Invest Like the Best

A methodical conversation about the gap between a factor that replicates and a factor you can actually run money in. The guest separates three failure modes — data-snooping, capacity, and the trading cost that only appears at size — and argues the third is where most of the decay happens. The last section is practical: what to demand from a research note before allocating to it.

The guest describes moving a large institutional book away from calendar rebalancing toward band-based drift with explicit governance limits, why the investment committee resisted it, and what the first drawdown did to that agreement. Most of the value is in the governance detail rather than the portfolio theory.