Alpha Architect Research Blog

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

The Newest Alpha Architect Research and Insights

Why a Stock Market Double Would Not be Weird

This morning we got a sad note from a famous former hedge fund manager (a friend of the firm who shall remain nameless): What if the [stock] returns are never positive again? Just a question from a deeply scarred former investor. Indeed, ...

Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability

correlation matrix of predictor variables
The prospect of being able to successfully anticipate and predict future market returns is irresistible to practitioners and academics alike, although success has proven elusive. Many have fallen short while seeking this "holy grail" of investing. For instance, Goyal and Welch (2008) ...

How Dumb Money and Smart Money Drive Stock Market Anomalies

2016-08-25 12_20_39-smartdumb18 - Copy.pdf - Adobe Acrobat Pro
Stock market anomalies behave in mysterious ways. Over long periods of time they can provide expected outperformance versus passive indexes, but in the short run they can experience bouts of gut-wrenching underperformance (e.g., value and momentum). What accounts for this sporadic performance ...

From Physics to Finance: Adam Tkaczuk Joins Alpha Architect

We wanted to formally welcome the newest addition to the Alpha Architect team, Adam Tkaczuk, who joins us as Director of Portfolio Services. Adam started off in physics, transitioning his quantitative skills to assist family offices, Fortune 100 firms and ...

Was the Financial Crisis Really a Valuation Crisis?

2016-09-06 10_52_51-The Non-Credit Crisis.doc [Compatibility Mode] - Microsoft Word (Product Activat
Most people look back at the dot-com bubble and acknowledge valuations were elevated far above historical norms. Investors ignored historically useful fundamentals, such as earnings and book value, and started relying on measures like eyeballs and clicks. Investors really started to believe, ...

Do Investment Consultants’ Recommendations Add Value? Nope.

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.
Just got done perusing the latest issue of the Journal of Finance . As is the typical case, 50% of the articles can be read if you have a PhD in math, but the other 50% are readable. Kinda. Here is a ...

Value investing is quite possibly the worst idea…EVER

We believe deeply in the value philosophy as first described by Ben Graham: view stocks as ownership in a firm; buy with a margin of safety; avoid stories; think independently; and so forth. In fact, I was so intellectually stimulated by ...

The Expensive Lesson of Closet Indexing: Avoid Low Active Share and High Expenses

The promise of active investing is compelling: the opportunity to earn higher risk-adjusted returns! And paying a fee to an active manager--who is doing something unique--can make sense. And as we know, the only way to beat a benchmark is by being different from ...

Is momentum investing dead? Or is it just painful?

Sometimes even the best evidence-based active investment strategies can create a formidable challenge to investors seeking to exploit them. Case in point -- momentum investing.  On the one hand, stock-selection momentum strategies (here is a link to more information) can have ...

DIY Asset Allocation Weights: September 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 ...

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.