset Management. We discuss Resolve’s portfolios and I ask Adam a tough question–if you can only pick one asset class and one rule to use for investments, what would it be? Our second guest (14-minute mark) is Andrew Miller. We discuss a topic relevant for most financial advisors, withdrawal rates. We discuss Andrew’s published and working papers on the topic (links below). Next (28-minute mark), Ryan asks me questions on a summary of my blog post, “Value, Momentum, and Risk.” Ryan then interviews our third guest, Elisabetta Basilico, to discuss her blog post on gender bias in asset management (40-minute mark). Last, at the 48-minute mark, Ryan interviews our CCO/COO Patrick Cleary and our CTO/Portfolio Manager Brandon Koepke on another relevant topic for financial advisors–cybersecurity.

Video Links/Notes

Adam Butler — Resolve Asset Management

https://investresolve.com/us/

Andrew Miller — Published and Working Papers on ways to improve withdrawal rates.

Here is a blog post, mentioned in the podcast, where we discuss how bonds will perform in the next crisis.

https://alphaarchitect.com/2016/06/07/will-bonds-deliver-crisis-alpha-in-the-next-crisis/

Value, Momentum, and Risk

https://alphaarchitect.com/2018/09/25/value-and-momentum-and-risk/

Elisabetta Basilico — Why so few women in finance?

https://alphaarchitect.com/2018/09/24/the-trillion-dollar-question-why-so-few-women-in-finance/

Patrick Cleary and Brandon Koepke — SEC Cybersecurity Requirements for Registered Investment

https://alphaarchitect.com/2018/09/26/sec-cybersecurity-requirements-for-registered-investment-advisors-rias/Advisors (RIAs)

Ryan and Jack discuss three articles published on our blog this week. First, they examine a paper by Linda Zhang investigating the volatility of leveraged ETFs. Second, they discuss an article (and corresponding video and PPT slides from Wes) examining stock momentum strategies. The talk is titled "Momentum Investing, Simple, but not Easy". Last, they examine an article by Aaron Brask examining the value of retirement accounts--this article, along with the prior one, is a must read for those interested in better understanding the benefits of retirement accounts.

Links to the post are below for those interested in digging into the details!

Video Links/Notes:

Leveraged ETFs and Volatility Jumps:

https://alphaarchitect.com/2018/09/17/leveraged-etfs-and-volatility-jumps/

Momentum Investing, Like Value Investing, is Simple, but NOT Easy:

https://alphaarchitect.com/2018/09/18/momentum-investing-like-value-investing-is-simple-but-not-easy/

Illustrating the Value of Retirement Accounts:

https://alphaarchitect.com/2018/09/19/illustrating-the-value-of-retirement-accounts/

Past related article by Aaron:

https://alphaarchitect.com/2018/04/19/quantifying-value-retirement-accounts/

Ryan Kirlin and Dr. Jack Vogel discuss three articles published on our blog this week.

First, we examine a summary by Larry Swedroe that highlights the Betting Against Beta (BAB) factor and dives into two new papers examining when the BAB factor performs well.

Second, we discuss a paper titled “The Conservative Formula: Quantitative Investing Made Easy” which uses three well-known factors, (1) low volatility, (2) price momentum, and (3) payout-yield to form a 100 stock portfolio.

Last, we examine a paper titled “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes” authored by the BlackRock, Inc. team–they examine common market-capitalization weighted portfolios and break them down into their factor allocations using long-only and investable (1) Value, (2) Momentum, (3) Quality, (4) Size, and (5) Low Volatility portfolios.

Links to the post are below for those interested in digging into the details!

Video Links/Notes

How Leverage Constraints Effect Mutual Fund Risk Taking (discussion of the BAB factor):

https://alphaarchitect.com/2018/09/13/how-leverage-constraints-effect-mutual-fund-risk-taking/

The Conservative Formula: Quantitative Investing Made Easy

https://alphaarchitect.com/2018/09/11/the-conservative-formula-quantitative-investing-made-easy/

What’s In Your Benchmark?

https://alphaarchitect.com/2018/09/10/whats-in-your-benchmark/

https://alphaarchitect.com/2017/02/03/factor-models-are-more-art-and-less-science/

In this episode of Behind the Markets Podcast hosts Jeremy Schwartz and Wes Gray talk high frequency trading, cryptocurrency, & the future of investing with new tech. Also check out the video below of our guest Dave blowing up a bridge which he mentions at the start of our interview!