This is a recording of a live webinar for the Rational Reminder Community featuring Wes Gray. https://community.rationalreminder.ca/ https://alphaarchitect.com/ Timestamps: 0:00 - 2:18 Intro 2:19 - 7:56 Few things about Alpha Architect 8:12 - 12:29 Can you talk us through the arguments against holding a concentrated factor portfolio? 12:30 - 16:59 Can we just have concentrated value and concentrated momentum and that’s it? 17:00 - 19:22 Now can you pick those arguments apart and tell us why concentration might be superior? 19:23 - 28:22 We can’t be sure that we are measuring the right stuff to build our factor portfolios, concentration is dangerous. https://alphaarchitect.com/2021/01/12/the-definitive-study-on-long-term-factor-investing-returns/ 28:23 - 30:05 Would we expect higher factor premiums? 30:06 - 32:52 Are markets inefficient? 32:53 - 39:49 What are your thoughts on concentration vs. leverage in seeking higher expected returns? 39:50 - 41:54 How important do you think it is to have something like managed futures if you’re going to go with a concentrated portfolio? 41:55 - 45:43 Would you say factor investing more short volatility than market cap investing? 45:44 - 47:44 Why isn’t everyone a concentrated systematic value investor? 47:45 - 54:38 What are the advantages of EBIT/TEV vs. B/M + O/P in building portfolios? 54:39 - 1:09:21 Do you think it’s worthwhile to pursue value within the small cap universe? 1:09:22 - 1:15:22 Have you made any changes to the Quantitative Value philosophy since writing your book? 1:15:21 - 1:17:49 What would you use as an estimate of trading costs for someone implementing the Quantitative Momentum Index? 1:17:48 - 1:19:46 Given the previously mentioned noisy nature of estimating the relationship between characteristics and the cross section of returns, do you worry about a relatively high-cost strategy like concentrated momentum? 1:19:47 - 1:22:26 On a similar line of thinking, should investors be worried about the fact that momentum can often have negative loadings on priced factors like profitability and value? 1:22:27 - 1:23:28 Do momentum investors need to get out of momentum if assets get close to estimated capacity? 1:23:29 - 1:25:14 Does it make sense to passively invest, by tracking an index, in active strategies like value and momentum? 1:25:15 - 1:27:54 You had a tweet thread recently on ESG which we found very insightful. Can you talk through your thoughts on what makes sense for people who want to do well by doing good? 1:27:55 - 1:40:02 Understanding Wes and Alpha Architect 1:40:05 - 1:45:05 Factor Momentum 1:45:06 - End