Factor Decay, August Volatility & Transaction Costs | August 2024 Round Up

The Alpha Architect Round Up

Submit your questions! Email: [e-mail] For more educational resources, check out the Alpha Architect blog. https://www.alphaarchitect.com/subscribe Read Jack's paper on transaction costs: https://alphaarchitect.com/wp-content/uploads/2021/08/Factor_Investing_and_Trading_Costs.pdf Follow us on X: Wes Gray, PhD: https://x.com/alphaarchitect Jack Vogel, PhD: https://x.com/jvogs02 Ryan Kirlin: https://x.com/RyanPKirlin Jose Ordoñez Jr: https://x.com/JOrdonezJr Welcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about factor decay and ask the question: "Do factor portfolios survive publication decay and transaction costs?" We also look at the 2024 market crash and examine the root causes and what investors should do about it. 0:00 - Intro 1:11 - August Volatility 6:30 - What to Do in a Crash? 12:14 - Post-Publication Decay 29:42 - Factor Investing Trading Costs 36:24 - Sampling Biases 40:15 - Adaptive Markets 43:15 - Outro Sources: Chen, Andrew. Velikov, Mihail. Zeroing In on the Expected Returns of Anomalies. Journal of Financial and Quantitative Analysis, Vol. 58, No. 3, May 2023 (995): https://www.cambridge.org/core/services/aop-cambridge-core/content/view/945133D5A3ECEEAF466AEE91551FD225/S0022109022000874a.pdf/zeroing-in-on-the-expected-returns-of-anomalies.pdf Disclosures: https://alphaarchitect.com/disclosures.