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Alpha Architect
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Economy

Alpha Architect - Economy

9 | Follower

Alpha Architect

21.12.2024

Intangibles and the Performance of the Value Factor

Academics and fund managers have been trying to address the issues of intangibles not being on the balance sheet through various methods.

Alpha Architect

17.12.2024

Long-term expected returns: what the best way to forecast?

This blog examines hot to improve the gap in financial forecasting by improving the accuracy of long-term expected return (E(R)) predictions.

Alpha Architect

14.12.2024

Private Equity Versus Public Equity Returns -

Private equity is one asset class where there has been evidence of persistence in performance among both the top and bottom performers.

Alpha Architect

10.12.2024

Global Factor Performance: December 2024 -

Global Factor Performance: December 2024 - Factor Investing

Alpha Architect

10.12.2024

Momentum Determinants: do International factors matter?

Do momentum results extend to international markets? Read this blog and find out what the academic research says.

Alpha Architect

07.12.2024

Portfolio efficiency: does it help to diversify trend following?

Allocation to trend following can improve the efficiency of their portfolio by also adding allocations to the other uncorrelated strategies.

Alpha Architect

04.12.2024

DIY Trend-Following Allocations: December 2024 -

DIY Trend-Following Allocations: December 2024 - Index Updates

Alpha Architect

03.12.2024

Stock price movements: what role do expectations play?

Understanding the time-varying drivers of stock valuations has several practical implications for different market participants.

Alpha Architect

30.11.2024

Calendar Anomalies - do they matter in the long run?

The timing of stock purchases and sells does not matter to investors in the long run; you should invest whenever you have the cash to do so.

Alpha Architect

26.11.2024

Factors: are they repeatable?

It's not a "zoo" out there. For the majority of factors, the replication crisis can be examined and understood.

Alpha Architect

23.11.2024

Improving Low Volatility Strategies -

We discuss the research showing how volatility strategies can be enhanced by also screening for the value and momentum factors.

Alpha Architect

20.11.2024

European Financial Literacy: the shocking facts

Research confirms that barely one in two individuals, on average in the European Union, is financially literate.

Alpha Architect

16.11.2024

Private credit: will rapid growth lead the bubble to burst?

The growth rate of private credit has been so rapid that concerns about there being a bubble have been raised.

Alpha Architect

14.11.2024

Asset Growth: are traditional measures appropriate?

Are traditional measures of asset growth appropriate and persuasive indicators for investment activity in asset pricing models?

Alpha Architect

09.11.2024

Disappearing Index Effect: a result of Market Efficiency?

Once anomalies are well recognized by the market they decline and may even disappear, though limits to arbitrage can allow them to persist.

Alpha Architect

05.11.2024

Private Markets: is Fee Drag a real thing?

We examine the research on the costs of accessing private markets and whether or not fee drag is a real issue.

Alpha Architect

02.11.2024

DIY Trend-Following Allocations: November 2024 -

DIY Trend-Following Allocations: November 2024 - Index Updates

Alpha Architect

02.11.2024

Trading volume - can it be predicted?

The authors of the research discussed developed a machine learning model that can accurately predict trading volume for individual stocks.

Alpha Architect

31.10.2024

Should I be an ETF Advisor or Sub-Advisor? -

Should I be an ETF Advisor or Sub-Advisor? - ETF Operations

Alpha Architect

29.10.2024

LLMs: can they estimate core earnings from 10k reports?

We explore the use of LLMs to reduce the time, cost, and expertise needed for predicting core earnings from financial disclosures.

Alpha Architect

26.10.2024

Timing Anomalies: are the hurdles getting higher?

Returns to many anomalies are concentrated in the first month after information releases; these returns get weaker in the months that follow.

Alpha Architect

22.10.2024

FinTech Credit: How does it impact entrepreneurial growth?

What is the causal impact of FinTech credit on entrepreneurial growth? Read this article to learn what the research says.

Alpha Architect

19.10.2024

AI funds: do they outperform?

There’s no reason to think that the use of AI should lead to persistent fund outperformance; any advantages gained likely being short lived.

Alpha Architect

17.10.2024

AI Technologies: what is their impact?

We study the use and economic impact of AI technologies and propose a new measure of firm-level AI investments using employee resumes.

Alpha Architect

12.10.2024

The Sahm Rule: does it signal recessions?

Because the Sahm rule focuses solely on the unemployment rate, caution is warranted before assuming it is signaling a recession.

Alpha Architect

09.10.2024

Textual analysis: what does it tell us about the economy?

How can textual analysis of business news, specifically The Wall Street Journal (WSJ), be used to measure the state of the economy?

Alpha Architect

09.10.2024

Global Factor Performance: October 2024 -

Global Factor Performance: October 2024 - Factor Investing

Alpha Architect

05.10.2024

Cost of Index Replication: what investors are missing

Weaknesses, which result from the desire to minimize tracking error can lead to constraints and implementation costs that hurt index returns.

Alpha Architect

02.10.2024

DIY Trend-Following Allocations: October 2024 -

DIY Trend-Following Allocations: October 2024 - Index Updates

Alpha Architect

01.10.2024

Price targets: what role do P/E/ ratios play?

Do sell-side analysts use traditional present value methods to forecast stock prices? Find out by reading this blog!

Alpha Architect

28.09.2024

Skewness - can it identify successful mutual funds?

Being able to avoid persistent losers is not sufficient for successful management as skewness did not allow them to confidently select funds.

Alpha Architect

25.09.2024

We'll be at the Astoria Macro Summit - October 29th -

We'll be at the Astoria Macro Summit - October 29th - Conferences

Alpha Architect

24.09.2024

Private Equity: does it actually create value?

How does private equity perform as an asset class? What are the key factors that influence its success? Read and find out!

Alpha Architect

21.09.2024

Macroeconomic Regimes - are they a crystal ball?

Knowing what economic regime we might be in won’t provide you with the crystal ball to foresee what geopolitical events will drive markets.

Alpha Architect

18.09.2024

Trend-Following Filters – Part 8 -

Trend-Following Filters – Part 8 - Trend Following

Alpha Architect

10.09.2024

Global Factor Performance: September 2024 -

Global Factor Performance: September 2024 - Factor Investing

Alpha Architect

10.09.2024

Crypto vs traditional assets: investor differences

This study sheds light on how retail investors interact with emerging financial markets like cryptocurrencies compared to traditional assets

Alpha Architect

07.09.2024

Tax loss harvesting and long-short strategies

We examine the literature about if factor-based investing could improve on the tax benefits of direct indexing and tax-loss harvesting.

Alpha Architect

06.09.2024

Exploring Bond Tax Efficiency: Futures or Bond ETFs? -

Exploring Bond Tax Efficiency: Futures or Bond ETFs? - Research Insights

Alpha Architect

04.09.2024

Smart rebalancing: minimizing cost and maximizing return

Do rebalancing approaches based on non-calendar events improve the performance of high-turnover strategies?

home›Alpha Architect›Economy

Alpha Architect - Economy

Intangibles and the Performance of the Value Factor

Long-term expected returns: what the best way to forecast?

Private Equity Versus Public Equity Returns -

Global Factor Performance: December 2024 -

Momentum Determinants: do International factors matter?

Portfolio efficiency: does it help to diversify trend following?

DIY Trend-Following Allocations: December 2024 -

Stock price movements: what role do expectations play?

Calendar Anomalies - do they matter in the long run?

Factors: are they repeatable?

Improving Low Volatility Strategies -

European Financial Literacy: the shocking facts

Private credit: will rapid growth lead the bubble to burst?

Asset Growth: are traditional measures appropriate?

Disappearing Index Effect: a result of Market Efficiency?

Private Markets: is Fee Drag a real thing?

DIY Trend-Following Allocations: November 2024 -

Trading volume - can it be predicted?

Should I be an ETF Advisor or Sub-Advisor? -

LLMs: can they estimate core earnings from 10k reports?

Timing Anomalies: are the hurdles getting higher?

FinTech Credit: How does it impact entrepreneurial growth?

AI funds: do they outperform?

AI Technologies: what is their impact?

The Sahm Rule: does it signal recessions?

Textual analysis: what does it tell us about the economy?

Global Factor Performance: October 2024 -

Cost of Index Replication: what investors are missing

DIY Trend-Following Allocations: October 2024 -

Price targets: what role do P/E/ ratios play?

Skewness - can it identify successful mutual funds?

We'll be at the Astoria Macro Summit - October 29th -

Private Equity: does it actually create value?

Macroeconomic Regimes - are they a crystal ball?

Trend-Following Filters – Part 8 -

Global Factor Performance: September 2024 -

Crypto vs traditional assets: investor differences

Tax loss harvesting and long-short strategies

Exploring Bond Tax Efficiency: Futures or Bond ETFs? -

Smart rebalancing: minimizing cost and maximizing return

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Economy