Pathetic Protection via Protective Puts
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic [...]
About Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.Living with Money Podcast (Wes Gray)
Here is a link to our podcast on "The Living with Money Podcast": In Ep. 73, Tim talks with CEO of Alpha Architect – Wes [...]
Fact, Fiction, and the Size Effect
Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to [...]
Money Savage Podcast (Wes Gray)
Here is a link to our podcast on "The Money Savage Podcast": On this show, we talked about the important role education plays in cutting [...]
Trend Following: The Epitome of No Pain, No Gain
One of the recurring themes we see in our research is the concept of "no pain; no gain." Or as Corey Hoffstein says, "No pain, [...]
Curious Investor Podcast (Wes Gray)
Here is a link to our podcast on "The Curious Investor Podcast": AQR co-founder and Managing Principal Cliff Asness and Alpha Architect CEO Wes Gray [...]
Factor Investing Research On Steroids
Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin Wang Working paper A version of [...]
Meb Faber Podcast: Trust The Process (Jack Vogel)
Here is a link to our podcast on "The Meb Faber Podcast": This year, we’re bringing you the entire volume of The Best Investment Writing [...]
Value Factor Valuations Over Time: US and Developed
We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool [...]
Passive Sustainable Funds
Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our [...]
News Sentiment and Bonds
Investing in US 10-year Yields with News Sentiment Nina Gotthelf and Matthias W. UhlJournal of Investing, Winter 2018A version of this paper can be found hereWant to read [...]
#Women in Finance Know Stuff: A Conversation with Perth Tolle
Today, we are interviewing Perth Tolle, Founder and CEO of Life and Liberty Indexes, a provider of the world's first freedom-weighted Indices. I met Perth [...]
All About ETFs with The 15 Minute Financial Advisor (Ryan & Mike)
Here is a link to our podcast on "The 15 Minute Financial Advisor" Show: Ryan Kirlin knows ETFs. He used to work at the New [...]
Fund Management: The Poor Beat the Rich
Family Descent as a Signal of Managerial Quality: Evidence from Mutual Funds Oleg Chuprinin and Denis Sosyura Review of Financial Studies, 2018 A version of this paper [...]
Quarterly Index Analysis and Commentary: Q1 2019
What follows is a basic discussion on our long-only Focused Value and Momentum Factor Indexes. Additional information on these Indexes, as well as our alternative [...]
Factor Investing is Simple, But Not Easy (Video)
We are creating a series of long-form educational videos that present materials often covered in our white papers. The intent of these videos is make [...]
Aggregate Investor Confidence in the Stock Market
Aggregate Investor Confidence in the Stock Market Christoph Meier Journal of Behavioral Finance, 2018 A version of this paper can be found here Want to read [...]
A Remarkable New Factor: The Cash Conversion Cycle
The Cash Conversion Cycle Spread Baolian WangJFE, forthcoming.A version of this paper can be found here.Old discussions here and here. h.t. M. Mauboussin What are the [...]
Distracted Institutional Investors
Distracted Institutional Investors Daniel Schmidt Journal of Financial and Quantitative Analysis, forthcoming A version of this paper can be found here Want to read our summaries [...]
Momentum Factor Investing in Russia
Momentum Factor Investing in 19th Century Imperial Russia William Goetzmann and Siman HuangJFE, forthcoming.A version of this paper can be found here. What are the research [...]