Alpha Architect

Asset prices are often viewed through a simple lens. Investors form expectations, discount future cash flows, and determine prices accordingly. But in reality, expectations themselves are complex. They vary across institutions, across asset classes, and over time. This paper introduces a new perspective. Institutional expectations are not random or purely behavioral. They are...

Two previous articles, “Trend-Following Filters – Part 7” [1] and “Trend-Following Filters – Part 9” [2], examined, from a digital signal processing (DSP) time domain perspective, digital filters commonly used by technical analysts to aid in making trading decisions.

Investors are often seen as choosing portfolios based on their preferences. Each decides how much risk to take, allocates between stocks and safe assets, and builds a portfolio that reflects their beliefs. But in reality, observed portfolios tell only part of the story. Many investors who could invest in stocks simply do not, even when theory suggests they should. This paper ...

For decades, academic researchers have catalogued hundreds of patterns in the stock market — statistical regularities linking firm characteristics to future returns. These persistent return patterns, unexplained by standard risk models, are known as anomalies. They now form the intellectual backbone of a multi-trillion-dollar industry called factor investing, impleme...

Activist investors are often seen as independent players. Each builds a stake, pushes for change, and captures value. But in reality, activism increasingly involves multiple blockholders targeting the same firm. This paper introduces a new perspective. Activists do not need formal coordination to act together. Instead, they use market signals. Trading itself becomes a way to ...