Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Will ETFs Destroy Factor Investing? Nope.

hml beta
One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag the market (lose). This becomes an even more daunting (efficient market) statement when changed to ...

Tactical Asset Allocation Insights via the Geeks from Thinknewfound

corey image
The Alpha Architect mission is to empower investors through education.(1) We can't accomplish our mission without help. Fortunately, "finance twitter" and an explosion of bloggers ...

How to Explain Momentum with Rational Investors — It’s complicated.

prop1
A recent theory paper from researchers at NYU and Rutgers attempts to explain the empirical evidence on stock serial correlation (e.g., short-term reversal, long-term stock reversal, and classic stock momentum). The interesting wrinkle with this paper is the authors don't need to assume irrational ...

Our Introduction to Alpha Architect Video

Alpha Architect_Final_300
With help from Dacio Gutierrez, we finished our "Introduction to Alpha Architect" video.(2) The video maps out our mission, our core beliefs, and explains what we are trying to accomplish in the asset management business ...

Greatest Stock Picker of All Time: Buffett or Lynch?

Is Warren Buffett the greatest stock-picker of all time? Maybe not...
Who is the greatest stock picker of all time? Many investors knee-jerk reaction is Warren Buffett. Understandable response, but is that the answer? Maybe not... So who is the greatest investor of all time? A few years ago, I asked this ...

Active Versus Passive for the US and the Canadian Markets

Source: Morningstar
We all hear about the massive move away from active to passive in the US market. We also hear arguments that passive may eat the world and that active management is a zero sum game (seems like a reasonable hypothesis, ...

Factor Investing is More Art, and Less Science

capm3
Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. I can relate. Having studied finance for a long time (PhD, professor, books, articles, etc.), I think I ...

DIY Asset Allocation Weights: February 2017

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 Real Estate Commodities ...

Berkin and Swedroe’s Factor Investing Book

factor zoo
Well, I was midway through a formal book review on Larry and Andrew's new book, "Your Complete Guide to Factor-Based Investing," when I noticed that the team over at GestaltU already wrote the review I was going to write -- ...

Shooting Yourself in the Foot with Socially Responsible Investing

sri
Socially responsible investing (SRI). Environmental, Social, and Governance investing (ESG). Impact investing...and so on... These socially responsible investing concepts can be roughly described as portfolio strategies that allocate investment dollars based on ethical, social, sustainability, or other factors. This form of ...

Treasury Bills Outperform Most Stocks — Say What???

stock distribution study
Each morning we peruse a variety of research sites to see if there is anything exciting, new, and intriguing. Rarely does one find something that triggers a knee-jerk reaction like a recent paper by Hendrik Bessembinder. The title almost FORCES ...

1042 QRP: Weighing the High Cost of Floating Rate Notes

Weighing the High Costs of Floating Rate Notes as 1042 QRP
This cost-benefit analysis of floating rate notes as a 1042 QRP asset class will open your eyes to their high costs, ongoing fees and sub-optimal attributes ...

See you at the ETF Conference!

inside etf
Myself, Jack Vogel, and Yang Xu are at the ETF conference the next few days. See below for mugshots. Give us a shout if you are around! ...

A Tactical Asset Allocation Researcher You Should Know

Source: ppt deck
I'm a huge fan of hard-core academics that produce incredible research, and yet, very few are familiar with their research. I call these folks, "undiscovered gems." One might ask why undiscovered gems exist. On one hand, if a researcher produces incredible ...

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

loaded
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

jimmy
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 Channel ...

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 the ...

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. We ...

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.

References   [ + ]

1. See our piece on sustainable active investing and our other piece on the incentives created via delegated asset management
2. Dacio Gutierrez @ did a wonderful job!