Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Book Review — Loaded: Money, Psychology, and How to Get Ahead…

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A few months ago I had the pleasure of hearing Sarah Newcomb speak at a recent Morningstar ETF conference. She was extraordinary. Although I only caught the last 20 minutes of her talk, she had my mind racing in a ...

How to Reduce Taxes through Negotiation

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Since this is my first post, I'll make a quick introduction before getting to the content: I love science and learning. In college, I majored in physics and, upon completion, felt I had earned a four-year degree in the Discovery ...

The Momentum Investing Texas Tour with Gary Antonacci and Jack Vogel

gary and wes on momentum
Next week we'll be touring the great state of Texas. Me, Gary Antonacci, and Jack Vogel, will be traveling between Houston, Austin, and Dallas. Gary and I will be leading discussions on momentum investing. Gary will focus on the use ...

The January Effect: An Evidence-Based Perspective

Source: FAJ 1996
January is here again and market commentators are already telling stories about the so-called January Effect. Some articles (examples here and here) are saying the effect is an illusion, while others are claiming the effect can help you make some ...

Go Skew Yourself with Managed Futures

Wes' attempt at humor
Skewness is a statistical measure of how returns behave in the tails of a probability distribution. Wikipedia has a more robust definition of skewness with some good visuals here. If an investment (e.g., stocks) has negative skewness this means that ...

Factor ETF Due Diligence: A New Challenge for Some Investors

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Factor investing seems to be everywhere, but the topic is still misunderstood by large swaths of the investing public. Tommi Johnsen and I would like to help bring clarity to the topic and help this blog empower investors through education ...

Using Trend-Following Rules to Enhance Factor Performance

Performance Improvement by MA Filter_Sharpe
After reviewing the 2016 performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it a whirl anyway... The comedian Victor Borge once famously observed, "Santa Claus has the ...

Are you Ready to Witness Finance Research on Steroids?

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Have you ever dreamed of meeting Ben Bernanke face-to-face? Would you love the chance to bump into Larry Summers in the hallway? Or better yet, have you dreamed of listening to a Nobel Prize winner present a detailed critique of ...

1042 Qualified Replacement Property: An Overview of ESOP Rollover Strategies

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Executive Summary PDF of this document Employee Stock Ownership Plans (“ESOP”) offer a variety of liquidity, tax and operating benefits to business owners who are contemplating a sale or partial sale of their business. This article is intended to serve ...

Time Series Momentum, Volatility Scaling, and Crisis Alpha

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If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and a lot more exciting than hacking through equity stock selection research where we ...

Commodity Futures Investing: Complex and Unique

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Commodity futures investing is arguably the most misunderstood asset class in the financial marketplace. We want to change that state of affairs. Commodity futures strategies are fascinating and can be beneficial to investors. However, commodity futures are often complex, involve ...

An Interview with a Leading Academic Expert on ETFs

Fisher College
New Fellows Breakfast
Blackwell - Ballroom
APR-24-2014
Photo by Jay LaPrete
©2014 Jay LaPrete
We spend a lot of our time thinking and learning about ETFs, since they are a critical new investor weapon in the war for after-tax investment returns. And we are always trying to understand better what the academic community is ...

Interest Rates and Value Investing

10 Year ACM Treasury Term Premium and Nominal Ares
There is still no value in bonds today. The typical knee-jerk reaction to bold bond statements (such as the one above) is as follows: This guy is a total idiot This guy is a total genius I claim I'm simply ...

A really cool paper (and graphic) on ETFs

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Zahi Ben-David has an excellent new summary paper on the state of academic research on exchange traded funds with colleagues Rabih Moussawi and Francesco Fanzoni.[ref]We focused on Zahi for this interview, but Rabih and Francesco have some wonderful research articles ...

DIY Asset Allocation Weights: November 2016

Click to Enlarge
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Strategy Date Domestic Value Domestic Mom Int'l. Value Int'l. Mom ...

Tom Cruise — Watch out! We got a new 1042 ESOP QRP Expert on Deck!

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We wanted to formally welcome the newest addition to the Alpha Architect team, Doug Pugliese, who joins us as Director of Portfolio Services and heads up the firm’s 1042 ESOP solutions practice. [ref]If you have no clue what 1042, ESOP, ...

Is the Low Volatility Anomaly driven by Lottery Demand?

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A few years ago I wrote a summary on a working paper titled "A Lottery Demand-Based Explanation of the Beta Anomaly." The paper is still a working paper, and has been updated (unfortunately they took out a neat picture from ...

Active Fee Over Time: Retail and Institutional Trends Over Time

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We've been focused on understanding how to communicate the concept of active fee to the broader investment community. Active fee is an important concept because it helps investors make more informed and educated decisions -- a great thing! The concept ...

Cyber Monday: Alpha Architect Book Sale

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Are you looking to empower an investor through education this holiday season? Now's your chance! All three of our books are on sale for $9.99 through November (3 days). Hurry! An accessible introductory book for motivated investors: DIY Financial Advisor ...

Great Minds Agree to Disagree on the Source of the Value Investing Premium

fama-interview
Active investing sounds so easy. But we all know it is extremely difficult. Ask any deep value investor how they have felt over the past few years (although, they are feeling a lot better recently). Certainly, any credible active investor ...

Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. There is a risk of substantial loss associated with trading stocks, commodities, futures, options and other financial instruments. Please click Full Disclaimer for additional disclosures.