Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Go Skew Yourself with Managed Futures

Wes' attempt at humor
Skewness is a statistical measure of how returns behave in the tails of a probability distribution.  Wikipedia has a more robust definition of skewness with some good visuals here. If an investment (e.g., stocks) has negative skewness this means that the ...

Factor ETF Due Diligence: A New Challenge for Some Investors

table-2
Factor investing seems to be everywhere, but the topic is still misunderstood by large swaths of the investing public. Tommi Johnsen and I would like to help bring clarity to the topic and help this blog empower investors through education. We ...

Using Trend-Following Rules to Enhance Factor Performance

Performance Improvement by MA Filter_Sharpe
After reviewing the Array performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it a whirl anyway... The comedian Victor Borge once famously observed, "Santa Claus has the right ...

Are you Ready to Witness Finance Research on Steroids?

academic-finance-research
Have you ever dreamed of meeting Ben Bernanke face-to-face? Would you love the chance to bump into Larry Summers in the hallway? Or better yet, have you dreamed of listening to a Nobel Prize winner present a detailed critique of ...

1042 Qualified Replacement Property: An Overview of ESOP Rollover Strategies

aa-1042-qrp-funds-flow
Executive Summary PDF of this document Employee Stock Ownership Plans (“ESOP”) offer a variety of liquidity, tax and operating benefits to business owners who are contemplating a sale or partial sale of their business. This article is intended to serve ...

Time Series Momentum, Volatility Scaling, and Crisis Alpha

2016-10-27-12_25_36-microsoft-excel-mf-tsmom-data-xlsx
If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and a lot more exciting than hacking through equity stock selection research where we already understand ...

Commodity Futures Investing: Complex and Unique

commodity-returns-from-gr
Commodity futures investing is arguably the most misunderstood asset class in the financial marketplace. We want to change that state of affairs. Commodity futures strategies are fascinating and can be beneficial to investors. However, commodity futures are often complex, involve leverage ...

An Interview with a Leading Academic Expert on ETFs

Fisher College
New Fellows Breakfast
Blackwell - Ballroom
APR-24-2014
Photo by Jay LaPrete
©2014 Jay LaPrete
We spend a lot of our time thinking and learning about ETFs, since they are a critical new investor weapon in the war for after-tax investment returns. And we are always trying to understand better what the academic community is ...

Interest Rates and Value Investing

10 Year ACM Treasury Term Premium and Nominal Ares
There is still no value in bonds today. The typical knee-jerk reaction to bold bond statements (such as the one above) is as follows:
  1.  This guy is a total idiot
  2. This guy is a total genius
I claim I'm simply ...

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References   [ + ]

1. We focused on Zahi for this interview, but Rabih and Francesco have some wonderful research articles at their websites.