Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights

Beware of Institutional Ownership Data from 13F filings

The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13(f) securities (e.g., stocks). Here is a link to the 13(f) security lists. Many ...

Stale Performance Chasing: Beware of Horizon Effects

2016-06-02 10_35_36-gray_stale_performance_chasing_v01.docx - Microsoft Word (Product Activation Fai
Investors talk a big game when describing how they evaluate mutual funds. They say they consider things like the objectives of the fund, its size, and the longevity of its managers. But there’s one factor that looms larger than all ...

Style Momentum in Australia?

Momentum in Style Portfolios
Jegadeesh and Titman (1993) popularized a simple idea: "past winners outperform past losers." Post JT, the relative strength, or "momentum anomaly," was forever ingrained in the minds of academic researchers (which is odd, since the idea had been around 50 ...

Recapping the Alpha Architect Team Building Adventure

atop shingle peak
The Alpha Architect Team & Friends took a trip to the mountains last weekend to conduct a Freedom Hike--Our unique form of team-building. We were hosted by my youngest brother who runs an elk outfitting business -- Flat Tops Wilderness ...

The Folly of Stock Market Forecasting

The idea that one can predict stock market movements is somewhat insane. The major problem with stock market forecasting is the lack of evidence that it is possible. I am unaware of any market commentator that has been successful--on a ...

DIY Asset Allocation Weights: July 2016

DIY Weight_July
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. Exposure Highlights: Full exposure to domestic equities. Full exposure to ...

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