La conception d’un portefeuille solide nécessite une expertise, des données et une expérience considérables. Et bien qu’il existe de nombreux articles publiés qui peuvent vous guider dans la construction de votre portefeuille, ils ne constituent pas des solutions d’investissement en soi. Wei Dai est responsable de la recherche sur les investissements et vice-présidente chez Dimensional Fund Advisors. Elle nous rejoint aujourd’hui pour une conversation complète et informative sur la conception de portefeuilles pour des rendements plus élevés. Elle est titulaire d’un doctorat en statistiques, en recherche opérationnelle et en ingénierie financière de l’université de Princeton. Elle est également titulaire d’une licence en mathématiques et en mathématiques appliquées de l’université de Zhejiang. Ses travaux ont été publiés dans de nombreuses revues, dont le Financial Analysts Journal. Elle a également collaboré à des articles avec des personnalités estimées telles que le professeur Robert C. Merton et Robert Novy-Marx. Dans notre conversation avec Wei, nous explorons le contenu de ces articles, les principaux résultats des recherches menées par Dimensional Fund Advisors et la manière dont ils mettent en œuvre ces connaissances dans leurs portefeuilles. Nous discutons des aspects fondamentaux de la conception d’un portefeuille, tels que le rendement attendu, le risque et les coûts, Wei fournissant une analyse détaillée de chaque sujet. Il y a beaucoup à apprendre de la conversation d’aujourd’hui, et même si les choses deviennent assez techniques, vous êtes entre de bonnes mains ! Écoutez-nous pour une plongée fascinante dans les dernières recherches sur la conception de portefeuilles et bien d’autres choses encore.
Points clés de cet épisode :
(0:03:37) The main risk premiums that Dimensional Fund Advisors target in their portfolios.
(0:05:42) How long-term drivers of returns vary across different regions: an overview of the tests and outcomes they’ve seen at Dimensional Fund Advisors.
(0:07:15) Unpacking whether the value premium differs from the profitability premium across regions; why it makes sense to be globally diversified.
(0:08:57) Typical approaches to a multi-premium strategy in a portfolio: a rundown of the three approaches they take at Dimensional and the trade-offs between each.
(0:13:44) How they evaluate portfolios at Dimenstional: the benefits of taking a holistic, integrated approach, and instances where that doesn’t make sense.
(0:17:24) Weighting schemes: Dimensional’s approach to assigning individual security weights to achieve the desired level of exposure and how investments factor into weights.
(0:26:46) Advice on how investors should decide whether to currency hedge their foreign asset exposures, and insights on how to approach currency hedging.
(0:30:42) Premium timing: Why timing exposure to premiums is so tempting; parameters that must be defined to implement timing strategies; and which strategies worked in their research.
(0:39:21) Valuation ratios: why it theoretically makes sense that they would be related to differences in expected returns and why they aren’t useful in timing premiums.
(0:42:11) An overview of the main implications for pursuing premiums that arise from Dimensional’s research.
(0:44:10) Diversification and how to improve your odds of capturing return premiums.
(0:46:38) The tradeoff between concentration and expected returns, and defining the optimal balance.
(0:49:06) What investors should look for when choosing a systematic investment manager, why not all systematic strategies are created equal, and Dimemsional’s approach.
(0:52:52) The downsides of performance fees, specifically for systematic managers and what it was like writing a paper with Robert Merton.
(0:57:41) How short-term reversals differ from momentum, ways that reversals are related to liquidity, and how reversals vary across different stocks.
(01:03:12) The ways that Dimensional is implementing this knowledge in their portfolios; how their ideas go from research to publication to implementation.
(01:08:18) What sets Dimensional apart, and the value that they add, despite their research being available online.
Assessing the Relative Magnitude of Premiums — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3981766
Pursuing Multiple Premiums: Combination vs. Integration — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3793594
Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4016481
To Hedge or Not to Hedge: A Framework for Currency Hedging Decisions in Global Equity & Fixed Income Portfolios — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3703333
Another Look at Timing the Equity Premiums — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4586684
Premium Timing with Valuation Ratios
How Diversification Impacts Investment Outcomes: A Case Study on Global Large Caps
How Diversification Impacts the Reliability of Outcomes — https://carlsoncap.com/wp-content/uploads/DFA_-How-Diversification-Impacts-the-Reliability-of-Outcomes.pdf
On the Valuation of Performance Fees and Their Impact on Asset Managers’ Incentives — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3686987
Reversals and the returns to liquidity provision — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4339591
Rencontre avec PWL Capital : https://calendly.com/d/3vm-t2j-h3p
Rational Reminder sur iTunes — https://itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582.
Site web de Rational Reminder — https://rationalreminder.ca/
Rational Reminder sur Instagram — https://www.instagram.com/rationalreminder/
Rational Reminder sur X — https://twitter.com/RationalRemind
Rational Reminder sur YouTube — https://www.youtube.com/channel/
Email de Rational Reminder — info@rationalreminder.ca
Benjamin Felix — https://www.pwlcapital.com/author/benjamin-felix/
Benjamin sur X — https://twitter.com/benjaminwfelix
Benjamin sur LinkedIn — https://www.linkedin.com/in/benjaminwfelix/
Cameron Passmore — https://www.pwlcapital.com/profile/cameron-passmore/
Cameron sur X — https://twitter.com/CameronPassmore
Cameron sur LinkedIn — https://www.linkedin.com/in/cameronpassmore/
Wei Dai on Linkedin — https://www.linkedin.com/in/wei-dai-64a3071a/
Wei Dai’s Academic Papers — https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2888456
Dimensional Fund Advisors — https://www.dimensional.com/
