Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions.
The topics discussed:
- 0:27 Do long-only factor premiums survive transaction costs?
- 2:28 Would the market impact of rebalancing a fund like MTUM also show up in the index?
- 3:45 What are the capacity constraints for factors?
- 5:32 What would AA do if you were close to maximum capacity for the strategies?
- 6:32 How do you estimate the transaction costs for Momentum portfolios?
- 8:25 Why are there so many models for transaction costs? Related AA Article: Factor Investing & Trading Costs
- 12:54 Muted Cameron: What do you expect for prospective Momentum & Value Premiums after costs?
- 15:56 Does this change when you’re pursuing diluted factor investing?
- 19:14 How does the skewness concept translate to factor portfolio construction?
- 22:35 Thoughts on Integrated vs ‘Separate then Combined’ portfolio construction?
- 29:52 Followup on
- 12:54 – If the factor premium is only an extra 1-2%, is it worth the extra cost for a DFA-style fund?
- 31:24 Thoughts on index-tracking implementation vs active implementation of factor portfolios?
- 35:35 Is there an optimal rebalancing frequency for factor portfolios?
- 37:43 Should an investor increase their concentration or use margin etc. for higher expected returns?
- 42:30 Should investors pursue factor timing?
- 44:39 When does a 100% Momentum portfolio make sense? Does it ever make sense?
- 46:49 What drives someone to ‘hate’ a specific factor investment approach?
- 48:55 What would you tell someone that made money in Large Cap Growth, likes diversification, yet dislikes value
- 50:50 What are the limitations of factor regressions in portfolio analysis?
- 54:28 How do you choose the factors in a model to evaluate any given portfolio?
- 56:28 Clarification of the above
- 58:25 What is the difference between a factor and a characteristic?
- 1:03:37 Does factor investing apply to emerging markets the same as the rest of the world?
- 1:04:53 How to think about DIY trend-following to investing in a product’s trend following?
- 1:07:14 What books on these topics would you recommend to dive deeper?
- 1:08:28 Speak on Mom. and Value canceling when running a purely Mom & Value strategy using your products?
- 1:09:48 What do you see differently from Wes?
- 1:10:50 Has the industry become too much of a marketing machine around factors?
- 1:12:20 What do you think about DeFi and crypto?
- 1:18:33 Can factor strategies be applied to crypto?
Here is the full youtube video:
