Yang Xu

//Yang Xu

About Yang Xu

Mr. Xu is currently a managing member of Alpha Architect, where he leads the capital markets group and assists in quantitative research. Mr. Xu has unique skills related to "big data" analysis. His recent research investigates various proprietary trading algorithms, tactical asset allocation models, and longer-term security selection models. Prior to joining Alpha Architect, Mr. Xu was a Principal Data Analyst at Capital One, where he was a member of the Basel II data analysis team. Mr. Xu graduated from Drexel University with a M.S. in Finance, and from the University of International Business and Economics in Beijing, China, where he earned a BA in Economics.

Chinese Market Anomalies – The Factor Killer?

By | 2017-08-18T17:08:10+00:00 May 12th, 2017|Value Investing Research, Momentum Investing Research, Size Investing Research, Active and Passive Investing|

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people [...]

Time Series Momentum, Volatility Scaling, and Crisis Alpha

By | 2017-08-18T16:54:59+00:00 December 22nd, 2016|Managed Futures Research|

If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and a lot more exciting than hacking through equity stock selection [...]

Exploring the Performance of Chinese ADRs–Watch out Below!

By | 2017-08-18T17:05:16+00:00 November 24th, 2014|Uncategorized|

Due to the recent IPO craze associated with ALIBABA, we received increased interest from investors wanting to learn more about Chinese stocks. To get a sense for Chinese ADR performance we conducted a high level analysis on Chinese [...]

Tactical Asset Allocation: Are Uber-Simple Systems Robust?

By | 2017-08-18T16:56:16+00:00 September 20th, 2014|Tactical Asset Allocation Research|

Simple and Effective Market Timing with Tactical Asset Allocation Lewis A. Glenn A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]

A Surprising Way to time Value and Momentum: Updated Analysis

By | 2017-08-18T17:11:14+00:00 August 28th, 2014|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract:  The Fama-French [...]

A Simulation Study on Simple Moving Average Rules

By | 2017-08-18T17:11:16+00:00 July 28th, 2014|Key Research, Tactical Asset Allocation Research|

The mention of technical analysis in the halls of academia can cause serious angst. The disdain for technical analysis likely stems from a firm belief that markets can't possibly be weak-form inefficient. The other reason researchers [...]