Alpha Architect Research Blog

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

The Newest Alpha Architect Research and Insights


When Academics Disagree on Momentum Investing

momentum echo 1
The academic standard for intermediate-term momentum measurement is "12_2 momentum:" simply sort all stocks based on a stock's total return over the past twelve months, ignoring the last month. (a discussion is here and here) However, a few years ago Robert ...

Time Series Momentum and Volatility Scaling

ts paper
There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series Momentum" paper (some background here). The paper is behind a paywall, but luckily there ...

March for the Fallen. Come Join the Alpha Architect Team!

2016-08-26 14_58_14-March for the Fallen
Looking for a great challenge on a Saturday morning on September 24th? Come join some members of the Alpha Architect team and our tribe of friends/clients when we take part in the “March for the Fallen” on Saturday, September 24, 2016. We're aiming ...

Managed Futures: Understanding a Misunderstood Diversification Tool.

3 - ManFut Crisis Graph
In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), and I analyze the performance of US stocks during really bad months for US bonds.  A quick ...

Optimizing Mean Variance Optimization

Shrinkage Theory for Portfolio Optimization with Correlated Geometric Brownian
In the 1950s, Harry Markowitz proposed a method to identify the optimal trade-off between risk and return for a portfolio. The theory is broadly termed, "Mean-Variance Optimization (MVO)." Sam Wittig, a Drexel graduate I advised and who did some research for Alpha Architect, shared with ...

Dealing with Delistings: A Critical Aspect for Stock-Selection Research

delisting
Eric Crittenden was recently on Meb Faber's podcast  and he tells a compelling story about the perils of survivor bias in backtesting. Eric's story begins when he is an undergraduate working on a project for a quantitative finance course. The professor ...

Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs

transaction costs and anomalies
Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following:
  1. "size," or a portfolio of small minus big stocks ...

Asset Pricing with–and without–garbage.

garbage
If you are into consumption-based asset pricing theory and the associated empirical attempts to reconcile the theory with the data from the realized equity premium, garbage is a fascinating subject. So let's talk about asset pricing both with--and without--garbage. First the original ...

Taming the Momentum Investing Roller Coaster: Fact or Fiction?

Intermediate-Term Price momentum, originally researched by Jegadeesh and Titman in 1993, documented a how recent stock returns tended to continue in the future. Stocks that were past winners (on average) continue to do well, while stocks that were past losers ...

Alpha Architect 2 for 1 book deal — cheap summer reading!

Yang Xu on Vacation. Enjoying his copy of Quantitative Value and DIY Financial Advisor
Readers: We know a lot of you are out on vacation in August and probably having the time of your life (eg., see below). But just because you are on vacation, doesn't mean you should stop learning! So ask yourself ...

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