Alpha Architect, LLC

The Impact of Amortizing Volatility across Private Investments--
The amortization of volatility should be of concern for private capital asset classes. In order to properly budget for beta risks, it is critical that investors in private assets understand the amount of systemic (beta) risk that will “wash” into their private portfolios.

The Impact of Amortizing Volatility across Private Investments While publicly traded stocks, bonds, and real estate have their prices constantly adjusted throughout the day, leading to lots of volatility, private capital managers have significant discretion as to when and how they mark-to-market or mark-to-model their portfolios (typically valued quarterly). Be...

Explaining the Performance of Low-Priced Stocks: The Penny Stock Anomaly--
An efficient way to improve the expected performance of an equity strategy would be to systematically exclude penny stocks, as well with high asset growth and extreme past returns, especially if they have low profitability (and exclude funds that don’t screen out such stocks).

Explaining the Performance of Low-Priced Stocks: The Penny Stock Anomaly An efficient way to improve the expected performance of an equity strategy would be to systematically exclude penny stocks, as well with high asset growth and extreme past returns, especially if they have low profitability (and exclude funds that don’t screen out such stocks).

Polluters Provide Higher Returns than Non-Polluters--
Atilgan, Demirtas, and Gunaydin found that there has been a pollution premium for US stocks and that the premium translated into superior investment performance.

Polluters Provide Higher Returns than Non-Polluters While sustainable investments allow investors to express their attitude to social investment criteria, research (for example, about socially responsible mutual funds and also about sustainability) has found that the demand for sustainable investments is driven by both financial and nonfinancial moti...

Postpandemic Inflation in Eleven Economies--
This paper explores the applicability of the Bernanke-Blanchard (BB) model across diverse economies, revealing commonalities and differences in inflation dynamics post-pandemic.

Postpandemic Inflation in Eleven Economies This paper explores the applicability of the Bernanke-Blanchard (BB) model across diverse economies, revealing commonalities and differences in inflation dynamics post-pandemic. It analyzes the impact of price shocks, labor market conditions, and supply disruptions on inflation, providing insights c...