Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Will My Risk Parity Strategy Outperform?

Will My Risk Parity Strategy Outperform?
  • Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg
  • A version of the paper can be found here.
Abstract: "We gauge the return-generating potential of four investment strategies: value weighted, 60/40 fixed ...

Analyzing Speech to Detect Financial Misreporting

Analyzing Speech to Detect Financial Misreporting
  • Jessen L. Hobson, William J. Mayew, Mohan Venkatachalam
  • A version of the paper can be found here.
Abstract: "We examine whether vocal markers of cognitive dissonance are useful for detecting financial misreporting ...

Tianzi’s First Post

Hello readers, we have a new contributing author. Tianzi is her name and reading cool academic papers is here game. Here is her first post. She'll be posting updates and analysis throughout the summer. If you have any special requests, ...

Predicting Fraud by Investment Managers

Predicting Fraud by Investment Managers
  • Stephen Dimmock and William Gerken
  • A recent version of the paper  can be found here.
Abstract: We test the predictability of investment fraud using a panel of mandatory disclosures filed with the SEC ...

Managing the Risks of Permanent Capital Impairment (Part 1 of 4)

This post is the first in a series that will discuss Turnkey Analyst’s approach to finding the holy grail of quantitative finance – a robust, reliable method of identifying low risk, high quality, undervalued stocks that generate market beating returns ...

Quantitative Value vs. Magic Formula Stocks

Here is a quick screen comparison between our Quantitative Value (described here) and the Magic Formula (screen results from here): click to enlarge click to enlarge Remarkably, there are only 6/30 names that overlap. In the coming months, we'll ...

Returns to Buying Negative TEV Firms

Who doesn't love the idea of buying something for nothing? Jack and I were intrigued with the concept of something for nothing and took a shot at answering an interesting research question: How do negative total enterprise firms perform? In theory, a ...

The Death of Twitter Trading?

Almost a year ago, we posted a few articles on strategies focused on using Twitter as a mechanism to trade stocks. Our basic conclusion was "BS!" Here are the original articles: And an original quote: In ...

Calculating Value Portfolios–Why Details Matter

The Devil in HML's Details Cliff Asness and Andrea Frazzni http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2054749 Key Points:
  • Using a more real-time estimate for book-to-market (B/M) matters.
  • Alphas from using a more real-time B/M have an alpha of over 300bps after controlling for risk ...

Do Cash-Adjusted P/E Ratios Work?

A guest speaker in my lecture last week mentioned something interesting: Apple looks like a growth stock on a P/E basis, but when you strip out the cash horde and examine the cash-adjusted P/E ratio, Apple is selling at 7-8x ...

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