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Compound Your Knowledge

The Alpha Architect mission is to empower investors through education, and our Compound Your Knowledge podcast is meant to be an educational journey that slowly builds confidence in one’s own ability to understand financial concepts and financial research. We believe an educated investor is a sustainable investor, which is critical for the success of any long-horizon active investor. As Ben Franklin is reputed to have said, “An investment in knowledge pays the best interest.”

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Compound Your Knowledge: Betting Against Beta, The Conservative Formula, Benchmarks

Ryan Kirlin and Dr. Jack Vogel discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting Against Beta (BAB) factor and dives into two new papers examining when the BAB factor performs well. Second, we discuss a paper titled “The Conservative Formula: Quantitative Investing Made Easy” which uses three well-known factors, (1) low volatility, (2) price momentum, and (3) payout-yield to form a 100 stock portfolio. Last, we examine a paper titled “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes” authored by the BlackRock, Inc. team–they examine common market-capitalization weighted portfolios and break them down into their factor allocations using long-only and investable (1) Value, (2) Momentum, (3) Quality, (4) Size, and (5) Low Volatility portfolios.Links to the post are below for those interested in digging into the details!Video Links/NotesHow Leverage Constraints Effect Mutual Fund Risk Taking (discussion of the BAB factor):https://alphaarchitect.com/2018/09/13/how-leverage-constraints-effect-mutual-fund-risk-taking/The Conservative Formula: Quantitative Investing Made Easyhttps://alphaarchitect.com/2018/09/11/the-conservative-formula-quantitative-investing-made-easy/What’s In Your Benchmark?https://alphaarchitect.com/2018/09/10/whats-in-your-benchmark/

16mins

23 Jun 2019

Rank #1