Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Taxes are more important than alpha.

Paying taxes is my least favorite topic. Figuring out how to not pay taxes is my favorite topic. Before I continue, if you want to read a detailed study on the subject, see the following: https://www.vanguard.com/pdf/icrpr.pdf If you want to read ...

Mission Impossible: beating the market over long periods of time

I've been thinking about "extreme" returns recently. After all, who wouldn't mind earning a few extra bucks in the stock market? We all hear about quantitative strategies that are supposed to earn us 20%, 25%, or even 30%+ returns over ...

Textual Analysis and Trading Strategies

When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks.
  • Tim Loughran and Bill McDonald
  • A published version of the paper  can be found here.
  • The authors keeps a version of the paper here.
  • The authors keep ...

More Magic Formula Analysis

As a professor by day, I spend a lot of time doing research and studying financial data. Recently, my research assistant and I have been digging deeper into the magic formula. We simply can't figure out why the results posted ...

Follow the Short-Sell Demand

Supply and Demand Shifts in the Shorting Market
  • Lauren Cohen, Karl B. Diether and Chirstopher J. Malloy
  • A version of the paper  can be found here.
  • This write-up was adapted from a research report by Haiping Huang, Lin Xiong, ...

How “Magic” is Magic Formula Investing?

The underlying concept of magic formula investing is a genius marketing platform, but it is unclear how "magic" the formula actually is--examine 'cheapness,' examine 'quality,' combine the analysis and buy the best value (get the most bang for your buck). The ...

The Ultimate Short Book.

Identifying Overvalued Equity
  • Messod Beneish and Craig Nichols
  • A version of the paper  can be found here.
  • Live implementation data can be found at Empirical Finance Data (Expected Q2 2011)
Abstract: We develop a profile of overvalued equity, and ...

Quantitative versus Fundamental Value–Let’s get ready to RUMMMBLE!

I like to laugh, and I hope you to do. We put together a short video highlighting the intellectual battle between quantitative investors and fundamental value investors. In future posts we will occasionally incorporate a short video describing various trading strategies--time ...

Long-Term Trendspotting: Demographics Matter

Demographic Changes, Financial Markets, and the Economy
  • Robert Arnott and Denis Chaves
  • A version of the paper  can be found here.
Abstract: It seems natural that the shifting composition of a nation’s population ought to influence GDP growth ...

Technical Analysis may actually work!

Note: This is a guest post by Tom Cleveland A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
  • Yufeng Han, Ke Yang, and Guofu Zhou
  • A version of the paper  can be found here.
  • Live implementation data can be ...

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