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- Опубликовано: 2 июн 2024
- Today we welcome Rob Arnott to the show! Rob is the founder of Research Affiliates and is a prolific writer who has published hundreds of articles for many different journals. We know firsthand, the power of Rob's work, and how it can alter the way you think about investing, and this depth of knowledge, coupled with his ability to make complex topics understandable makes him a dream guest for us! Rob is the co-author of The Fundamental Index, and we get some insight into this subject along with many other groundbreaking areas he has worked on. We cannot stress enough the rarity of Rob's gift for getting difficult ideas across in a deliberate and approachable way, and this is apparent through this illuminating conversation. For us, it was quite surreal to speak to someone so influential, and listeners can expect to come away with a greater understanding of 'smart-beta', intangible assets, forecasting, and some insight into the interesting areas of earnings dilution and 'the big market delusion', before Rob shares some very surprising information on factor momentum at the end of our chat. So for this and a whole lot more, in a truly stand-out episode, be sure to listen in!
Timestamps:
0:00 - 2:40 Intro
2:41 - 6:50 Can you talk about some of the drawbacks of cap weighted indexing?
6:51 - 12:31 Can you compare that to tilting towards the traditional Fama-French factors like size, value and profitability?
12:32 - 15:17 Talk a little bit more about fundamental indexing?
15:18 - 19:24 How much weight do you think investors should put on the back test when they're deciding to invest in something?
19:25 - 26:30 How normal extreme factor drawdowns are in investing.
26:31- 29:26 How important are intangibles?
29:27 - 32:40 Is it different this time for value stocks?
32:41 - 38:20 Is that story important to stick through times of under-performance?
38:21 - 42:26 What is big market delusion and how it plays into bubble formation?
42:27 - 46:12 What is earnings dilution and how it can relate to a bubble formation?
46:13 - 50:35 Do you think investing in revolutionary or these disruptive industries is a good idea?
50:36 -56:39 How do you go about forecasting the expected returns of a factor portfolio?
56:40 - 1:04:21 Paper looking at mutual funds, live funds have not looked so great.
1:04:22 - 1:18:26Trading costs earlier and commission costs
1:18:28 - end How do you define success in your life?
Books From Today’s Episode:
The Fundamental Index - amzn.to/3qT81c1
Links From Today’s Episode:
Rational Reminder on iTunes - itunes.apple.com/ca/podcast/t....
Rational Reminder Website - rationalreminder.ca/
Follow us on Twitter - / rationalremind
Follow us on Instagram - @rationalreminder
Benjamin on Twitter - / benjaminwfelix
Cameron on Twitter - / cameronpassmore
Rob Arnott - Research Affiliates- www.researchaffiliates.com/en_...
Research Affiliates on Twitter - @RA_Insights
Research Affiliates on LinkedIn - / research-affiliates
Asset Allocation Interactive - interactive.researchaffiliate...
Smart Beta Interactive - interactive.researchaffiliate...
RAFI Indices - www.RAFI.com
Jack Treynor - www.cfainstitute.org/en/resea...
'Alice’s Adventures in Factorland' - www.researchaffiliates.com/en...
'The Big Market Delusion' - www.tandfonline.com/doi/full/...
'Earnings Growth: The Two Percent Dilution' - www.researchaffiliates.com/do...
'Can Momentum Investing Be Saved?' - papers.ssrn.com/sol3/papers.c... 
Хобби
Really appreciate the chapters! Thanks to whoever did that this week
Yeah I loved that, too!!! Thx
Love this guys smiles after he makes a comment he knows we’ll be pleased with. Makes me wait to finish watching the video instead of switching to the podcast
Yeah, listened to podcast firstly and now video. Very interesting analysis
Amazing discussion, and Rob is so well spoken.
Wow this is one of your best podcasts yet. What a fantastic guest!!
agreed 100%
Amazing guest, one of the top episodes!
One of the best or maybe even the best podcast on investment topic that i ever listened to!
Pruduction quality increases ever so slightly. Now with chapters. Thx alot. Another great episode
Fantastic episode!
Cheers from Greenland 💚💚💚 Love for timestamps! ❤❤❤
Really excellent interview. One of the very best. Right up there with the Ken French interview.
This is some deep knowledge
One of the best episodes imo
Great conversation!
A big thank you from Germany!
I really like the rafi concept but the .30% fee is much higher than a traditional cap weighted index. Maybe it would be good idea to own some in addition to the cap weighted funds.
I like the RAFI indexes but I wish that the company's debt was also inputted.
I think diving one level deeper and your channel will add more value. Please explain HOW different asset manager managers implement the factors. Compare the net return to investors between DFA, RA, Vanguard value, and eg the Blackrock value offering. Explain why you prefer DFA, not based on service but based on pure superior net returns to investors. Indeed, explain how DFA and others implement multi-factors that sometimes work in opposite ways. We all know that asset managers can beat the traditional Russell value indices because Rusell only rebalances once per year.
this guys real
Great episode!
Dope
What is rafi?
@@mr2981 thats not the point
The bit about fear premium in the end. Doesn't his momentum story contradict his growth-value one? If people buy momentum companies cuz of fomo, the fear is of NOT owning. So why should one get a fear premium for owning them?
You don’t. He said that the premium diminishes and perhaps even turns negative.
@@ElektrikaCo I don't understand. Momentum strategies earn a premium to the market, as value strategies do. He said the value premium is explained by the fact that owning value stocks is scary. They're in a bad state, in obsolete industries etc. So you get a premium for bravery. But, momentum stocks are rising stars that everyone is getting on board with. There's nothing scary about that, and yet they earn a bravery premium too?
@@arielstulberg You have to view the two "premiums" separately. Look at it this way:
From a perspective of a novice investor buying a meme stock: fundamentally he is buying at a high price, so his expected return is low. Fear premium is low or negative - the stock is "hot", and people want to hold it just because their friends made unrealized gains.
Now the perspective of a momentum trader: he uses a quantitative algorithm to tell him when to buy and sell. He will buy when the momentum is accelerating and dump when it starts to peter off.
So the trader will likely sell off before the peak realizing some positive momentum premium.
The novice investor will in all likelihood see the stock peak and crash, realizing a negative fear premium.
I love listening to Rob Arnott, however it seems to me he has moved the goal posts on now comparing RAFI performance to Value investing. I always believed he was lauding the outperformance of RAFI to general market cap weighted indices such as the Russell 1000. Perhaps this shift is his unwillingness to speak to the poor performances of RAFI over the last 15 year see for example Invesco US 1000 (PRF) ETF V Russell 1000
38:21