We Asked a $4.5B Quant Manager Why the S&P 500 Is Just 46 Stocks — and Why Small Caps Aren't Dead

About this episode

Elena Khoziaeva discusses factor investing and the implications of market concentration on small caps and diversification.

Elena Khoziaeva, Co-Chief Investment Officer and Portfolio Manager at Bridgeway Capital Management, joins Excess Returns to discuss factor investing, small caps, value investing, market concentration, intangibles, passive investing, market neutral strategies, and the role of AI in quantitative investment research. We cover how Bridgeway combines disciplined quantitative models with human judgment, why the S&P 500 may be less diversified than investors think, and how investors can think about diversification when mega-cap growth stocks dominate market returns. Bridgeway Capital Management https://bridgeway.com/ I Know What You Did Last Summer https://bridgeway.com/perspectives/i-know-what-you-did-last-summer/ How Many Stocks Are Effectively in the S&P 500? https://bridgeway.com/perspectives/how-many-stocks-are-effectively-in-the-sp500/ Topics Covered Why quantitative investing still needs human judgment and skepticism The difference between smart beta and true multi-factor portfolio construction How Bridgeway combines value, quality, sentiment and risk controls Why the size premium may depend on how small-cap stocks are defined Why recently fallen large caps and IPOs can…

People in this episode

Host: Excess Returns

Guest: Elena Khoziaeva

Topics covered

• factor investing
• small caps
• value investing
• market concentration
• passive investing
• quantitative investment research
• diversification

Keywords

• quantitative investing
• market neutral strategies
• intangible assets
• smart beta
• size premium
• mega-cap growth stocks
• human judgment
• value rotations

Mentioned in this episode

Organizations: Bridgeway Capital Management, S&P 500, Bridgeway

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