Factor Decay, August Volatility & Transaction Costs

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The Alpha Architect Round Up

Alpha Architect

65 episodes

1 month ago

Can stocks really underperform for bonds decades?! In this special Alpha Architect Round Up celebrating 3,000 subscribers, we sit down with Meb Faber to dig into surprising market truths, diversification challenges, and why buy-and-hold doesn’t always work outside the U.S. In this episode, we discuss: • Why stocks can stagnate or trail other assets like bonds and gold for decades • The hidden role of farmland and housing in the global portfolio • Vanguard’s surprising call for international bonds • Trend-following: misunderstood or just out of favor? • The pitfalls of institutional investing and why complexity often loses • Behavioral mistakes investors keep repeating (performance chasing, sitting on cash) • Which countries and strategies are “totally not crushing it” today—but might be tomorrow Follow Meb's summer series "20 Things You May Not Know About Markets (or That Might Surprise You)": https://x.com/MebFaber/status/1936136442079855067 Follow the Alpha Architect Team and Meb 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 Meb Faber: https://x.com/MebFaber Subscribe for more insights on diversification, market trends, and smart investing strategies! For more educational resources, visit: https://www.alphaarchitect.com Disclosures: https://www.alphaarchitect.com/disclosures

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Factor Decay, August Volatility & Transaction Costs | August 2024 Round Up

The Alpha Architect Round Up

43 minutes 51 seconds

1 year ago

Factor Decay, August Volatility & Transaction Costs | August 2024 Round Up

Submit your questions! Email: jose@alphaarchitect.com For more educational resources, check out the Alpha Architect blog. https://www.alphaarchitect.com/subscribe Read Jack's paper on transaction costs: https://alphaarchitect.com/wp-content/uploads/2021/08/Factor_Investing_and_Trading_Costs.pdf 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 factor decay and ask the question: "Do factor portfolios survive publication decay and transaction costs?" We also look at the 2024 market crash and examine the root causes and what investors should do about it. 0:00 - Intro 1:11 - August Volatility 6:30 - What to Do in a Crash? 12:14 - Post-Publication Decay 29:42 - Factor Investing Trading Costs 36:24 - Sampling Biases 40:15 - Adaptive Markets 43:15 - Outro Sources: Chen, Andrew. Velikov, Mihail. Zeroing In on the Expected Returns of Anomalies. Journal of Financial and Quantitative Analysis, Vol. 58, No. 3, May 2023 (995): https://www.cambridge.org/core/services/aop-cambridge-core/content/view/945133D5A3ECEEAF466AEE91551FD225/S0022109022000874a.pdf/zeroing-in-on-the-expected-returns-of-anomalies.pdf Disclosures: https://alphaarchitect.com/disclosures.