Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


“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 ...

How are ETFs Affecting the Stock Market: Is There a Dark Side to ETFs?

The Dark Side of ETFs? Sounds interesting, and in my humble opinion, an image of Darth Vader on page 1 would be a great addition to the paper. The paper, "Is there a dark side to exchange traded funds? An information perspective," written ...

The (Un-)Importance of Returns

In my last job with a large investment bank I built two global research teams and worked with high-profile clients around the globe. Having left the big leagues to start my own firm, my clients are more diverse in terms ...

How Asset Managers Are Adapting to Exchange-Traded-Funds

The ETF industry has been around for over 20 years at this point, but over the past 5 years the ETF industry has captivated the investment world. I've had a front seat on the action, launching over 650 exchange traded products ...

Visual Active Share: A Tool to Help Investors Make Better Decisions

We've talked extensively about the concepts of active share and active fee, which aren't flawless metrics, but they have elevated the discussion around identifying and understand the closet indexing phenomenon. To be clear, closet indexing is not necessarily a bad ...

Looking to Improve your Factor Investing? Examine the Trend of Profits

A few years ago, the profitability "quality" factor was originally proposed by Robert Novy-Marx. Here is a snippet from the abstract of the paper: Profitability, measured by gross profits-to-assets, has roughly the same power as book-to-market predicting the cross-section of ...

Factor Investing: The Fama French 5-Factor Model on Chinese A-Shares

Each year I teach my "seminar in investments" course at Drexel, which consists of the Masters in Finance students and a handful of geeky MBA students. The first few weeks of the course involve an introduction to various investment ...

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