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Wei Dai: Fighting for Every Basis Point | Rational Reminder 306

Meet with PWL Capital: https://calendly.com/d/cpws-jyp-znp Designing a robust portfolio requires considerable expertise, data, and experience. And while there are plenty of published articles that can guide how you build your portfolio, they are not investment solutions by themselves. Wei Dai is the Head of Investment Research and Vice President at Dimensional Fund Advisors, and she joins us today for a comprehensive and informative conversation on portfolio design for higher returns. Her background includes a Doctor of Philosophy degree in Statistics, Operations research, and Financial Engineering from Princeton. She has also earned a bachelor's degree in mathematics and applied mathematics from Zhejiang University. Her work has been published in multiple journals, including The Financial Analysts Journal. She has also collaborated on articles with esteemed figures such as Professor Robert C. Merton and Robert Novy Marx. In our conversation with Wei, we explore the contents of these articles, key findings from research conducted by Dimensional Fund Advisors, and how they are implementing this knowledge in their portfolios. We discuss the fundamental aspects of portfolio design, like expected return, risk, and costs, with Wei providing a detailed breakdown of each subject. There’s a lot to be learned from today’s conversation, and while things get pretty technical, you are in very capable hands! Tune in for a fascinating dive into the latest research on portfolio design and much more. Timestamps: 0:00:00 Intro 0:04:46 The main risk premiums that Dimensional targets in portfolios 0:06:51 How the magnitudes of the expected size, value, and profitability premiums vary across regions 0:10:27 Some typical approaches to pursuing multiple premiums in a portfolio 0:12:41 The main trade-offs with these different approaches 0:19:54 Some of the ways to approach assigning individual security weights, given a desired level of factor exposure 0:22:43 How Dimensional approaches assigning individual security weights 0:30:42 How investors should decide whether to currency hedge their foreign asset exposures 0:35:13 Why timing exposure to the premiums is so tempting 0:40:31 The timing strategies that worked in Wei's research 0:48:27 The implications of this research when pursuing premiums 0:50:50 The importance of diversification to capturing the premiums 0:56:20 What investors should look for when choosing a systematic manager 1:07:09 How reversals are related to liquidity 1:12:20 How Dimensional uses all of this information in portfolios 1:21:22 Wei defines success in her life Links From Today’s Episode: Rational Reminder on iTunes — https://itunes.apple.com/ca/podcast/t.... Rational Reminder Website — https://rationalreminder.ca/ Rational Reminder on Instagram —   / rationalreminder   Rational Reminder on X —   / rationalremind   Rational Reminder on YouTube —    / channel   Rational Reminder Email — [email protected] Benjamin Felix — https://www.pwlcapital.com/author/ben... Benjamin on X —   / benjaminwfelix   Benjamin on LinkedIn —   / benjaminwfelix   Cameron Passmore — https://www.pwlcapital.com/profile/ca... Cameron on X —   / cameronpassmore   Cameron on LinkedIn —   / cameronpassmore   Wei Dai on Linkedin —   / wei-dai-64a3071a   Wei Dai’s Academic Papers — https://papers.ssrn.com/sol3/cf_dev/A... Dimensional Fund Advisors — https://www.dimensional.com/ Papers From Today’s Episode: Assessing the Relative Magnitude of Premiums — https://papers.ssrn.com/sol3/papers.c... Pursuing Multiple Premiums: Combination vs. Integration — https://papers.ssrn.com/sol3/papers.c... Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios — https://papers.ssrn.com/sol3/papers.c... To Hedge or Not to Hedge: A Framework for Currency Hedging Decisions in Global Equity & Fixed Income Portfolios — https://papers.ssrn.com/sol3/papers.c... Another Look at Timing the Equity Premiums — https://papers.ssrn.com/sol3/papers.c... 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/upl... On the Valuation of Performance Fees and Their Impact on Asset Managers’ Incentives — https://papers.ssrn.com/sol3/papers.c... Reversals and the returns to liquidity provision — https://papers.ssrn.com/sol3/papers.c...