How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
Wow, Turnkey Analyst and I have been buried at Turnkey Analyst working on a variety of research projects and hanging out with our families over [...]
Academic Alpha: Value Creation: Hedge Funds as Activists.
In “Value Creation or Destruction? Hedge Funds as Shareholder Activists,” by Chris Clifford, the author examines and measures the powerful effects created by hedge fund activists. [...]
Academic Alpha: Real Estate and Stock Returns
The following summary is from our academic alpha database at http://alpha.turnkeyanalyst.com/ideas/55. Title: Corporate Real Estate Holdings and the Cross Section of Stock Returns Authors: Selale Tuzel [...]
Magic score: Long-Term vs. Short-Term
Security Analysis, by Graham and Dodd, is a classic text on value investing. We love it. And despite our outward "quant" appearance, everything thing we [...]
The Framing Effect and Your Portfolio
When individuals try to understand or explain an event, they sometimes employ “frames,” which are interpretive structures or filters that help them make sense of [...]
Magic Formula and MA Rules: A Bad Combo!
Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related [...]
Volcker Rule and Muni-Bond Liquidity–back of the envelope opinion.
Volcker Rule May Adversely Impact Munis http://www.bondbuyer.com/issues/120_225/volcker-rule-impact-munis-1033412-1.html The municipal bond market makers are making the case that eliminating prop desks will somehow decrease liquidity and screw up [...]
Long-Term Market Return Projections
John Hussman has an interesting piece on predicting long-term market returns:http://hussmanfunds.com/wmc/wmc050222.htmThe article is a bit dated (2005), but still fascinating.In the short piece Hussman suggests [...]
Investigating Equity and Bond Allocation Models
We've been toying with models that will predict the stock market: better known as "cold fusion." There is an incredible amount of research on the [...]
Insider Trading–Congress loves it!
60 Minutes has a great segment explaining the lack of insider trading rules for Congressmen. http://www.cbsnews.com/video/watch/?id=7388130n&tag=contentBody;storyMediaBox Amazing, isn't it? You can sit on the healthcare [...]
Risk-Managed Momentum
Last week we discussed the possibility that "momentum is finished." Astute readers of the blog generally agreed with the concept, but also pointed out that [...]
Momentum Finished?
CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This [...]
How to Use Our Dual Class Share Arbitrage Module
Recent market volatility is generating an anxiety in the investing public that is almost palpable, and many are searching for ways to generate returns while [...]
Shorting the Magic Formula
I just got back from the Value Investing Congress--http://www.valueinvestingcongress.com/. The event was exceptional and very thought-provoking. While Einhorn's annihilation of Green Mountain Coffee was impressive [...]
Neuroeconomics Post! The Endocrine System and Shifting Risk Preferences
The Chinese philosopher Sun Tzu counseled us to "know thine enemy." At Alpha Architect we are always curious about anything that affects our financial decision making, [...]
Real-Time Market Efficiency
Market Efficiency in Real-Time Jeffrey Busse and Clifton Green A recent version of the paper can be found here. Abstract: The Morning Call and Midday Call [...]
Academic Alpha vs. Practical Alpha
WARNING: After reading this you will no longer believe money grows on trees. I love working on this blog--great outlet to discuss cool research, share [...]
Debunking Semi-Strong Market Efficiency
Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar Gur huberman and Tomer RegevA recent version of the paper can [...]
The Shiller P/E Ratio
Robert J. Shiller, an American academic, made waves in the economic community when he correctly anticipated the sharp decline in equities in 2000 in his [...]
Screen Backtest during the 2008 debacle
Turnkey Analyst showed me a very interesting article from ZeroHedge this morning: http://www.zerohedge.com/news/some-fun-analogies-rhyming-history-and-repeating-futures The main point of the article? History almost repeated itself! Oct [...]