Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Sister-in-Law’s MOTIVATING blog: http://healthyhungryhappy.com/

http://healthyhungryhappy.com/ This is a bit of shameless promotion, but I like to support entrepreneurs--they make the world go round and have the courage to "get in the ring." It is not the critic who counts; not the man who points out ...

How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha

Wow, Turnkey Analyst and I have been buried at Turnkey Analyst working on a variety of research projects and hanging out with our families over the holidays. Sorry about being MIA. To kick off the new year we wanted to ...

Academic Alpha: Value Creation: Hedge Funds as Activists.

In “Value Creation or Destruction?  Hedge Funds as Shareholder Activists,” by Chris Clifford, the author examines and measures the powerful effects created by hedge fund activists. Clifford observes that hedge funds may be better positioned to drive excess returns through activism ...

Academic Alpha: Real Estate and Stock Returns

The following summary is from our academic alpha database at http://alpha.turnkeyanalyst.com/ideas/55. Title: Corporate Real Estate Holdings and the Cross Section of Stock Returns Authors: Selale Tuzel Category: Equity alpha Alpha: .50-.75% Alpha remarks: Table 6 suggest an annual alpha of 8.22%, ...

Magic score: Long-Term vs. Short-Term

Security Analysis, by Graham and Dodd, is a classic text on value investing. We love it. And despite our outward "quant" appearance, everything thing we do with Turnkey Analyst has some relation to the fundamental principles and concepts outlined in ...

The Framing Effect and Your Portfolio

When individuals try to understand or explain an event, they sometimes employ “frames,” which are interpretive structures or filters that help them make sense of the world around them.  The use of frames is a heuristic, or shortcut, that provides ...

Magic Formula and MA Rules: A Bad Combo!

Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related to things we do with our investment management business. Nonetheless, one of the most intuitive ...

Volcker Rule and Muni-Bond Liquidity–back of the envelope opinion.

Volcker Rule May Adversely Impact Munis http://www.bondbuyer.com/issues/120_225/volcker-rule-impact-munis-1033412-1.html The municipal bond market makers are making the case that eliminating prop desks will somehow decrease liquidity and screw up the market in municipal bonds. Translation: We love to rake our customers over the coals ...

Long-Term Market Return Projections

John Hussman has an interesting piece on predicting long-term market returns: http://hussmanfunds.com/wmc/wmc050222.htm The article is a bit dated (2005), but still fascinating. In the short piece Hussman suggests that the projected annual total return on the S&P 500 over T ...

Investigating Equity and Bond Allocation Models

We've been toying with models that will predict the stock market: better known as "cold fusion." There is an incredible amount of research on the subject and nobody seems to be convinced one way or the other that the market ...

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