Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


How to Arbitrage the Oil/Natural Gas BTU Spread

The Turnkey PhD is always on the lookout for arbitrage opportunities, so when I showed him the below chart, which depicts the $/BTU spread between natural gas and oil, he got interested quickly: If you focus on the 2012 ...

Doing well by doing good? Employee satisfaction update

A while ago we highlighted a very interesting paper by Alex Edmans: http://blog.alphaarchitect.com/2011/04/satisfying-employees-a-satisfying-investment-strategy/ Alex has published a version of the paper that looks at the 1984 -2009 paper in the Journal of Financial Economics: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=985735 He has another version which ...

Gain and Loss Learning: Effects on Life Financial Outcomes

“From shirtsleeves to shirtsleeves in three generations.” - Andrew Carnegie Since time immemorial, humans have wondered at the factors that give rise to the accumulation of wealth.  Why do some people seem to have a knack for generating wealth, while others ...

MF Global: a Post-Mortem

I was stunned last year when MF Global, a major commodity futures and derivatives broker, declared bankruptcy.  At the time, I had an account at the firm, and I wondered how I was going to manage a transfer of my ...

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 ...

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