Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Are Mutual Funds Short-Seller Whipping Boys?

Do Short-Sellers Profit from Mutual Funds? Evidence from Daily Trades Abstract: Using ...

Chatting Quant Value @ Wharton Today–Business Radio

http://businessradio.wharton.upenn.edu/programs/behind-the-markets-with-jeremy-siegel/ I'll be chatting with the "Jeremys" on Sirius Radio on Business Radio Channel 111. @ 1pm EST Hosts Jeremy Siegel Professor Jeremy Siegel is a world-renowned expert on the economy and financial markets. The author of the award-winning investment ...

ETF Market Making–Very Cool Insider Insights

Have you ever wondered how ETF trading actually works? Most people think ETFs trade "just like stocks." These people are wrong. While there are similarities between individual stock issues and ETF issues, there are key differences in how ETFs are traded and ...

Diversification Matters: IVY 5 Year-To-Date

It pays to be diversified!
  • SPXT = S&P 500 ==> win
  • NDDUEAFE = EAFE ==> Loss
  • FNERTR = REIT ==> huge win
  • SPGSSCITR = GSCI ==> huge loss
  • MLT1US10 = 10-Years ==> win
...

Earnings Seasonality and Stock Returns

Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns Abstract: ...

CNBC @ 5am–I know you were all watching!

They kicked me; they heckled me; they drug me out of bed at 4am... ...and all I told them was that market returns going forward are likely going to be a lot less than they have been in the past ...

Mission Impossible: Beating the Market Forever

A quick glance at the most recent Berkshire Hathaway annual report (PDF) highlights an amazing data point: Warren Buffett has compounded at 19.7% a year from 1965 through 2013; the S&P 500 Total Return Index has compounded at 9.8% a ...

Does Doubling Down Work?

Doubling Down Abstract: I demonstrate that when investment fund managers “double down” on positions ...

Quantitative Value Research: NCAV/MV Factor

Testing Benjamin Graham's Net Current Asset Value Strategy in London Abstract: It is ...

Does Option Implied Volatility Predict Stock Returns?

The Joint Cross Section of Stocks and Options Abstract:  Stocks with ...

Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. There is a risk of substantial loss associated with trading stocks, commodities, futures, options and other financial instruments. Please click Full Disclaimer for additional disclosures.