Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


My “Repackaging” Pet Peeve: Do Other Advisors See This As Well?

Like many advisors, I often find myself reviewing accounts and historical performance for clients and prospects with investments at other firms. Of course I see all the usual suspects like annuities, mutual funds with loads, 12B-1 fees, etc. Financial professionals ...

Trick Question: How is the Momentum Factor Performing YTD?

If you ask your typical long-only investor (or financial advisor) how momentum is doing this year they'll likely say, "Amazing!" This statement will almost surely be based on the fact they own (or know about) the iShares "Momentum Factor" Fund (Ticker: ...

Academic Research Insight: When Does International Investing Make Sense?

  • Title: MONONATIONALS: THE DIVERSIFICATION BENEFITS OF INVESTING IN COMPANIES WITH NO FOREIGN SALES
  • Authors:        CORMAC MULLEN AND JENNY BERRILL
  • Publication: FINANCIAL ANALYST JOURNAL, II Q 2017  (version here)
What are the research questions? Market globalization is said to be the culprit of ...

Trend-Following with Valeriy Zakamulin: Types of Moving Averages (Part 2)

In this post we aim to give an overview of some specific types of moving averages. Specifically, we cover "ordinary" moving averages and mention some examples of exotic moving averages ...

Elisabetta and Tommi Are Helping us Empower Investors Through Education

Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday. But we can't fulfill our mission alone. We need help and our two newest teammates, Elisabetta Basilico and Tommi Johnsen, stepped ...

Academic Research Insights: Does the Scope of the Sell-Side Analyst Industry Matter?

  • Title: DOES THE SCOPE OF THE SELL-SIDE ANALYST INDUSTRY MATTER? AN EXAMINATION OF BIAS, AND INFORMATION CONTENT OF ANALYST REPORTS
  • Authors:   KENNETH MERKELEY, RONI MICHAELY AND JOSEPH PACELLI
  • Publication: THE JOURNAL OF FINANCE  • VOL. LXXII, NO.3 , ...

Trend-Following with Valeriy Zakamulin: Moving Average Basics (Part 1)

One of the basic principles of technical analysis is that ``prices move in trends". Traders firmly believe that these trends can be identified in a timely manner and used to generate profits and limit losses. Consequently, trend following is the ...

Avoiding Overpriced Winners: A Better Way to Capture the Momentum Premium?

Any frequent reader of our blog knows we are fans of momentum investing. At this point, investment professionals should know that momentum historically works, that momentum is painful, and we have our own opinions on how to implement momentum investing via our ...

Academic Research Insight: Facts about Factors

  • Title: FACTS ABOUT FACTORS
  • Authors:        PAULA COCOMA, MEGAN CZASONIS, MARK KRITZMAN, DAVID TURKINGTON
  • Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, SPRING 2017  (version here)
What are the research questions?
  1. Do factors offer superior diversification benefits relative ...

Do Security Analyst Recommendations Bet on or Against Academic Findings?

As my co-author Andrew Berkin, the director of research for Bridgeway Capital Management, and I explain in our new book, “Your Complete Guide to Factor-Based Investing,” there is considerable evidence of cross-sectional return predictability. Citing more than 100 academic papers, ...

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