Update on the Valuation Metric Horserace: 2011-2015
Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a [...]
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.New WSJ Post: On the origins of risk taking
We did a summary post for the Wall Street Journal on an interesting new paper related to risk taking and your environment. http://blogs.wsj.com/experts/2016/04/04/parents-beware-your-children-will-invest-like-you-do/ Here is [...]
Smart Beta Analysis: Know What You Own
In collaboration with Pete Hecht (a fellow Chicago finance PhD and friend), we published an article with the CFA Institute today. https://blogs.cfainstitute.org/investor/2016/03/30/wheres-the-beef-is-your-low-fee-smart-beta-product-ripping-you-off/ The toolkit for assessing smart [...]
Podcast: DIY Financial Advisor @ Google Talks (Wes)
Here is a link to our podcast on Google Talks Wesley Gray will discuss his book "DIY Financial Advisor". He believes today’s financial advice is [...]
Why do academic researchers avoid behavioral finance?
Charlie Munger, Warren Buffett's right-hand-man and Vice Chairman of Berkshire Hathaway, has said the following regarding behavioral economics: How could economics not be behavioral? If it [...]
Has the Value Investing Pain Train Ended?
Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a [...]
Why We Built An Active Robo-Advisor and Why You Should Too.
Assuming you haven't been living under a rock, you've almost certainly heard something about robo-advisors. Millenials seem to love them while "old school" advisors are dismissive [...]
Predicting Anomalies with politics, weather, global warming, sunspots, and the stars
We've discussed the use of predictive regressions in the past. Here is an article to learn a bit more about the technique. And while the [...]
Warnings: Savers should NOT get excited if the Fed Raises Rates
The Deposits Channel of Monetary Policy Drechsler, Savov and Schnabl A version of the paper can be found here. Want a summary of academic papers with [...]
Shocking: Your Experience in the Uterus May Influence Your Investment Decisions!
The Fetal Origins Hypothesis in Finance: Prenatal Environment, the Gender Gap, and Investor Behavior Cronqvist, Previtero et al. A version of the paper can be [...]
Dual Momentum on Individual Stocks. Wow.
Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect [...]
Media Coverage and Stock Returns
Ninety Years of Media Coverage and the Cross-Section of Stock Returns Hillert and Ungeheuer A version of the paper can be found here. Want a summary [...]
Can A Brutal Stock Market Make You Physically Sick?
Worrying About the Stock Market: Evidence from the Hospital Admissions Engelberg and Parsons A version of the paper can be found here. Want a summary [...]
Loosening Short Sale Constraints Makes Markets More Efficient
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies Chu, Hirshleifer and Ma A version of the paper can be found here. Want [...]
Attention Advisors: A Webinar on How to Pick the Right “Robo” Platform
Pat Cleary, our Harvard educated US Marine Captain, who also happens to serve as a our chief compliance and operating officer (COO/CCO), will be giving [...]
Even God would get fired as an Active Investor
Perfect foresight has great returns, but gut-wrenching drawdowns. In other words, an active investor who was clairvoyant (i.e. "God"),[ref]We mean no offense by the use [...]
The most concise explanation of behavioral finance I’ve ever seen
One of the most overused-- and misunderstood -- terms I've seen used by finance practitioners is "behavioral finance." Many professionals consider themselves to be "behavioral [...]
Mega-Cap Valuations Relative to the Broader Market
Meb Faber's twitter feed is a great source to find new research ideas -- his followers are very curious. Today, someone asked about the P/E [...]
How Does Analyst Optimism Affect Momentum Strategies?
Analyst Optimism and Stock Price Momentum Li, Lockwood and et al. A version of the paper can be found here. Want a summary of academic papers [...]
Following “Opportunistic insiders” Earns over 1% Monthly Alpha…
Opportunism as a Managerial Trait: Predicting Insider Trading Profits and Misconduct Ali and Hirshleifer A version of the paper can be found here. Want a summary [...]