Daily Academic Alpha: Solving the Idiosyncratic Volatility Puzzle
Kewei Hou and Roger Loh have a fun paper on the idiosyncratic volatility puzzle, which is set to be published in the Journal of Financial [...]
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.Bond Performance when Interest Rates Spike
The prediction of higher interest rates has been ongoing since the government went all-in on a variety of so-called "inflationary" efforts. Inflation hasn't happened and rates are [...]
A classic value investor–Carl Icahn
Carl's secret to "real money:" You gotta buy 'em when nobody wants them...when everyone hates 'em you buy 'em. When everyone wants 'em you sell [...]
The World’s Longest Trend-Following Backtest
Were in the middle of an academic research project and we ran a simple long-term trend-following model from January 1, 1801 to September 30, 2015. Recently, [...]
An interesting look at the size anomaly
Many of you are probably aware of the paper from AQR entitled, "Size Matters: If you control for your junk." We loved the title so [...]
Why I Don’t Invest in Momentum Stocks…Yet!
Confirmation bias is the tendency to cling to research/ideas that confirm with what you already believe. This behavioral bias leads to overconfidence and can impede our search for [...]
All firms can benefit from the positive influence of women
Marisa Mayer’s recent announcement that she is again pregnant, and does not plan to take maternity leave after her twins arrive, has once again raised [...]
Podcast: Value Investing vs. Momentum Investing (Jack)
Here is a link to our podcast on The Investors Podcast As many of you guys might know, I’ve been looking into quantitative investing recently. [...]
Podcast: Measuring Portfolio Performance (Wes)
Here is a link to our podcast on The Investors Podcast Whenever we hear about great investors, like Warren Buffett and Ray Dalio, we usually [...]
Robo-Advisor Webinar Tomorrow: Oct. 28 at 12pm EST
I'll be discussing robo-advisors tomorrow via an Interactive Brokers webinar. Details below: Wednesday, October 28, 2015 12:00 pm, Eastern Daylight Time (New York) Event Number: [...]
How to Pick Smart Beta ETFs
Investors are probably unaware of the price they are paying for the "active" piece of Smart Beta. Using a simple framework, we show that buying a Smart Beta product at 45bps is equivalent to paying 5bps for a generic passive exposure and 138.33 bps for the active exposure! How many investors are aware that "low-cost" smart beta products might be implicitly charging fees that are equivalent to many active mutual fund fees?
Turn Off Your Chief Economist: GDP Growth Doesn’t Predict Stock Returns
In a sustained effort to try too hard, investors are constantly analyzing and assessing the growth rates of various markets around the world. The key [...]
Insider Trading During the 8-K Trading Gap
SEC rules allow companies to delay the public disclosure of significant corporate events for up to 4 business days. This information is reported on an [...]
Don’t believe in financial market unicorns.
Financial market unicorns are the magical market elves that grind out eye-popping compound annual returns for multiple years and with limited volatility. I'm sure you've heard [...]
Hey Ray Dalio, there are MORE than 8,000 pilots!
Ray Dalio, famous for running Bridgewater, the world's largest hedge fund, is famous for mocking the growth in the hedge fund industry: There are about [...]
Surprise…Trading More is Profitable for Active Funds!
Warren Buffett make it clear why frequent trading damages one's wealth: "Wall Street makes its money on activity. You make your money on inactivity." (source) [...]
Ben Graham Would be Proud: Fundamental Analysis Works
Here is an interesting working paper on the use of fundamental analysis in stock selection. The authors take a dynamic regression "machine learning-esque" approach to building [...]
Value Investing: The Pain Train has Arrived and it Sucks.
A few months ago we highlighted a surprising result: cheap high-quality stocks were getting crushed by expensive junk stocks. The spread at the end of [...]
Daily Academic Alpha: Momentum Investing and Asset Allocation
The results in this paper won't surprise most who are regular readers, but the paper below does a nice job explaining things in a simple [...]
Commodity Investing 101: Basic Insights Most Advisors Don’t Know
Unlike equity and bond investing, investing in commodities is a less familiar undertaking for many. Commodities behave differently than stocks and bonds, pose different risks, [...]