Optimize Alpha 🇺🇸

Post about financial research, systematic investing, and 🇺🇸.
BBA I MS I MBA I MTL I EE-PFA @Wharton I CEO/CIO I Posts Not Financial Advice

[Mark Meredith, CFP®️ @MarkTMeredith]

When diversifying value exposure, both momentum and high profitability can work as complements.

But the holdings tell a different story: momentum overlaps with value far more than profitability does.

And there's no telling if that overlap shows up at a good time or a bad one.

[Optimize Alpha 🇺🇸 @alpha_optimized]

This is a brilliant insight.

[Ptuomov @ptuomov]

@MaciejWasek If you regress HY and IG realized excess returns on stocks' and government bonds' excess returns and look at the alphas, HY has some historical alpha.

[Optimize Alpha 🇺🇸 @alpha_optimized]

@MarkTMeredith Please do.

[Optimize Alpha 🇺🇸 @alpha_optimized]

@MarkTMeredith I like DUHP as well, is there a reason you prefer DUHP?

[Optimize Alpha 🇺🇸 @alpha_optimized]

@myersbradley Completely agree with you. If you do not qualify for the deduction, the Roth is superior.

[Optimize Alpha 🇺🇸 @alpha_optimized]

@myersbradley Assuming you qualify for the deduction for the Traditional, you are paying the government early on a Roth, when you do not need to, and can benefit from a deduction. Traditional IRA's allow you to use the governments money for your benefit. But congrats on retiring at 53!

[Optimize Alpha 🇺🇸 @alpha_optimized]

@myersbradley The Roth is a powerful tool, however, I think the traditional is a better deal for those who qualify for the full deduction.

[Optimize Alpha 🇺🇸 @alpha_optimized]

@BoringBiz_ There are 831 people in that sample. Do you really think that is representative of an entire generation?

[The White House @WhiteHouse]

"During the eve of our 250th year of cherished independence, we turn to the sovereign embodiment of our British heritage & say sincere thank you to our friends... May our two countries stand together forever for liberty, for justice, & for the glory of God." 🇺🇸🇬🇧

[Optimize Alpha 🇺🇸 @alpha_optimized]

🇬🇧🇺🇸🇬🇧🇺🇸🇬🇧🇺🇸🇬🇧🇺🇸🇬🇧🇺🇸

[Department of State @StateDept]

PRESIDENT TRUMP: The American patriots who pledged their lives to independence in 1776 were the heirs to this majestic inheritance, their veins ran with Anglo-Saxon courage.

Their hearts beat with an English faith in standing firm for what is right, good, and true.

[Optimize Alpha 🇺🇸 @alpha_optimized]

You meant to say, The Catholic Church lost its way after Pope Pius XII, the last valid Pope of the Catholic Church.

This whole situation is another clear example that the Sedevacantist position is the most logical and true view of the Catholic Church.

Before Vatican II the Church boldly declared Ex cathedra-Extra Ecclesiam nulla salus, a Latin phrase meaning "outside the Church there is no salvation." Modern Popes declare, there is no need of Christ, and Muslims are our brothers in faith.

This is not the same Church. https://t.co/TZK3nRImeb

[Clifford Asness @CliffordAsness]

One of the dumber things you hear lately, from a lot of supposedly non-dumb people, is “stocks and bonds are now trading positively correlated so you now desperately need this other investment that’s way way more correlated with stocks than are bonds.”

Those investments are the typical. Privates (which are just equity, so it’s “you need more equity to diversify your equity”), buffer funds (which are just equity + cash minus some number), and crypto (which increasingly trades like equity, and is, you know, mostly nonsense, but even if you love it it’s currently bringing more equity exposure than bonds).

My colleagues latest explaining:

[Optimize Alpha 🇺🇸 @alpha_optimized]

@MarkTMeredith Why is the optimal portfolio set to 33% Domestic and 67% International stocks?

[Optimize Alpha 🇺🇸 @alpha_optimized]

Just finished reading the March issue of Nick Murray’s newsletter. The price of admission will be paid back 10x with his March issue alone. A full throated defense of equities. Check it out: https://t.co/vdu1ojEfw7

[Scott Wimmer, CFA, CFP®, EA @wimms5987]

I thought MCW index funds were going to ruin the markets by now.......

"Despite these obstacles, one silver lining may have been the rise in cross-sectional volatility, or dispersion, which measures how differently stocks are performing relative to each other. The value of stock-selection skill rises when dispersion is high, which could have meant greater opportunities for skillful stock pickers to outperform. Exhibit 3 shows that large-cap stock-level dispersion in 2025 was higher than the historical average and the prior two years."
- Anu Ganti
Head of U.S. Index Investment Strategy

S&P Dow Jones Indices
https://t.co/K9QRuiuQin

[Eric Nelson, CFA @ServoWealth]

We’ve known for 30 years that if you’re going to invest internationally, you do it with value and small or not at all.

Most investors never got the memo.

(From 1996 JOF paper):
“In fact, a sensible reason to diversify internationally is to "load up" on value stocks and small stocks without concentrating in one geographic region. If one does not wish to concentrate in such stocks, then international diversification for U.S. sponsors may be unnecessary.”

[Optimize Alpha 🇺🇸 @alpha_optimized]

Capturing equity factor premiums requires a different approach.

[Eric Nelson, CFA @ServoWealth]

How bad is Vanguard—despite their low expenses—at capturing asset class returns? You’re not gonna believe just how bad.

Since 1998, $10k in the S&P 500 grew to $100k. But in small value, $140k—40% more. How much of the small value premium did Vanguard SV fund capture? 110%? 90%, 85%? Lol not even close.

25%. That’s it. $110k.

What good are low expenses if net of fee returns are much lower than what’s possible?

There’s a lot more to investing than low expenses.

[Optimize Alpha 🇺🇸 @alpha_optimized]

@egr_investor 60% Global Factor Equities, 20% Core US Equity, 40% Managed Futures, 20% Core Bonds. I’ll hold this portfolio up to, and through retirement.

[Optimize Alpha 🇺🇸 @alpha_optimized]

@Wharton03 @ServoWealth Eric, @ServoWealth wrote a great article on this awhile back. Not sure if he still has it but worth a read if you can find it.