Fantastic interview. As Ben says: If you can't explain a stock market anomaly then it's not useful as a predictor (not a direct quote obviously). This guy has the explanations and knows when there aren't any.
Around the 25 min mark. I think it is an error to assume that the signals are orthogonal in nature. In fact, a multi factor model may be looking for interaction terms. I think Partha Mohanram's work really is about exploiting interaction terms and bayesian effects
From FF2015, "profitability (measured with accounting data for the fiscal year ending in t-1) is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses, all divided by book equity at the end of fiscal year t-1. We call this variable operating profitability, OP, but it is operating profitability minus interest expense. " Investment is calculated as "the growth of total assets for the fiscal year ending in t-1 divided by total assets at the end of t-1."
@@nemuritai Let me rephrase : I’m not asking for what profitability IS- I actually understand that- I’m asking what range of numbers might be considered as “very” profitable. They talk about high and low profitability in this episode, but I don’t actually know what “high” is.
so for long-term capital appreciation and overall total returns is the consensus that best results are more likely when invested in a Total stock market, almost free ETF like VTI, or go with something with a factor tilt like aVantis and pay the extra .12 in expense ratio. I think that's what they were trying to ask him but I still feel confused
So, its harmful to combine quality and value factor etfs in same portfolio? In MSCI paper combining factors seems that buying both indexes gets good results.
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Incredible episode. So many questions answered that I had for a long time. Thank you all!
Fantastic interview. As Ben says: If you can't explain a stock market anomaly then it's not useful as a predictor (not a direct quote obviously). This guy has the explanations and knows when there aren't any.
First !
These academic finance guests are great.
Wow, this is not a play in the background episode, this is pay attention to this lecture and rewind if you missed something, LOL 😋
For sure. I started this at 2am while up for feeding my newborn twins and i got 5 mins in and decided its WAY too early for this stuff. 😴
59:36 doggo: He's talking to himself again...
Around the 25 min mark. I think it is an error to assume that the signals are orthogonal in nature. In fact, a multi factor model may be looking for interaction terms. I think Partha Mohanram's work really is about exploiting interaction terms and bayesian effects
Can anyone provide some links or resources to explain rough numbers for what might be considered a “very” profitable stock?
From FF2015,
"profitability (measured with accounting data for the fiscal year ending in t-1) is annual revenues minus cost of goods
sold, interest expense, and selling, general, and administrative expenses, all divided by book equity at the end of fiscal year t-1. We call this variable operating profitability, OP, but it is operating profitability
minus interest expense. "
Investment is calculated as "the growth of total assets for the fiscal year ending in t-1 divided by total
assets at the end of t-1."
@@nemuritai Let me rephrase : I’m not asking for what profitability IS- I actually understand that- I’m asking what range of numbers might be considered as “very” profitable. They talk about high and low profitability in this episode, but I don’t actually know what “high” is.
Thank you!
so for long-term capital appreciation and overall total returns is the consensus that best results are more likely when invested in a Total stock market, almost free ETF like VTI, or go with something with a factor tilt like aVantis and pay the extra .12 in expense ratio. I think that's what they were trying to ask him but I still feel confused
So, its harmful to combine quality and value factor etfs in same portfolio? In MSCI paper combining factors seems that buying both indexes gets good results.
As Ben says : investment is solved
ty
30:11 I'm only halfway through the video, but I gotta know: Did someone let the 🐩 poodle in??? S/he looks ready to contribute to the discussion.
Dog: “A market crash is coming soon y’all. You’ve been warned!”
it would me amazing if you could make a video about that paper and try to explain it in simpler way
I would really appreciate that
52:53