Alpha Architect Research Blog

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

The Newest Alpha Architect Research and Insights


How to Measure Momentum?

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Since we've released our new book, Quantitative Momentum, we've received a handful of basic questions related to momentum--specifically as it relates to stock selection. At this point, the so-called "momentum effect" has occupied academic researchers for several decades. Researchers have found ...

What is the best “Risk-Off” Asset for Trend-Followers?

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So you're a trend-follower. Great. But here is a question: What do you invest in when your rules suggest "risk off?" Many investors suggest low duration cash or t-bills. Seems reasonable. But is it optimal? Perhaps we should invest in ...

Digging Deeper into Closed End Fund Investment Opportunities

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A couple of weeks ago, I received Franklin Templeton Investments' letter to shareholders of Franklin Limited Duration Trust (ticker FTF) imploring us to not let "self-serving" Saba (an activist shareholder) "DESTROY YOUR FUND" [their bold and all caps, not mine] by pursuing ...

Value Investing Got Crushed During the Internet Bubble — Here’s Why…

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The dot-com bubble of the late 90s was a wild time in the stock market. Internet stocks were trading through the roof, tech IPOs were a practically daily experience, and people quit their jobs to make millions day trading. And ...

Want to Learn Way Too Much About Stock Market Factors? Read This Paper.

Mispricing Factors
During the past few decades, newly discovered stock anomalies have been embarrassing existing factor models, such as the Fama-French 3-factor. As many readers know, each long or short "leg" of these popular long/short factor portfolios is generally constructed by ranking stocks on ...

Quantitative Momentum: A Guide to Momentum-Based Stock Selection

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The long wait is over. Our newest book--Quantitative Momentum--is finally here. After 2 years of research review, results replication, reverse engineering, internal idea generation, writing, editing, and final publication, we have a final product. We think the book will help fulfill ...

DIY Asset Allocation Weights: October 2016

Alpha Architect Tools DIY Investing Tool
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 ...

Active, Irregular Day in the Stock Market–What Else is New?

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A news article from September 29, 2016 -- 100 years ago, today. The lead article of the Evening Star highlights that there was an "active, irregular day in the stock market." The article is followed by commentary that essentially states that some ...

Introducing the Global Earnings Announcement Premium

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How do stock prices react to earnings announcements? Sometimes prices go up, and sometimes they go down. But here is a potentially more interesting question: What is the average performance across all stocks that have an announcement?  The question of whether stocks earn ...

Predicting Booms and Busts in Low Volatility Strategies

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Low volatility funds are some of the best performers in the market these days. As such, they have attracted renewed attention in addition to significant asset flows. (note: a refresher on low volatility investing is here, h.t. Eric Falkenstein). But a question remains ...

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