Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights

March for the Fallen. Come Join the Alpha Architect Team!

2016-08-26 14_58_14-March for the Fallen
Looking for a great challenge on a Saturday morning on September 24th? Come join some members of the Alpha Architect team and our tribe of friends/clients when we take part in the “March for the Fallen” on Saturday, September 24, ...

Managed Futures: Understanding a Misunderstood Diversification Tool.

3 - ManFut Crisis Graph
In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), and I analyze the performance of US stocks during really bad months for US bonds ...

Optimizing Mean Variance Optimization

Shrinkage Theory for Portfolio Optimization with Correlated Geometric Brownian
In the 1950s, Harry Markowitz proposed a method to identify the optimal trade-off between risk and return for a portfolio. The theory is broadly termed, "Mean-Variance Optimization (MVO)." Sam Wittig, a Drexel graduate I advised and who did some research ...

Dealing with Delistings: A Critical Aspect for Stock-Selection Research

Eric Crittenden was recently on Meb Faber's podcast and he tells a compelling story about the perils of survivor bias in backtesting. Eric's story begins when he is an undergraduate working on a project for a quantitative finance course. The ...

Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs

transaction costs and anomalies
Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following: "size," or a portfolio of small minus big stocks (SMB) ...

Asset Pricing with–and without–garbage.

If you are into consumption-based asset pricing theory and the associated empirical attempts to reconcile the theory with the data from the realized equity premium, garbage is a fascinating subject. So let's talk about asset pricing both with--and without--garbage. First ...

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