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- čas přidán 4. 07. 2024
- Today’s guest is Professor Robert Novy-Marx, the Lori and Alan Zekelman Distinguished Professor of Business Administration at Simon Business School of the University of Rochester. Professor Novy-Marx is best known for his articulation of the profitability factor and has also done a ton of great work on momentum and low volatility. We kick our conversation off with Professor Novy-Marx’s thoughts on how profitability should inform portfolios. From there we hear why Professor Novy-Marx has a problem with evaluating the performance of a multi-signal strategy the same way that we would a single-signal strategy. He then talks about the trade-off between concentrated versus diversified factor exposure for capturing premiums. Next, we discuss why there is no good empirical evidence that we can time premiums. Professor Novy-Marx makes a great argument for why the regressions people use to say that the value spread works to predict the value premium can't be taken seriously. Our conversation moves to focus on how our guest defines price momentum and what drives it, and the nuances of investing in momentum. We then hear his perspectives on the low volatility anomaly and how profitability helps to explain it. After that, we talk about whether investing in a low-vol fund is a way of accessing value and profitability, and why the five-factor model is a trustworthy factor model for regular investors. In the last part of our conversation, we talk to Professor Novy-Marx about his approach to critiquing other methods before ending off with his definition of success. Tune in for this excellent evergreen conversation.
Links From Today’s Episode:
Professor Robert Novy-Marx - rnm.simon.rochester.edu/
‘The Other Side of Value: The Gross Profitability Premium’ - rnm.simon.rochester.edu/resear...
Rational Reminder on iTunes - itunes.apple.com/ca/podcast/t.... - Jak na to + styl
Incredible episode. So many questions answered that I had for a long time. Thank you all!
First !
These academic finance guests are great.
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.
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...
Thank you!
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
As Ben says : investment is solved
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
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.
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.
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
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!”
52:53