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

The Alpha Architect Round Up

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/Notes How 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 Easy https://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/