Mikhail Samonov – Lessons from Two Centuries of Financial History | #502

58 snips

Oct 4, 2023

Mikhail Samonov, CEO of Two Centuries Investments, shares insights from studying two centuries of financial returns, including momentum and asset allocation. He also discusses using AI to analyze intangible value and company cultures. The podcast explores the challenges faced by investors in sticking to asset allocation strategies and the importance of unpopular beliefs in the financial industry. Mikhail shares his most memorable investment and reflects on missed investment opportunities.

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ANECDOTE

Momentum's Deep Historical Drawdowns

Mikhail Samonov extended momentum research back two centuries to test its validity beyond recent decades.
He experienced drawdowns like after the Great Depression, reinforcing that momentum crashes are real risks.

ADVICE

Manage Momentum With Beta and Diversify

Monitor the beta exposure of your momentum portfolio carefully to avoid surprise swings.
Diversify and innovate continuously to protect against long dry spells in factor performance.

INSIGHT

Value Returns Linked to Uncomfortability

Value investing works because it is uncomfortable and unpopular, earning a premium when others avoid it.
Comfort shifts over time and when value becomes popular, returns tend to flatten or decline.

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Today’s guest is Mikhail Samonov, CEO of Two Centuries Investments, which was established to create long term wealth for investors through its blend of innovative and behaviorally focused investment strategies.

In today’s episode, Mikhail walks through what led him to focus so much on ‘long history’ in his research. He shares lessons learned from studying two centuries of financial returns, including momentum and asset allocation. He also spends time explaining how he’s using AI to study intangible value and company cultures.

(1:29) - Welcome Mikhail to the show

(2:30) - Why such a focus on long-history?

(3:04) - Two Centuries of Price-Return Momentum; Two Centuries of Multi-Asset Momentum

(12:41) - Investors often underestimate risks, ignore history

(18:11) - Investment comfort zones vary by generation

(25:15) - Innovation and creativity are crucial for quantitative investors

(34:26) - Applying research on intangibles using NLP

(41:00) - CultureLine uses AI to analyze workplace culture, aiding investors and enhancing ESG models

(45:46) - Story about Steve Jobs adding "creative" to Apple's 10K

(49:46) - Deep dive into asset allocation strategies and their long-term resilience; A Century of Asset Allocation Crash Risk

(59:42) - Why investors underestimate drawdowns

(1:03:54) - What investment belief Mikhail holds that most of his professional peers do not

(1:07:09) - Mikhail’s most memorable investment

Learn more about Mikhail: Two Centuries; CultureLine; LinkedIn; Twitter

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