Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Long-Short Investing Might Shorten Your Investment Lifespan

Over the past several decades, academics have identified numerous variables that seem to predict future expected returns. This has led to a proliferation of so-called "factors" identified in the literature, and created what John Cochrane has labeled the "factor zoo." Now ...

Calling All Veterans Interested in Finance: How Can we Help?

Today is the 241st birthday of the Marines, which is celebrated by all Marines around the world. Tomorrow is Veteran's Day. A great time of year to reflect and thank all veterans for keeping America awesome. As former Marines, we wanted ...

Earth to Passive Investors: Lunch is Never Free.

Imagine the following scenario:
  • A strategy that outperforms everything.
  • An ability to scale the strategy at no costs.
  • A beating drum highlighting the infallible logic of the strategy.
  • And the best part is this strategy costs an investor next ...

DIY Asset Allocation Weights: November 2016

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 ...

Value Investing using Enterprise Multiples — Is the Premium Due to Risk and/or Mispricing?

At Alpha Architect, we are big fans of Value investing (and Momentum). In the past, Wes and I examined which valuation measure had the largest spread between Value and Growth firms. The evidence showed (updated results here) that Enterprise Multiples had ...

The Rebalance Bonus for Value and Momentum Porfolios

rebalance bonus
A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value and momentum stocks? In concrete ...

Book Review — Common Stocks and Common Sense

Investing can perhaps be best learned through a combination of applied practice and continuous study. While there is no substitute for real-world experience and the valuable lessons learned from making and losing money, reflecting on the wisdom of those who ...

How to Turn an Engineer into a Quantitative Investor

We receive multiple requests from readers looking to break into the finance industry. Quite often the reader is currently working in a traditional engineering job and looking to make a career switch. The question we often hear is “How does ...

Reflexivity and the Feedback Effect in Financial Markets

Eugene Fama's Efficient Market Hypothesis argues that because stock prices follow a "random walk," future price behavior cannot be predicted. In his seminal paper, "Random Walks in Stock Market Prices," he explains the relationship between prices and fundamentals: If the random-walk ...

Evidence-Based Nutrition

Evidence matters. Consider the history of evidence about the universe. In the days of Ptolemy in 100 AD, a "geocentric" model described the universe, in which the sun, moon and stars all revolved around the earth. Watching bodies revolve in ...

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.