Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Looking to Improve your Factor Investing? Examine the Trend of Profits

A few years ago, the profitability "quality" factor was originally proposed by Robert Novy-Marx. Here is a snippet from the abstract of the paper: Profitability, measured by gross profits-to-assets, has roughly the same power as book-to-market predicting the cross-section of ...

Factor Investing: The Fama French 5-Factor Model on Chinese A-Shares

Each year I teach my "seminar in investments" course at Drexel, which consists of the Masters in Finance students and a handful of geeky MBA students. The first few weeks of the course involve an introduction to various investment ...

Rebalance Your Portfolio? You are a Market Timer and Here’s What to Consider

In this piece I examine various way in which an investor can think about their active market timing decisions, often labeled with the innocuous term "rebalancing." Rebalancing a portfolio is the finance version of "eat your vegetables" -- the advice ...

Warning: The US Stock Market is an Anomaly

U.S. stocks have delivered incredible stock market returns for a long time: the average compounded total return on the U.S. stock market has been nearly 10 percent per year from 1927 through 2016 (Using data from Ken French’s website on the market-capitalization ...

The Dirtiest Word In Finance: Market Timing

In 2015, Cliff Asness made the case that to earn attractive returns with proper risk-based diversification and low correlation to traditional markets, investors need to embrace ‘the three dirty words in finance,’ which he defined as leverage, short-selling, and derivatives ...

Book Review — The Undoing Project: A Friendship That Changed Our Minds

Psychology permeates nearly every area of human endeavor. In the world of investing, for instance, psychology can help us understand the systematically poor decision-making that drives the academic anomalies explored on this blog. One cannot be a student of investing ...

Dual Momentum with Stock Selection

Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks. This paper sounds similar to the paper Jack ...

Firm-Specific Information and Momentum Investing

When it comes to momentum investing, everyone is always looking for a better way to implement a momentum-based stock selection strategy (the same goes for a value strategy). We highlight a few methods in our book, Quantitative Momentumas well as on our ...

Evidence-Based Investing? Take that Alpha and Shove It.

Johnny Paycheck has a great country song centered around the following lyric: Take this job and shove it...I ain't working here no more... Campbell Harvey, in the 2017 AFA Presidential Address, elaborates an analogous comment on the current state of ...

DIY Asset Allocation Weights: March 2017

Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Strategy Date Domestic Value Domestic Mom Int'l. Value Int'l. Mom Real Estate Commodities ...

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