Can You Spot the Closet-Indexer? Introducing Visual Active Share
Readers, We're working on some internal tools to help investors make more informed decisions. The primary challenge that investors face is understanding what they are [...]
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.Want to Know the Secret to Inefficient Prices? Lazy Prices.
How do you handle repetitive tasks? If you're like most people, you work through a task in a variety of ways, find the most efficient approach, [...]
Bubble Investing: Learning from History
We just wrote a piece for Forbes on financial bubbles in the lab. Punchline: investors initially underreact to fundamentals, then they overreact, and eventually prices correct. [...]
Want to spot a true Value Investor? Look for horrible recent performance
Harry Houdini is perhaps the best-known magician of all time, gaining notoriety in the early 20th century through his daring escape acts. Houdini escaped from straight [...]
Congratulations to our new CFA® Charter Holder — Tao Wang!
As many of our readers know, a CFA® designation represents a lot of blood, sweat, and tears expended on understanding the nuance of finance at [...]
An Epic Historical Performance Streak: Domestic 60/40
US-centric 60/40 portfolios have knocked it out of the park since 2010. Nearly a 10 percent compound annual growth rate, less than a 7 percent worst [...]
Behavioral Finance Strikes Again: Contrast Effects in Financial Markets
At this point, even hard core efficient market fans will likely admit that behavior can influence investment decisions. Humans aren't robots. However, just because some investors exhibit bad behavior [...]
A Stunning New Finding: Return Seasonalities are Everywhere
We've discussed return seasonalities in the past, especially as they pertain to our approach to momentum. Turns out seasonality effects aren't confined to momentum -- they [...]
Not so Simple: Valuations and Low Volatility Strategies
Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldn't want to own something with the label "low volatility" andRecent performance [...]
Replicating Private Equity Returns with Small Value Stocks…3min video
We discussed private equity replication with public equities here and here. Erik Stafford just won the "honorable mention" award from AQR for his work on [...]
The Academic Finance Papers That Changed My Mind
What does it mean to be the "best" research? For me, this means the most influential in changing my view on the world. So the [...]
How Testosterone and Stress Affect Financial Decision-Making
Decision Making, Financial Risk Aversion and Behavioral Biases: The Role of Testosterone and Stress Nofsinger, Patterson and Daigler A version of the paper can be [...]
Our summertime introductory finance education course
Well, it's my birthday today, so I'm getting older, but I'm in high spirits because younger people are so excited to learn new things. Over [...]
How the day of the week affects stock market anomalies
Day of the Week and the Cross-Section of Returns Justin Birru A version of the paper can be found here. Want a summary of academic papers [...]
The Moving Average Research King: Valeriy Zakamulin
Some weekend reading for trend-followers who want to question their beliefs. Valeriy Zakamulin is an animal when it comes to generating research on moving averages. [...]
Computers Still Beat Humans? We Ask, Will Grove Responds.
Overconfidence is the death of everything in investing. I suffer from the problem just like everyone else because last time I checked...I'm human. As humans, we [...]
What happens when the intern makes your slide deck
and by "intern" I mean Chief Investment Officer.
Can Twitter Predict the Market’s Reaction to Fed FOMC Decisions?
Twitter seems to be a favorite dataset for financial researchers. Researchers keep trying to map tweets to profits. For example, we covered an idea related [...]
Quantcon 2016 in NYC — Stop by and say hello!
If you're attending Quantcon this year be sure to say hello.
Smart Beta: Data Mining, Arbitraged Away, Or Here To Stay?
Large institutional investors have had access to low-cost "smart beta" for many years. But for retail investors and their financial advisors, "smart beta" ETFs are a welcome innovation. [...]