How Do Dividend Paying Stocks Affect the Value Investing Anomaly?
Meb Faber tweeted an interesting question related to taxes, dividend payers, and the value premium the other day. I'll summarize the heart of the question: How do dividend [...]
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.Most CFOs think the US market is overvalued
According to the latest Global Business Outlook survey jointly conducted by Duke University and CFO magazine, 55% of U.S. companies say they think the stock market is overvalued, [...]
Global 60/40 versus Domestic 60/40
The Harvard Management Company report was recently released here. h.t. Tom for pointing out. The biggest surprise was the spread in returns between the global 60/40 [...]
Jack presenting at NYC ETF event 11/6
Jack will be presenting at The World of ETF Investing Conference on 11/6 in NYC. Jack is an expert on all things finance and a wealth [...]
Can Investors Achieve Commodity Exposure via Equities?
This past year we examined the possibility of replicating commodity exposure via equities. The project was spurred by an insightful research report from MSCI, which showed some [...]
Remembering Finance Professor Kent Womack
I was saddened to learn that Kent Womack, an influential Finance Professor at the University of Toronto, passed away unexpectedly last month. Kent's research on [...]
The Case for Active Management…from Vanguard…
Vanguard is a poster child for passive management and is among the companies we respect the most. You'll often hear investors/advisors parroting their use of [...]
Factor Models Can Only Tell You So Much
Factor analysis has taken the professional consultant world by storm and we are slowly seeing this analysis being used more and more by sophisticated retail investors [...]
Daily Academic Alpha: Pension Fund Returns and High Fees
Nobody can deny a simple empirical fact: higher fees are associated with lower returns, on average (Here is a great paper by Ken French on [...]
Daily Academic Alpha: Misreaction to News Releases
Have you ever read a news release, thinking you'd see the stock jump 5%, but instead the stock drops 5%? For example: Headline: Apple finds [...]
DIY Asset Allocation Weights: September 2015
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 [...]
How Market Volatility Affects Our Brains
The current market volatility is justifiably causing people stress. Nobody wants to see their hard-earned wealth get vaporized. But how does increased stress affect decision-making? A [...]
New Book Relased: DIY Financial Advisor @ $14.99
Hi Readers/Fans: We are happy to announce that our second book, DIY Financial Advisor, is finally available. For a limited time (and while supplies last) we are selling the [...]
Daily Academic Alpha: Fed Forecasts–Folly or Fact?
Macroeconomic forecasting is incredibly difficult. The results from this paper suggest that the brainpower of the Fed's 100 person economics team can predict 3 to 6 months out [...]
Visualizing Stock Market Risk: 7/1926 to 6/2015
How crazy is current market action? Not that crazy. ...and if you lived through 2008, definitely not that crazy. Seeing a -3%+ or a +3% [...]
Rise of the Machines: Predicting Winners and Losers on the Robo-Advisor Battlefield
Robos are changing the landscape of financial services and consumers will reap the rewards. But will the computers replace humans? Unlikely. The psychology coach benefit is hard to replicate with a computer. However, robos will encourage human-based advisors to up their game. Slothosaurus will go extinct—thankfully! First iteration passive robo-advisors will create a lot of value for consumers, but capture little value for their VC investors, unless perhaps they are bought out. Finally, differentiated robo advisors and traditional advisors who embrace technology will score big wins for both consumers and their shareholders.
Avoid Buying Put Insurance When You are Most Afraid
A timely piece on S&P 500 put option prices. The authors find that S&P 500 put options get too expensive during wild times because of [...]
Market Efficiency Hates Bad Weather
Do Weather-Induced Moods Affect the Processing of Earnings News? Building on research in psychology, we predict that unpleasant weather negatively affects capital market participants’ moods [...]
Crisis Alpha: Surprising Ways to Hedge Stock Portfolio Risk
Investing in the current environment is difficult. Most, if not all, asset classes have high nominal prices, suggesting low nominal expected returns. Not exactly exciting. [...]
The Sustainable Active Investing Framework: Simple, But Not Easy
We cannot overemphasize that identifying sustainable alpha in the market is no cakewalk. More importantly, being smart, having superior stock-picking skills, or amassing an army of PhDs to crunch data is only half of the equation. Even with those tools, you are still only one shark in a tank filled with other sharks. All sharks are smart, all sharks have a MBA or PhD from a fancy school, and all the sharks know how to analyze a company. Maintaining an edge in these shark infested waters is no small feat, and one that only a handful of investors has accomplished. In order to achieve sustainable success as an active investor, one needs not only skill, but also an understanding of human psychology, and an appreciation of market incentives (behavioral finance). We start our journey where mine began: as an aspiring PhD student studying at the University of Chicago. Let the adventure begin... This post is not meant to convert a passive investor into an active investor; however, we do explain why we believe active investing can sustainably beat passive strategies in the long run. Plus, we bring to bear many years of cumulative research and experience to support our arguments. We cannot overemphasize that alpha in the market is no cakewalk. More importantly, being smart, having superior stockpicking skills, or amassing an army of PhDs to crunch data is only half of the equation. Even with those tools, you are still only one shark in a tank filled with other sharks. All sharks are smart, all sharks have a MBA or PhD from a fancy school, and all the sharks know how to analyze a company. Maintaining an edge in these shark infested waters is no small feat, and one that only a handful (e.g., we can count them in one hand) of investors has successfully accomplished. In order too achieve sustainable success as an active investing, one needs both skill and an understanding of human psychology and market incentives (behavioral finance). We start our journey where mine began: as an aspiring PhD student studying under Eugene Fama at the University of Chicago. Let the adventure begin...