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- Опубліковано 27 вер 2024
- In our conversation this week, we take a deep dive into factor investing. We are joined by the formidable Antonio Picca, Head of Factor Strategies at Vanguard, to help us navigate this complicated topic. Antonio is one of the largest asset managers in the world, with over seven trillion dollars under management. Among his credentials is a Master's in Finance and Economics from the London School of Economics, as well as a Doctorate in Finance and Economics from Chicago, where he was also a teaching assistant with Gene Fama. During our discussion, we cover a broad series of questions on factor investing, while also venturing into deeply technical territory. We examine how one might make the transition to factor investing after gaining confidence in passive investing and unpack important questions around factor investing and risk. Another fascinating topic we cover is how factor investing resembles active investing, including some crucial distinctions. Next, we take a look at some of the negative connotations of active investing and investigate why those issues may not apply to factor investing. Antonio goes on to explain why factor investing is a natural extension of a broad equity market investing and illustrates how it aligns with Vanguard’s philosophy, which is a belief in low-cost, long-term focus, and broad diversification. You won’t want to miss this excellent opportunity to gain a deeper understanding of factor investing from one of the leading experts in the field. Tune in today to hear it all!
Links From Today’s Episode:
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Follow us on Twitter - / rationalremind
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Antonio Picca on LinkedIn - / antonio-picca-phd-36a4...
Vanguard - investor.vangu...
I was so happy when I saw the new episode in my feed :D
Great conversation! Hoping for Vanguard to bring back Factor funds into the EU.
Credit to Ben for having vanguard on his podcast given his relationship with DFA. Credit you Ben/team.
We have had Avantis, AQR, Alpha Architect, iShares, and RAFI on the podcast. Maybe others I am forgetting.
-Ben
Shame Vanguard UK closed their Factor ETFs 😠
When you said "For Canadians", my heart went broke
So disappointed when vanguard pulled a number of their factor funds in the UK. Really poor
Great conversation. Thank you!
Great episode, I am investor in DFA835 through PWL and confess to having lost trust when the DFA funds where outperformed by equivalent non factor based ones for multiple years in a row. Having Ben to remind me of the philosophy of factor based investing helped me not rush into a decision and wait to judge the DFA funds when small cap factor shows up as Antonio said. Curious to see if PWL will offer multi factor Vanguard based portfolios.
"multiple years" factor strategy is long one 20 years +
Anyone know of where I can buy these two funds?
1) small cap except not including unprofitable
2) value except not including high debt
Thanks for the super interesting video. How would the fund structure that Ben proposed in the second last question differ from products like the iShares Edge MSCI World Multifactor ETF?
Where is the long term performance advantage with factor investing?
It's so confusing that the wider meaning of value is "value investing" ie, very solid long term not very volatile safe stocks, but here value is riskier.
factor investing is just nothing vanguard stands for. i like the ideas around it but i like that vanguard decides to cancel them.
Why has Vanguard's factor funds done so much worse than other factor funds?
example?
Oftentimes differences in performance are attributed to the performance(or lack of performanc) of the individual factors they are exposed to during the period
Thank you guys for your insights. I hope Vanguard will bring their factor-funds to Europe again some day. I always hesitated to invest as they were barely above 100M in volume. Sadly I was right not to invest.
To provide extra context to anyone reading this, there is neither many factor funds in Europe's UCITS space nor enough demand for factor funds to support many in the space.
The SPDR small cap value US and Europe funds are a reasonable choice for now and iShares has a few options.
@@mattlm64 the small cap value funds from iShares come with a large negative alpha though. The expected "outperformance" is limited. You can test this for yourself by running a five or six factor regression.
@@chengskwatalot3190 I didn't think iShares did SCV? Unless you mean the SPDR funds which have reasonable regressions when I looked previously.
After looking at numerous strategies and portfolios, it's hard not to wind up just investing in VTI/VXUS, especially if you have multiple asset classes and thus your equity allocation is 70% or below. When I look at these alternative strategies, I'm usually better off just increasing my vanilla index allocation by 5% (via VTI/VXUS), rather than trying to find a better equity mousetrap. Personally, I like the idea of a better mousetrap, but I think Buffet might be right.
How this channel does not have more subs is beyond me.
I’m curious to see if the topic of factor investing for Canadian investors arises in this conversation. I’d love to factor tilt my portfolio, but am holding off until I’m able to do so without performing currency conversions.
This is world class! Thanks for putting out the great work for free, Ben!
Looking forward to Vanguard UK bringing in their Factor and better still a Small Cap Value fund
Vanguard have pulled their factor ETFs. ishares is the leading factor ETF provider for UK investors
Great podcast!
Could you guys discuss the "Quality" factor in the future please?
There's a pretty good discussion of "quality" as a marketing term around the 19 min mark of episode #149 with Robert Novy-Marx. The actual Fama-French factors that might be relevant are profitability and investment; quality is what they use as a label.
Incase you missed it, this is discussed in Episode 154 with Professor Novy-Marx : The Other Side of Value.
@@FFAs Ah. It has been some time. I may need to revisit that episode then.
@@GhettoFabulousLorch I revisited it myself recently! Lots of information in these, making it well worth it imo
@@FFAs Too true. A good lot of these could be listened to more than once. I wouldn't mind if they collated notes over time and revisited topics.