Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Chinese Market Anomalies – The Factor Killer?

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people getting rich around them. And ...

Do Trading Costs Destroy Factor Investing?

There are a number of recent studies that propose a more rigorous criteria for evaluating the practical significance of factors published in academic research journals. First, Harvey, Liu, and Zhu (2015) argue that a t-stat of 3 should be replacing the ...

(Fight) the Fed Model

Over the past few years, we've been asked questions related to the relationship between stock prices and interest rates. Forms of the question typically look like the following:
  • If interest rates rise, what happens to stock prices?
  • What is the relationship between stocks ...

Alpha Architect Index Data/Information

We have updated the information associated with our indexes and are making the data more easy to access. We have the following index programs:
  • Alpha Architect Quantitative Value Indexes (Domestic and International)
  • Alpha Architect Quantitative Momentum Indexes (Domestic and International)
  • Alpha ...

Swedroe Spotlight: Enhancing Momentum Strategies Via Idiosyncratic Momentum

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. The momentum effect is one of the most ...

The Capacity of Smart Beta Funds — Larger than Previously Thought?

ETFs and factor investing are on the tip of everyone's tongue these days. Factor investing is being couched as a "new" thing, despite the fact that institutional investors have been deploying these strategies for years. (See this working paper discussing ...

Tactical Asset Allocation and the US 60/40 Benchmark

Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase allocation to assets expected to ...

Academic Factor Exposure Versus Fund Factor Exposure

Tomorrow I'll be sitting with Pat O'Shaughnessy and Ben Johnson to discuss "Straight Talk About Smart Beta." Here is a link to the big Morningstar event. In preparation for our discussion we were spitballing ideas and Ben brought up the ...

Visualizing IRA Rules Using Flowcharts

The rules around IRAs are really complicated and Wes asked if we could share our flow charts on the subject so others could potentially benefit from the work we've done to help make the IRA decision tree more manageable. There ...

Current Research on How ETFs Can Affect Financial Markets

We've heard a lot of questions recently from clients and readers regarding how ETFs might affect financial markets. The short answer is "nobody knows." The long answer is researchers are trying to figure it all out. In this piece we ...

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