This was a really great interview ! Adam helped me piece together a number of fragments of information that I'd heard but hadn't properly understood. For example, I knew that Fama's original research into value built a market-neutral HML portfolio. But so often, when retail investors speak of factor exposure they really just mean a stock portfolio with a tilt. So it was really interesting to hear Adam talk about factors such as value and trend as distinct uncorrelated "asset classes" that can be levered up to give stock-like returns (as a retail guy I can't easily get that sort of leverage but it's cool to understand the concept better). Anyway, great conversation - thanks guys !

@ExcessReturns

2 жыл бұрын

Thank you Chris. Adam is super knowledgeable when it comes to these investing concepts.

Thanks for sharing yet another fantastic interview!

@ExcessReturns

2 жыл бұрын

Thanks Eric!

I still do not understand how the whole portfolio is being levered. It seems like the only part that is levered is whatever is levered in managed futures (i.e. bonds or commodities (through CTAs). Are you proposing switching equities to managed futures as well? If so, you propose that we sell off all our passive equity beta, take a huge capital gains hit, and redeploy into a portfolio of managed futures? Not feasible

@ExcessReturns

Жыл бұрын

Hi Chris, thanks for watching / comments. All the various asset classes held in the portfolio would be levered up to achieve the desired return / volatility targets. In order to execute on this, an investor would place a small amount of capital (relative to their entire portfolio) at a futures broker (FCM) to fund the futures positions. We're not proposing or suggesting investors do this and nothing in these podcasts should be construed as investment advice. We're just trying to understand and educate around different types of investment strategies investors may be interested in learning about.

59:40 - in hindsight, maybe it was a good thing regulations prevented more participation on crypto.