The Best Investment Writing Volume 5: Selected Writing from Prominent Investors and Authors

The Meb Faber Show - Better Investing

The Idea Farm

Business, Investing, Management

4.7 • 938 Ratings

🗓️ 27 December 2021

⏱️ 226 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

This year, we’re bringing you the entire volume of The Best Investment Writing Volume 5 in podcast format. You’ll hear from some of the most respected money managers and investment researchers all over the world. Contributors: (2:36) - Campbell Harvey and Michele Mazzoleni, Research Affiliates – Breaking Bad Trends (31:17) - Jack Vogel, Alpha Architect – Value Investing: An Examination of the 1,000 Largest Firms (45:09) - Brian Barish, Cambiar Investors – The Virus Plaguing Value (1:03:55) - Andrew Patterson, Vanguard – The Idea Multiplier: An acceleration in innovation is coming (1:29:25) - Peter Chiappinelli, GMO – The Passive Aggressive Agg, Revisited (1:43:26) - Amie Ko, Research Affiliates – A Quick Survey of “Broken” Asset Classes (2:02:09) - Sean Duffin, Cambridge Associates – Benefits of Global Diversification (2:18:50) - Greg Obenshain, Verdad Advisers – Sales and Distributions: How revenue growth and distributions drive equity returns (2:29:35) - John Pease, GMO – Value: If Not Now, When? (2:48:03) - David Blitz, Pim van Vliet & Guido Baltussen, Robeco – When Equity Factors Drop Their Shorts (3:00:06) - Vineer Bhansali, LongTail Alpha – Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities (3:09:50) - Laurence Siegel, CFA Institute Research Foundation – Debunking Nine and a Half Myths of Investing (3:37:35) - Dan Rasmussen, Verdad Advisers – Crisis Investing: How To Maximize Return During Market Panics Click here to listen to Volume 4 Click here to listen to Volume 3 ----- Follow Meb on Twitter, LinkedIn and YouTube For detailed show notes, click here 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 GiveWell. GiveWell searches for the charities that save or improve lives the most per dollar. GiveWell recommends a small number of charities that do an incredible amount of good. Visit Givewell.org and donate before the end of the year and have your donation matched up to $250 when you mention "The Meb Faber Show." Learn more about your ad choices. Visit megaphone.fm/adchoices

Transcript

Click on a timestamp to play from that location

0:00.0	Welcome podcast friends we have a mega episode for you today and in the holiday spirit if you like the show pass it along share it with one of your friends or family members
0:15.5	Over the past few months we've been releasing the best investment writing volume 5
0:19.6	featuring some of the most respected money managers and investment researchers all over the world.
0:24.0	In case you missed any episodes over the past few months, we wanted to bring you the entire
0:28.1	volume as one show. Feel free to listen from start to finish or check out the show notes for the time stamps of each piece.
0:34.4	Enough for me, let's get to it.
0:37.0	Hi, I'm Campbell Harvey, a professor at Duke University.
0:41.6	I would like to introduce my paper Breaking Bad trends written with three of my
0:47.3	colleagues at research affiliates Ashish Christian and Michaeli. I will share the reading with Michaeli. Our paper resides on
0:57.1	SSRN and is freely downloaded and includes tables, figures and many references.
1:02.4	Let me motivate the paper. includes tables, figures, and many references.
1:03.7	Let me motivate the paper.
1:06.0	Researchers in academic finance have long known that there is some persistence and returns,
1:11.9	so-called time series momentum. However, an important choice needs to be made.
1:17.9	How far back in time do you go to measure the trend? One year, one month, one day. Academic researchers usually
1:26.6	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 responsive to current information.
1:38.0	Sometimes this is called a slow signal, and you might miss an important turning point.
1:44.0	For example, your trading system uses a one-year look back and the past 12 months return is negative,
1:52.0	which means you're short. However, the past one month's
1:56.0	return is positive, potentially signaling a rebound. If that rebound is
2:01.6	realized, you miss it because you're using the slower 12-month
2:07.8	momentum signal. This is known as a type 2 error or a missed opportunity.
	...

Please login to see the full transcript.

Previous episode | Next episode

Disclaimer: The podcast and artwork embedded on this page are from The Idea Farm, and are the property of its owner and not affiliated with or endorsed by Tapesearch.

Generated transcripts are the property of The Idea Farm and are distributed freely under the Fair Use doctrine. Transcripts generated by Tapesearch are not guaranteed to be accurate.