Evidence Based Factor Investing | Matt Zenz

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Oct 4, 2025

In a fascinating discussion, Matt Zenz, founder of Longview Research Partners and a seasoned investment expert, dives into the intricacies of factor investing. He shares lessons from his engineering background and his tenure at DFA, emphasizing the importance of evidence-based strategies. Matt explores the roles of value, momentum, and size in portfolios, and critiques large-cap tech dominance. He also discusses the potential of AI in investing and advocates for a low-cost, diversified approach for average investors while warning against the allure of overly complex strategies.

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INSIGHT

Solve For Expected Return, Not Isolated Factors

Solving for expected return leads to combining value and profitability into a ratio rather than treating factors separately.
Joint factor exposure produces a purer tilt toward higher expected returns.

ADVICE

Exclude Extreme Lottery Stocks

Exclude the very worst bottom ~5% of stocks (extreme lottery-like small caps) to avoid chronic underperformers.
Keep broad coverage but remove extreme low-quality outliers.

INSIGHT

Capture Momentum Without Churn

Momentum has much higher turnover than value/quality, so capture it via trade timing, not core composite scores.
That approach yields momentum exposure without 200% annual turnover.

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In this episode of Excess Returns, we sit down with Matt Zenz of Longview Research Partners to explore factor investing, evidence-based strategies, and the challenges and opportunities in today’s markets. Matt shares insights from his engineering background, his time at DFA, and his current work running the Longview Advantage ETF (EBI). We cover the nuances of value, momentum, size, implementation, and how investors can think more effectively about long-term returns.

Topics covered:

Matt’s journey from engineering to investing
Lessons learned at DFA and the foundation of evidence-based investing
Defining factors and what makes them credible
The role of value, momentum, quality, and size in portfolios
The challenges of intangibles and redefining value
Large cap tech dominance, mean reversion, and whether the world has changed
Factor timing, valuation spreads, and Cliff Asness’ “sin” framework
How momentum can be integrated with value tilts
Portfolio construction: combining factors vs sleeve approaches
Implementation challenges for large vs small managers
How Longview manages liquidity, turnover, and trading costs
The potential impact of AI on factor investing
Future opportunities in implementation alpha and ETF design
Matt’s biggest investing belief most peers disagree with
The key lesson he would teach the average investor

Timestamps:
00:00 Value vs returns and factor investing basics
03:00 From engineering and Boeing to investing
06:15 Time at DFA and lessons in evidence-based investing
07:30 What evidence-based investing really means
09:25 Defining factors and what makes them valid
12:00 Using value, profitability, size, and momentum
16:00 Large cap tech dominance and future returns
18:00 Mean reversion and whether the world has changed
20:00 How long does value need to struggle before it’s “dead”?
22:30 Should value be redefined for intangibles?
25:30 Intangibles, R&D, and why adjustments add noise
27:00 Value’s performance across economic cycles and migration
30:00 Interest rates, growth, and value performance
32:00 Factor timing and valuation spreads
34:15 The role of momentum in timing and implementation
35:00 How Longview applies passive-aggressive tilts
36:30 Combining factors vs sleeve approaches
39:00 How momentum is used in practice
41:30 Factor migration and average holding periods
43:00 The size premium and whether it still exists
44:30 The benefits of being nimble vs large fund families
47:30 Liquidity challenges in small cap value
52:00 The role of AI in investing
54:00 Where implementation adds the most alpha
55:30 One belief Matt holds that peers may disagree with
57:20 The one lesson for the average investor