Alpha Architect White Papers

Alpha Architect White Papers


An Introduction to Investing and How to Use Our Site

What We Do? We are a research-intensive asset management firm ...

The Alpha Architect Value Proposition

Mission: Deliver Affordable Active Alpha. Firm overview (PDF) PDF of this document Executive ...

Behavioral Finance and Investing: Are you Trying Too Hard?

Are you trying too hard? The case for systematic decision-making1 2 ...

The Sustainable Active Investing Framework: Simple, But Not Easy

The debate over passive versus active investing is akin to other ...

Factor Investing is More Art, and Less Science

Albert Einstein is reported to have said the following: The ...

The Quantitative Value Investing Philosophy

Benjamin Graham, who first established the idea of purchasing stocks ...

Value Investing: Never Buy Expensive Stocks. Period.

We did a recent internal simulation study on the performance ...

The Quantitative Momentum Investing Philosophy

Eugene Fama, the 2014 co-recipient of the Nobel Prize in ...

Momentum Investing: Ride Winners and Cut Losers. Period.

Two weeks ago, we posted a simulation study on the performance of cheap ...

“Alternative” Facts about Formulaic Value Investing

A new paper, "Facts about Formulaic Value Investing," is making ...

The Robust Asset Allocation (RAA) Index

Robust: capable of performing without failure under a wide range ...

Avoiding the Big Drawdown: Downside Protection Investment Strategies

Chasing the Investing Unicorn: Give me "High Returns with Limited ...

The World’s Longest Trend-Following Backtest

Were in the middle of an academic research project and ...

A Simulation Study on Simple Moving Average Rules

The mention of technical analysis in the halls of academia can ...

Not so Simple: Valuations and Low Volatility Strategies

Low volatility funds are everywhere. The reasons for their proliferation ...

The Fascinating Relationship Between Low Volatility and Value

A week ago, we posted an article that presented simulation performances of ...

Low-Volatility Investing: Avoid High Beta Stocks. Period.

We've posted simulation and research-based studies on value and momentum ...

Is the Low Volatility Anomaly driven by Lottery Demand?

A few years ago I wrote a summary on a ...

Tactical Asset Allocation: Beware of Geeks Bearing Formulas

How Should I Tactically Allocate my Assets? A lot of ...

How to Build Expected Return Forecasting Models

Investors are enamored with various investment houses and personalities who ...

Can Market Valuations Be Effective Market-Timing Signals?

We know that valuation metrics such as the CAPE, or ...

Tactical Asset Allocation During Cheap Markets

In our last post, we looked at tactical allocation using ...

Creating an Alternative Investment Strategy with Value and Momentum

Anyone who follows our website should be familiar with the extensive ...

How to Combine Value and Momentum Investing Strategies

How to Combine Value and Momentum Investing Strategies Part 1/2 ...

Why We Built An Active Robo-Advisor and Why You Should Too.

Assuming you haven't been living under a rock, you've almost ...

1042 Qualified Replacement Property: An Overview of ESOP Rollover Strategies

1042 QUALIFIED REPLACEMENT PROPERTY: AN OVERVIEW OF ESOP ROLLOVER STRATEGIES
Executive Summary PDF of this document Employee Stock Ownership Plans ...

How to Create a Tax-Efficient Hedge Fund

Bad News: The market currently offers hedge fund equity exposures that ...

Does the size effect exist? Probably.

The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene ...

Commodity Futures Investing: Complex and Unique

Commodity futures investing is arguably the most misunderstood asset class in ...

Rise of the Machines: Predicting Winners and Losers on the Robo-Advisor Battlefield

The recent BlackRock purchase of FutureAdvisor pushed robo advisors to the front page ...

How to Pick Smart Beta ETFs

It seems that a new exchange-traded fund is born every ...

Understanding How ETFs Trade in the Secondary Market

Our mission is to empower investors through education. So train ...

How to Use Active Funds in a Diversified Portfolio

Active management has been out of favor for a while--high ...

Distribution Economics: Understanding Wall Street’s Conflict of Interest Problem

"Competition is a sin." --Attributed to John D. Rockefeller Bottom ...

How many stocks should you own? The costs and benefits of Diversification

"How many stocks should I own in my portfolio?" This ...

Even God Would Get Fired as an Active Investor

Empirical asset pricing research can sometimes get monotonous because you ...

Mission Impossible: Beating the Market Forever

Mission Impossible: Beating the Market Forever The remarkable fact is ...

From the Frontlines to Finance: How the Marines Shaped Our Investment Philosophy

Executive Summary: Serving in the Marine Corps was an unforgettable ...

A Framework for Investment Manager Selection: Stick to the FACTS

Stick to the FACTS A framework for evaluating investment managers Wesley ...

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.