You can watch the video via the link below:
Ryan and I 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!
- How Leverage Constraints Effect Mutual Fund Risk Taking (discussion of the BAB factor)
- The Conservative Formula: Quantitative Investing Made Easy
- What’s In Your Benchmark?
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