Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Where are the Focused Active Managers?

We highlighted a few weeks ago that Smart Beta is More Expensive Than You Think. Smart Beta and other closet-indexers are everywhere, but what happened to old-fashioned high-conviction active management in the mid/large cap space? Last I checked the market isn't ...

Avoid the Experts: A Lesson in CFO Overconfidence

Managerial Miscalibration Abstract: Using a unique 10-year panel that includes more than ...

A Modification to the Flexible Asset Allocation Model

Ilya Kipnis is the author of QuantStrat TradeR. We like the work he does on his blog and his willingness to share his source code on various algorithms with the public. We asked Ilya if he'd be interesting in sharing some ...

Understanding How ETFs Trade in the Secondary Market

An ETF's liquidity has everything to do with the underlying liquidity of the positions the ETF holds. This has a few implications: Pay attention to the liquidity on the holdings of your ETF--this will explain the spreads in the secondary ...

The Robust Asset Allocation (RAA) Index

Robust asset allocation solutions should be relatively simple, minimize complexity, and be robust across different market regimes. Simultaneous to these requirements, the solution must be affordable, liquid, simple, tax-efficient, and transparent, otherwise, many of the benefits of the solution will ...

Insights from an ETF Strategist: Brad Thompson, CFA

We've been interviewing various movers and shakers in the industry to help everyone understand the "inside baseball" in financial services. Brad and I met last week. We were both on the Sirius XM radio show: Behind the Markets with Jeremy Schwartz ...

Cyber Monday–Quant Value @ $19.99 is back ON!!!

We posted last week that we lost our entire inventory of books we had at Amazon. Quant Value $19.99 Book Deal is Over... But... due to overwhelming outreach from our readers, we are going to push out the entire inventory we ...

Thanksgiving Day NFL Gamblers–Take Notes!

Efficiency and the Disposition Effect in NFL Prediction Markets Abstract: Examining NFL betting ...

Quant Value $19.99 Book Deal is Over

Wow. We blew out 300+ books in a few weeks. There are a lot more quant geeks out there than I originally suspected. Holy mackerel! Thanks for all the support and we hope you enjoy Quantitative Value. If you are ...

E.F. Shumacher on Complexity

E.F Schumacher has a great book I've been exploring: Small is Beautiful: Economics as if People Mattered. To be completely honest, the reason I stumbled upon Schumacher is due to the title of his book--I got a chuckle when I ...

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