Long/Short Hedge Fund Factors: Low-Cost Downside Protection?
The holy grail of financial markets is finding strategies that have misaligned risk and reward characteristics. In the traditional view, investors try to do the [...]
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.Trend Following the Greek Equity Markets
Long-Term trend-following saved the day in the Greek Equity markets... FTSE/Athens Stock Exchange Large Cap Index, which consists of 25 of the largest and most [...]
Chinese Stock Market — Full Meltdown Approaching?
Last night, China's principal benchmark, the Shanghai Composite index, collapsed 7.4%. Ouch! Now that's what we call a drawdown! Hundreds of stocks hit their daily [...]
How to Make Money in Markets: Understanding Expectation Errors
A new working paper from Gennaili, Ma, and the one-the-only Andrei Shleifer. Expectations and Investment Using micro data from Duke University quarterly survey of Chief [...]
Surprise: Some Active Managers are Skilled.
Jonathan Berk, and his co-author Jules van Binsbergen, have a summary piece on a formal academic paper they published by the JFE in 2014. Here [...]
Daily Academic Alpha: Corporate Loan Momentum Alpha
The Cross-Section of Expected Returns in the Secondary Corporate Loan Market We examine the pricing of characteristics and betas in the cross-section of expected corporate [...]
Sobering 10-Year Market Predictions from CFOs
The Graham-Harvey survey is complete and the expectations of CFOs are available for review. As the figure below highlights, expected returns on the S&P 500 [...]
Using Profitability as a Factor? Perhaps You Should Think Twice…
Many investors are getting excited about the so-called "profitability factor," originally posed by Novy-Marx (here is an alternative story) . Larry Swedroe has a high-level piece [...]
A Glimpse of the Financial Entrepreneurs of the future
This last quarter I taught an advanced seminar at Drexel University (Finance 698). I love running my seminar for the following reasons: I get to meet new [...]
Who Wants to Work for a Family Office?
We're helping out some friends at a large Family Office in New York City who are looking for a teammate to build out a new [...]
Behavioral Finance: Part Behavior, Part Market Frictions
The baseline theory for understanding asset prices is the Efficient Market Hypothesis (the “EMH”), pioneered by Eugene Fama. Of particular interest is semi-strong market efficiency, which [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks) (Geczy and [...]
Daily Academic Alpha: Facts and Fantasies in Commodities
Facts and Fantasies About Commodity Futures Ten Years Later Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 [...]
Did Ben Graham Value Investing Work in the Recent Bull Market?
Forbes outlines one of Ben Graham's basic value investment strategies and analyzes how it has performed from 1949 through 2012. Even with all of the [...]
Value Investing in a Honda Civic–and proud of it…
Last week I had the privilege of being on CNBC to talk about value investing. A big shout out to Josh Brown, who introduced me [...]
Basic Factor Analysis: Simple Tools to Understand What Drives Performance
Investors should know what they are buying and why they are buying it. Unfortunately, more often than not, investment products are jammed down the throats [...]
Daily Academic Alpha: High Lobby Efforts Equal Alpha?
Corporate Lobbying and Firm Performance Corporate lobbying activities are designed to influence legislators, regulators and courts, presumably to encourage favorable policies and/or outcomes. In dollar [...]
From the Frontlines to Finance: How the Marines Shaped Our Investment Philosophy
Serving in the Marine Corps was an unforgettable experience. Civilians often tell us “thank you for your service”; however, the real “thanks” is due to the Corps for giving us valuable life lessons. The not-so subtle teachings bestowed upon us by heavily muscled, insanely aggressive Marine Corps Drill Sergeants are still, literally, ringing in our ears: “Listen here, pond scum, you better run faster, shoot straighter, and decide quicker if you are going to win in battle!” Years later, we would test that theory in real-time, battling insurgents in Iraq. As we trade in our flak jackets for laptops and neckties, the lessons learned in combat and are not only relevant, but vital on the battlefield of high finance. Four core lessons apply to frontlines and finance: Humans Are Emotional: Systematic processes beat behavioral bias; Rambo isn't Realistic: Act based on evidence, not on stories; Complacency Kills: Focus on fundamentals and never stop learning; Integrity is Everything: Do things right and do the right thing.
The Risks of Owning an Individual Stock
How risky is it to buy an individual stock? This is a question investors should ask themselves when deciding to buy a single stock. However, many [...]
Where are the Cheap High Quality Value Stocks?
Here is a snapshot of a model portfolio built on the Quantitative Value philosophy. Note: we exclude financials in our analysis, so by construction they have [...]