A detailed breakdown of almost every single question's timestamp. I personally find this helpful for referencing back to these in the future: 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?

Very good stuff. Very much appreciated.

Mom, can we have Jack Bogle? No, we have Jack Bogle at home. Jack Bogle at home:

I just started... Thank you for making these videos..

You deserved my like

Fantastic, thanks for posting

Thanks, Lou!!

Thank you.

Amazing

This opened my eyes

approx cont. 21:00

Really informative interview. Forgive me if I've the wrong end of things here, but with Index tracking costs and rebalancing interval + transaction/ trading costs for traditional index's/ etfs which may increase as the index/etf AUM increase, or being more expensive for more niche factors/markets might this lead to a shift toward Synthetic Index/ETF's overtime? I've heard synthetic etf's have their own issues around counterparty & liquidity risks, but should have lower total expenses and have less issues around rebalancing more frequently. Basically comes down to interested if there is info out there around Physical vs Synthetic ETF's when it comes to stocks and shares. (as opposed to commodities were it seems more prevelant for practical reasons).

@FFAs

2 жыл бұрын

Might be a good question to email Jack about and see if he has any input. As he stated, he is very open to taking questions :)

Is there an audio only version of these webinars?

@supernumex

2 жыл бұрын

I've seen on spotify. probably also on most podcasting services

@muffemod

2 жыл бұрын

@@supernumex You can download the audio file from youtube.

12:55 has something missing for me. Anyone else?

@FFAs

2 жыл бұрын

"What do you expect from prospective Momentum & Value Premiums after cost?" See my comment above for all questions & their timestamps

@AAkCN1

2 жыл бұрын

@@FFAs thank you