I was recently invited on the Excess Returns podcast with Justin Carbonneau and Jack Forehand. We discussed Momentum and Trend-following.
Commentary/Links:
  1. In the conversation, I mentioned a post titled “Factor Investing and Trading Costs.” Here is the link to that article which examines the arguments about the true scalability of factor investing.
  2. Clarification–Around the 14-minute mark, I stated that the top 50 firms sorted on “EBIT/TEV” are in the 99th percentile on FCF/TEV, E/P, S/P–this is not exactly the case (an unnecessary exaggeration on my part), but they are most likely within the top 20% to 30% on those related metrics.
External link to the video here.
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