Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Valueinvestorsclub.com Performance Update

If you are unfamiliar with Valueinvestorsclub.com and you call yourself a "value investor," you've been missing out on the greatest value communities of all time. VIC has really made an impact on the investment landscape: BusinessWeek Article Barrons Article Financial ...

Out of this world Macroeconomic Data

Measuring Economic Growth from Outer Space
  • Vernon Henderson, Adam Storeygard, and David Weil.
  • A recent version of the paper can be found here.
Abstract: GDP growth is often measured poorly for countries and rarely measured at all for ...

Risk Parity for Dummies

Risk parity asset allocation systems seem to be all the rage these days. Bonds vs Stocks? If you are unfamiliar with the strategy, Mebane Faber has some great videos outlining how risk parity works. Here is a source paper with ...

Dissecting Net-Net Returns over the past 6-months

Paul Sepulveda has an interesting guest post for us today. Paul dissects the recent performance of net-nets and identifies some interesting tidbits. Below I have posted the summary of his research, but if you are interested in digging into the details, ...

Exploiting Option Information in the Equity Market

Exploiting Option Information in the Equity Market Guido Baltussen, Bart Van Der Grient, Wilma De Groot, Erik Hennink and Weili Zhou http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2001461 Key Points:
  • Long/Short Value-Weighted alpha estimates of 118bp monthly. Sample covers data from 1996 to 2009.
  • Values ...

Are stock pickers better than Computers?

Empiritrage has a detailed research piece on the question of whether or not quantitative value can beat fundamental stock-pickers. http://empiritrage.com/2012/03/24/man-vs-machine-quantitative-value-or-fundamental-value/ Here are a few highlights: First, some summary statistics. MF_EW_Top10% represents a portfolio of Magic Formula stocks with market caps ...

How to Arbitrage the Oil/Natural Gas BTU Spread

The Turnkey PhD is always on the lookout for arbitrage opportunities, so when I showed him the below chart, which depicts the $/BTU spread between natural gas and oil, he got interested quickly: If you focus on the 2012 ...

Doing well by doing good? Employee satisfaction update

A while ago we highlighted a very interesting paper by Alex Edmans: http://blog.alphaarchitect.com/2011/04/satisfying-employees-a-satisfying-investment-strategy/ Alex has published a version of the paper that looks at the 1984 -2009 paper in the Journal of Financial Economics: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=985735 He has another version which ...

Gain and Loss Learning: Effects on Life Financial Outcomes

“From shirtsleeves to shirtsleeves in three generations.” - Andrew Carnegie Since time immemorial, humans have wondered at the factors that give rise to the accumulation of wealth.  Why do some people seem to have a knack for generating wealth, while others ...

MF Global: a Post-Mortem

I was stunned last year when MF Global, a major commodity futures and derivatives broker, declared bankruptcy.  At the time, I had an account at the firm, and I wondered how I was going to manage a transfer of my ...

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