The Best Investment Writing Volume 5: David Blitz, Pim van Vliet & Guido Baltussen, Robeco – When Equity Factors Drop Their Shorts

The Meb Faber Show - Better Investing

The Idea Farm

Business, Investing, Management

4.7 • 938 Ratings

🗓️ 12 November 2021

⏱️ 13 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 Erika van der Merwe take over this special episode on behalf of David, Pim & Guido. 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 of the
0:30.0	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.
0:38.9	This audio paper is for professional investors only.
0:44.0	I'll be reading a summary of the paper when equity factors drop their shorts by David Blitz,
0:49.2	Heido Baltison and Pim von Fleet published in the Financial Analysts Journal in 2020.
0:56.1	The authors work for Rubico, a pure play asset manager headquartered in Rotterdam, the Netherlands.
1:02.2	Rubico has been a global leader in sustainable investing since 1995 and integrate
1:07.4	sustainability in its quantitative and fundamental research to offer institutional and private investors an extensive selection of active
1:15.1	investment strategies.
1:16.7	David is chief quant researcher, Kido is co-head of quant fixed income and PIM is co-head of quant-equipped income and pimp is co-head of quant equities. To find out more about
1:26.2	Rabico and the authors visit Rabico.com or find us on social media.
1:31.2	Long short factor portfolios are typically constructed on the assumption that the two legs
1:36.3	are complementary drivers of factor premiums.
1:39.8	In our research paper we critically assess this notion by breaking down the farmer-French-style
1:44.8	portfolios, namely low-risk, momentum, value, profitability and investment into their long and short legs.
1:53.0	In our study, we examined the long and short sides of farmer-French factor portfolios
	...

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