The Best Investment Writing Volume 5: Campbell Harvey and Michele Mazzoleni, Research Affiliates – Breaking Bad Trends

The Meb Faber Show - Better Investing

The Idea Farm

Business, Investing, Management

4.7 • 938 Ratings

🗓️ 10 September 2021

⏱️ 29 minutes

🔗️ Recording | iTunes | RSS

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Summary

Last year we brought listeners the entire volume of The Best Investment Writing Volume 4, in audio format, right here on the podcast. Listeners loved it, so we’re running it back again this year with The Best Investment Writing Volume 5. You’ll hear from some of the most respected money managers and investment researchers from all over the planet. Enough from me, let’s let Professor Harvey and Michele take over this special episode. To read the original piece, click here. ----- Follow Meb on Twitter, LinkedIn and YouTube For detailed show notes, visit mebfaber.com/podcast To learn more about our funds and follow us, subscribe to our mailing list or visit us at cambriainvestments.com ----- Today’s episode is sponsored by The Idea Farm. The Idea Farm gives you access to over $100,000 worth of investing research, the kind usually read by only the world’s largest institutions, funds, and money managers. Join today and get access to quarterly CAPE ratios, an excel quant backtester and the entire research library. Learn more about your ad choices. Visit megaphone.fm/adchoices

Transcript

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0:00.0	Welcome podcast friends we have a fantastic episode for you today.
0:11.1	Last year we published the Best Investment Writing, volume four, we offered authors the opportunity
0:16.6	to record an audio version of their chapter to be released as a segment of the podcast and
0:20.9	listeners loved it.
0:21.9	This year, we're once again bringing you the entire
0:24.4	volume of the best investment writing, volume five in podcast format. You'll hear from some
0:29.7	of the most respected money managers and investment researchers from all over the world.
0:34.7	Enough for me, let's get to our guest and let them take over this special episode.
0:38.4	Hi, I'm Campbell Harvey, a professor at Duke University.
0:44.0	I would like to introduce my paper, Breaking Bad Trends,
0:48.0	Written with three of my colleagues at Research Affili,
0:52.0	Ashish, Christian, and Michaeli.
0:55.0	I will share the reading with Michaeli.
0:58.0	Our paper resides on SSRN and is freely downloaded
1:02.0	and includes tables, figures, and many references.
1:06.0	Let me motivate the paper.
1:08.3	Researchers in academic finance have long known that there is some persistence and returns.
1:14.0	So-called time series momentum.
1:16.0	However, an important choice needs to be made.
1:20.0	How far back in time do you go to measure the trend?
1:25.0	One year, one month, one day?
1:27.5	Academic researchers usually make a choice and stick to it. Here's the trade-off. If the look back is longer, then the signal might not be very
	...

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