An Up-and-Coming Behavioral Finance Pro: Casey Dougal, Ph.D.
We are proud to welcome Casey Dougal, Ph.D. to our advisory team. We were colleagues at Drexel and after engaging in multiple discussions on research [...]
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.Avoiding the Big Drawdown with Trend-Following Investment Strategies
Simple timing rules, focused on absolute and trending asset class performance, seem to be useful in a downside protection context. Our analysis of the downside protection model (DPM), applied on various market indices, indicates there is a possibility of lowering maximum drawdown risk, while also offering a chance to participate in the upside associated with a given asset class. Important to note, applying the DPM to a portfolio will not eliminate volatility and the portfolio will deviate (perhaps wildly) from standard benchmarks. For many investors, these are risky propositions and should be considered when using a DPM construct.
Private Equity Replication with Leveraged Small-Cap Value Stocks
Of the major asset classes, private equity has recently had the best absolute returns. According to Cambridge Associates, the 25-year return on private equity was [...]
Expensive Junk Stocks are Killing High-Quality Value Stocks, YTD
In general, investors focused on affordable stocks with strong fundamentals have been taken to the cleaners year-to-date. Meanwhile, expensive stocks with poor fundamentals have been [...]
Daily Academic Alpha: Warren Buffett Market Predictions
Last week we had a fairly long post on a valuation based asset allocation strategy that might actually work. This post followed a couple of [...]
Betting Against Days to Cover
Days to Cover and Stock Returns Hong, Li, Ni, et al. A version of the paper can be found here. Want a summary of academic papers [...]
One way to beat the market. Be different!
This study was inspired by Ben Carlson's blog post a few months ago. Ben highlights Robert Hagstrom's book "The Warren Buffett Portfolio." The high level question is [...]
P/E “Attention” Strategies Earn Monthly Excess Return of 1%!
Rankings of Published Pricing-earnings Ratios and Investor Attention Jordan Moore A version of the paper can be found here. Want a summary of academic papers with [...]
Eureka! A Valuation-Based Asset Allocation Strategy that Might Work
We've had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up [...]
Daily Academic Alpha: Why Women Should make MORE than Men…
As the proud father of 3 kids (to include 2 daughters), this set of papers, while a bit off the wall, made me smile a [...]
Daily Academic Alpha: Fresh Evidence on the Fama French 5-Factor Model
The past few weeks we've highlighted a set of research papers that go back and forth on the validity of the Fama and French "5-factor [...]
Daily Academic Alpha: Analyzing the Effects of Long-Term vs. Short-Term Investors
Through the traditional lens of the efficient market hypothesis, market prices stick close to their fundamental values because professional investors with large amounts of capital [...]
Our Free Tools Are Updated: Do-It-Yourself Investors Unite
Readers: We've updated the technology behind our free tools for financial professionals. Unfortunately, this took a long time, but now that we've developed the framework, we'll [...]
Daily Academic Alpha: International 5-Factor Evidence from Fama and French
About a month ago we posted on the robustness of the Novy-Marx profitability factor, which is embedded in the Fama-French 5-factor. We also highlighted potential weaknesses in [...]
A Live Lesson in Value-Investing: The Energy Meltdown
We sat down and did a quick and dirty analysis of the S&P sector ETFs on a YTD basis and over the past 2 months. [...]
Ben Carlson on Active Investing, Value Investing, and Garage Sales
Yesterday we posted a review on Ben's new book, A Wealth of Common Sense. We reached out to Ben and conducted a follow up Q&A. [...]
Dear Adam Nash: God Called…He Wants his Soap Box Back
Wealthfront's CEO recently posted a hard-hitting blast against Betterment. The core argument was against Betterment's fees charged to small accounts ($3 / month for accounts with less [...]
Book Review: A Wealth of Common Sense by Ben Carlson
Ben Carlson splashed onto the blog scene a few years ago with his hit website, aptly named, "A Wealth of Common Sense." My initial reaction was, "Oh [...]
Value Investing Research: O-Score and Distress Risk
Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk. There [...]
The First Academic Paper with a Shotgun Picture in it
Here is one of the figures in a Journal of Finance paper published in 2013 by N. Garleanu and L Pedersen. The figure depicts various [...]