Alpha Architect Research Blog

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

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

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?

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.

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

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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