Alpha Architect Research Blog

Last updated on February 21st, 2016 at 04:45 pm

The Newest Alpha Architect Research and Insights


Value investing backtests: Our analysis of 13 AAII Value Strategies

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Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013 Abstract: ...

Book Review: Dual Momentum Investing

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The Momentum Investment Philosophy: An Innovative Strategy for Higher Returns with Lower Risk Book Overview If there is such a thing as a momentum ...

Harry Markowitz: An Equal-Weight Investor?

Jason Zweig's book, "Your Money and Your Brain" highlights an interesting conversation with Harry Markowitz. Dr. Markowitz is a Nobel Prize winner and his work on mean-variance-analysis laid the foundation for all of modern portfolio theory. Not too shabby for a ...

Private Equity Performance: Give me the facts, man.

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Private Equity Performance: What Do We Know? Abstract: We study the performance ...

Quantitative Value Research: Cyclically-adjusted B/M (CA-BM) Factor

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On the Performance of Cyclically Adjusted Valuation Measures Core Idea: Gray and Vogel ...

The Fascinating Relationship Between Low Volatility and Value

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A week ago, we posted an article that presented simulation performances of low-volatility strategies. The results illustrated that low-volatility portfolios do have higher returns and lower risks than high-volatility portfolios. The point of this research piece is to identify if the low volatility ...

Top Geeky Quant Blogs

Quant Blogs Check Out List Last week, we shared bunch lists of Quant Blogs from TheWholeStreet.com (Click here). The full list contains over 100 blogs, which can boggle the mind. Some of these blogs are no longer active. Thus, we ...

Afraid of Market Risk? Stop. Be Afraid of Bias.

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Stock markets have been sucking wind recently. S&P R2K When I listen to the nightly news or indulge in 30 seconds of CNBC during the day, it seems as though the world is coming apart at the seams. Perhaps a correction ...

CEO Indiscretions: Sex, Lies, and Firm Value

2014-09-11 11_37_52-The Agency Costs of Managerial Indiscretions Sex, Lies, and Firm Value.pdf - Ado
The Agency Costs of Managerial Indiscretions: Sex, Lies, and Firm Value Abstract: ...

Low-Volatility Investing: Avoid High Beta Stocks. Period.

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We've posted simulation and research-based studies on value and momentum. The evidence was pretty clear: never buy expensive stocks (Value) and ride winners and cut losers (Momentum). Another common "anomaly" is the low volatility anomaly. Empirical research here and here shows that low-volatility ...

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.