Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


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, ...

A few highlights from The Evidence-Based Investing Conference (West)

Earlier this week, I attended the Evidence-Based Investing Conference (West) and spoke on "The Factor Zoo" panel. I present a few highlights / takeaways from the event before you begin the 4th of July weekend. Of course, these are just my personal reflections, ...

Tactical Asset Allocation: Does the Day of the Month Matter?

Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. This is a feature, not a limitation. Trading infrequently forces a strategy to ignore day-to-day ...

Academic Research Insight: The Value of Crowsourced Earnings Forecasts

  • Title: THE VALUE OF CROWDSOURCED EARNINGS FORECASTS
  • Authors:  RUSSELL JAME, RICK JOHNSTON, STANIMIR MARKOV, AND MICHAEL C. WOLFE
  • Publication: JOURNAL OF ACCOUNTING RESEARCH, SEPTEMBER 2016 (version here)
What are the research questions?
  1. Are crowdsourced earnings forecasts from a source such ...

Factor Investing: Evidence Based Insights

I will be talking on the Factor Investing panel at the upcoming Evidence-Based Investing Conference in Dana Point, CA next Sunday –Tuesday. I am excited for the opportunity to chat, and figured I would highlight a few thoughts we have on ...

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