Is momentum investing dead? Or is it just painful?
Sometimes even the best evidence-based active investment strategies can create a formidable challenge to investors seeking to exploit them. Case in point -- momentum investing. [...]
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.DIY Asset Allocation Weights: September 2016
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 [...]
Time Series Momentum and Volatility Scaling
There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series [...]
March for the Fallen. Come Join the Alpha Architect Team!
Looking for a great challenge on a Saturday morning on September 24th? Come join some members of the Alpha Architect team and our tribe of friends/clients when we take [...]
Optimizing Mean Variance Optimization
In the 1950s, Harry Markowitz proposed a method to identify the optimal trade-off between risk and return for a portfolio. The theory is broadly termed, "Mean-Variance Optimization [...]
Dealing with Delistings: A Critical Aspect for Stock-Selection Research
Eric Crittenden was recently on Meb Faber's podcast and he tells a compelling story about the perils of survivor bias in backtesting. Eric's story begins when [...]
Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs
Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns.In particular, the academic literature [...]
Asset Pricing with–and without–garbage.
If you are into consumption-based asset pricing theory and the associated empirical attempts to reconcile the theory with the data from the realized equity premium, garbage is a [...]
Alpha Architect 2 for 1 book deal — cheap summer reading!
Readers: We know a lot of you are out on vacation in August and probably having the time of your life (eg., see below). But [...]
Can Investors Replicate the Dorsey Wright Focus 5 ETF Strategy?
A long-time reader asked that we examine the performance and process associated with the Dorsey Wright Focus Five ETF (ticker: FV). For those who are unfamiliar [...]
DIY Asset Allocation Weights: August 2016
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 [...]
Evidence-Based Investing Requires Less Religion and More Reason
Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant [...]
Farewell to our Beloved Teammate, Tian Yao
Friends/Readers, Tian Yao, a former student of mine at Drexel, and a long-time member of the Alpha Architect family, is moving on to bigger and [...]
Beware of institutional ownership data from 13F filings!
The core source for institutional ownership data is derived from 13F filings, from a form filed by large asset managers that manage over $100mm in [...]
Style Momentum in Australia?
Jegadeesh and Titman (1993) popularized a simple idea: "past winners outperform past losers." Post JT, the relative strength, or "momentum anomaly," was forever ingrained in [...]
Recapping the Alpha Architect Team Building Adventure
The Alpha Architect Team & Friends took a trip to the mountains last weekend to conduct a Freedom Hike--Our unique form of team-building. We were [...]
Behavioral Finance Must See: Thaler’s 2016 Presidential Address
This is a great video to watch over the holiday weekend. Prof. Thaler does a great job walking through behavioral finance/economics. He also has a [...]
Podcast: Masters in Business with Barry Ritholtz (Wes)
Here is a link to our podcast on Bloomberg's Masters in Business Bloomberg View columnist Barry Ritholtz interviews Dr. Wesley Gray, CEO and CIO of [...]
My Chat with Barry Ritholz
Last week I had the opportunity to sit down with Barry Ritholtz @ http://www.ritholtzwealth.com/. Barry hosts my favorite business/investing related podcast, Masters in Business @ [...]
Stock Market Anomalies and Baseball Cards
I still have a Ken Griffey Jr. Rookie Card. To be honest, I don't even know where the thing is, but I hope it is [...]