Alpha Architect Research Blog

Last updated on February 21st, 2016 at 04:45 pm

The Newest Alpha Architect Research and Insights


Warning: The US Stock Market is an Anomaly

equity risk premium puzzle -- returns too high
U.S. stocks have delivered incredible stock market returns for a long time: the average compounded total return on the U.S. stock market has been nearly 10 percent per year from 1927 through 2016 (Using data from Ken French’s website on the market-capitalization ...

The Dirtiest Word In Finance: Market Timing

TSMOM Beta
In 2015, Cliff Asness made the case that to earn attractive returns with proper risk-based diversification and low correlation to traditional markets, investors need to embrace ‘the three dirty words in finance,’ which he defined as leverage, short-selling, and derivatives ...

Book Review — The Undoing Project: A Friendship That Changed Our Minds

Psychology permeates nearly every area of human endeavor. In the world of investing, for instance, psychology can help us understand the systematically poor decision-making that drives the academic anomalies explored on this blog. One cannot be a student of investing ...

Dual Momentum with Stock Selection

momentum horserace
Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks. This paper sounds similar to the paper Jack ...

Firm-Specific Information and Momentum Investing

firm-attributes-and-momentum-fig-1
When it comes to momentum investing, everyone is always looking for a better way to implement a momentum-based stock selection strategy (the same goes for a value strategy). We highlight a few methods in our book, Quantitative Momentumas well as on our ...

Evidence-Based Investing? Take that Alpha and Shove It.

harvey calling out finance
Johnny Paycheck has a great country song centered around the following lyric: Take this job and shove it...I ain't working here no more... Campbell Harvey, in the 2017 AFA Presidential Address, elaborates an analogous comment on the current state of ...

DIY Asset Allocation Weights: March 2017

Alpha Architect Tools DIY Investing Tool
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 ...

Don’t Make a Bar Bet with Warren Buffett

buffett money
This past weekend Warren Buffet made some headlines that has the financial world spinning:
  • Berkshire Hathaway released its annual report...which is always a great read.
  • The (in)famous bet of Buffett's that the S&P would outperform a basket of hedge funds ...

Active Managers Should Love Passive Investing–It Makes Them Better!

Photo courtesy of Wes. All complaints can be directed towards him.
Blaming the disappointing performance of active management on the exponential growth of passive indexing (defined here) is not a new idea. However, a recently published paper in the Journal of Financial Economics,(3) provides a new and notable take on the ...

Active Versus Passive Investing: Can we End the Confusion?

active index and passive index
I've noticed something profound the past few years: depending on your audience, the definition of active investing and passive investing is different. To a financial journalist, active means "human stock-picker," and passive means "computer stock-picker." In addition, financial journalists often ...

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