Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Insider Trading–Congress loves it!

60 Minutes has a great segment explaining the lack of insider trading rules for Congressmen. http://www.cbsnews.com/video/watch/?id=7388130n&tag=contentBody;storyMediaBox Amazing, isn't it? You can sit on the healthcare committee, learn that the new bill will cut insurance companies profits by 99%, and short ...

Risk-Managed Momentum

Last week we discussed the possibility that "momentum is finished." Astute readers of the blog generally agreed with the concept, but also pointed out that risk management techniques can potentially save momentum strategies. Other observers--to include a Wharton finance professor ...

Momentum Finished?

CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This work inspired me to run the Size, Value, and Momentum factors through our systems and ...

How to Use Our Dual Class Share Arbitrage Module

Recent market volatility is generating an anxiety in the investing public that is almost palpable, and many are searching for ways to generate returns while managing down their exposure to equity markets.  There are many ways to manage market risk ...

Shorting the Magic Formula

I just got back from the Value Investing Congress--http://www.valueinvestingcongress.com/. The event was exceptional and very thought-provoking. While Einhorn's annihilation of Green Mountain Coffee was impressive (here is Einhorn's theme song), and Whitney Tilson's outline of the opportunity in Berkshire Hathaway ...

Neuroeconomics Post! The Endocrine System and Shifting Risk Preferences

The Chinese philosopher Sun Tzu counseled us to "know thine enemy."  At Alpha Architect we are always curious about anything that affects our financial decision making, since we believe the enemy is often us.  Recently I did some reading about a ...

Real-Time Market Efficiency

Market Efficiency in Real-Time
  • Jeffrey Busse and Clifton Green
  • A recent version of the paper can be found here.
Abstract: The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to study the efficient market ...

Academic Alpha vs. Practical Alpha

WARNING: After reading this you will no longer believe money grows on trees. I love working on this blog--great outlet to discuss cool research, share knowledge, meet interesting people, and monitor spam comments for 2 hours a day. Nonetheless, I ...

Debunking Semi-Strong Market Efficiency

Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar
  • Gur huberman and Tomer Regev
  • A recent version of the paper can be found here.
Abstract: A Sunday New York Times article on a ...

The Shiller P/E Ratio

Robert J. Shiller, an American academic, made waves in the economic community when he correctly anticipated the sharp decline in equities in 2000 in his book “Irrational Exuberance.”  In the book, one of Shiller’s basic tools for thinking about equity ...

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