Great Academic Finance Research Papers at WFA 2017
There are several big academic finance conferences that attract the best research and the best researchers in one bullpen -- the AFA and the WFA [...]
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.“Alternative” Facts about Formulaic Value Investing
A paper, "Facts about Formulaic Value Investing," is making the rounds and professes to plunge a dagger directly into the heart of systematic value investors. Half [...]
Introduction to a Basic “Quant” Match Making Service
We were recently asked by Aaron Brask, one of our guest bloggers, why we don't provide a "job board" on our site. Aaron works for several [...]
Visual Active Share: A Tool to Help Investors Make Better Decisions
We've talked extensively about the concepts of active share and active fee, which aren't flawless metrics, but they have elevated the discussion around identifying and [...]
Factor Investing: The Fama French 5-Factor Model on Chinese A-Shares
Each year I teach my "seminar in investments" course at Drexel, which consists of the Masters in Finance students and a handful of geeky MBA [...]
Warning: The US Stock Market is an Anomaly
U.S. stocks have delivered incredible stock market returns for a long time: the average compounded total return on the U.S. stock market has been nearly [...]
Dual Momentum with Stock Selection
Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks. This paper sounds similar to the paper Jack reviewed, but there is a key difference: the researchers are looking at the momentum of the fundamentals, not the absolute value of the fundamentals. The authors compile a fundamental momentum variable by calculating the moving averages of 7 elements: return on equity return on assets earnings per share accrual-based operating profitability cash-based operating profitability gross profitability net payout ratio
Evidence-Based Investing? Take that Alpha and Shove It.
Johnny Paycheck has a great country song centered around the following lyric: Take this job and shove it...I ain't working here no more... Campbell Harvey, [...]
DIY Asset Allocation Weights: March 2017
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Podcast: Momentum Investing Part 2/2 (Wes)
Here is a link to our podcast on The Investors Podcast In this episode, Preston and Stig continue their conversation with Dr. Wesley Gray. Dr. [...]
Active Managers Should Love Passive Investing–It Makes Them Better!
Blaming the disappointing performance of active management on the exponential growth of passive indexing (defined here) is not a new idea. However, a recently published paper in the Journal of Financial Economics,(3) provides a new and notable take on the continuing debate. In a surprising turnabout to Mr. Odey’s comment, the authors of the article find that actively managed funds are more “active”, charge lower fees, and produce higher alpha, when faced with more competitive pressure from low-cost passive index funds.
Active Versus Passive Investing: Can we End the Confusion?
I've noticed something profound the past few years: depending on your audience, the definition of active investing and passive investing is different. To a financial [...]
President’s Day Factor Investing Geekout
Our epic piece on factors from a few weeks ago is still ringing in our own ears: Are factors even real? Or just data-mining? The [...]
Tactical Asset Allocation Insights via the Geeks from Thinknewfound
How do we identify who is a flash in the pan blogger versus the next Michael Kitces, Josh Brown, or Ben Carlson? We've tried to do our part and help to promote and share research from up and coming "undiscovered" bloggers/writers out there. In our early days, we were helped by long-time bloggers such as Meb Faber and Tadas Viskanta, so we try and return the favor. Recent examples of up and coming guest writers we've highlighted include Dan Sotiroff (now heading to Morningstar!), Aaron Brask, Andrew Miller, Elisabetta Basilico, and Dan Grioli -- all of whom have written interesting and insightful pieces!
How to Explain Momentum with Rational Investors — It’s complicated.
A recent theory paper from researchers at NYU and Rutgers attempts to explain the empirical evidence on stock serial correlation (e.g., short-term reversal, long-term stock reversal, and classic [...]
Our Introduction to Alpha Architect Video
The video maps out our mission, our core beliefs, and explains what we are trying to accomplish in the asset management business.
Active Versus Passive for the US and the Canadian Markets
We all hear about the massive move away from active to passive in the US market. We also hear arguments that passive may eat the [...]
Factor Investing is More Art, and Less Science
Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. We can relate. [...]
DIY Asset Allocation Weights: February 2017
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Berkin and Swedroe’s Factor Investing Book
Well, I was midway through a formal book review on Larry and Andrew's new book, "Your Complete Guide to Factor-Based Investing," when I noticed that [...]