Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


The Capacity of Smart Beta Funds — Larger than Previously Thought?

ETFs and factor investing are on the tip of everyone's tongue these days. Factor investing is being couched as a "new" thing, despite the fact that institutional investors have been deploying these strategies for years. (See this working paper discussing ...

Tactical Asset Allocation and the US 60/40 Benchmark

Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase allocation to assets expected to ...

Academic Factor Exposure Versus Fund Factor Exposure

Tomorrow I'll be sitting with Pat O'Shaughnessy and Ben Johnson to discuss "Straight Talk About Smart Beta." Here is a link to the big Morningstar event. In preparation for our discussion we were spitballing ideas and Ben brought up the ...

Visualizing IRA Rules Using Flowcharts

The rules around IRAs are really complicated and Wes asked if we could share our flow charts on the subject so others could potentially benefit from the work we've done to help make the IRA decision tree more manageable. There ...

Current Research on How ETFs Can Affect Financial Markets

We've heard a lot of questions recently from clients and readers regarding how ETFs might affect financial markets. The short answer is "nobody knows." The long answer is researchers are trying to figure it all out. In this piece we ...

Great Academic Finance Research Papers at WFA 2017

There are several big academic finance conferences that attract the best research and the best researchers in one bullpen -- the AFA and the WFA meetings. We chatted about the AFA event last January (be sure to check that out) ...

“Alternative” Facts about Formulaic Value Investing

A new paper, "Facts about Formulaic Value Investing," is making the rounds and professes to plunge a dagger directly into the heart of systematic value investors. Half of my inbox is filled with questions regarding this paper, since we are considered ...

Value and Momentum Investing in Frontier Stock Markets

Value and Momentum investing have been studied across many different markets and asset classes (Asness et al 2013) and have shown to be effective factors. A working paper, "Frontier Stock Markets: Local vs Global Factors" by Douglas W. Blackburn and ...

Swedroe Spotlight: Does Market Sentiment Help Explain Momentum?

David Smith, Na Wang, Ying Wang and Edward Zychowicz contribute to the literature on momentum with their paper, “Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry,” which was published in the December 2016 issue of ...

Introduction to a Basic “Quant” Match Making Service

We were recently asked by Aaron Brask, one of our guest bloggers, why we don't provide a "job board" on our site. Aaron works for several large family offices and he says it is incredibly difficult to find intellectually honest talent ...

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