Tactical Asset Allocation: Beware of Geeks Bearing Formulas
How Should I Tactically Allocate my Assets? A lot of investors ask this question as their wealth grows and the number of financial products grows exponentially. [...]
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.Daily Academic Alpha: Which Trend if Your Friend?
Which Trend Is Your Friend? Managed-futures funds (sometimes called CTAs) trade predominantly on trends. There are several ways of identifying trends, either using heuristics or [...]
What Drives the S&P 500 Equal-Weight Return Premium?
A recent academic paper, Equal or Value Weighting? Implications for Asset-Pricing Tests, highlights two methods of weighting: Equal-weight and Value weight. As the paper states: With monthly rebalancing, an equal-weighted [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: Post-discovery Performance: Will Anomalies Fade Away After Discovery? (Qu, Lu, Sun and Yan) The Search for Crisis [...]
Performance Attribution for Active ETFs and Active Mutual Funds
Peter Hecht, Ph.D., a fellow Chicago Finance PhD, and vice president of Evanston Capital Management, recently posted an article introducing a practical solution for active portfolios return attribution: [...]
Currency Investing Research: Good Carry, Bad Carry
Good Carry, Bad Carry Bekaert and Panayotov A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: The Five-Factor Fama-French Model: International Evidence (Nusret Cakici) Doubt on Five-Factor Fama-French Model: Is it Just in [...]
Daily Academic Alpha: Dude, Where’s my Alpha?
Seeking Alpha? It's a Bad Guideline for Portfolio Optimization Alpha is the most popular measure for evaluating the performance of both individual assets and funds. [...]
Value Investing Research: Simple Methods to Improve the Piotroski F-Score
Executive Summary In this article, we identify how we can improve the performance of the F-Score and enhance a generic value investing approach. In a [...]
Daily Academic Alpha: Credit Spreads and Stock Returns
The Term Structure of Credit Spreads and the Cross-Section of Stock Returns We explore the link between credit and equity markets by considering the informational [...]
A Unique Insider Trading Signal that Generates Alpha
Insider Trading Patterns Cicero and Wintoki A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: Deactivating Active Shares (Frazzini, Friedman and Pomorski) Is Being Different Better? Dispersion and Active Management (The [...]
Is Passive Perfect? High Active Share Long-Term Investing Works Better
Patient Capital Outperformance Cremers and Pareek A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Traders, Guns, and Money
Traders, Guns, and Money Gopal and Greenwood A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
How Smart are “Smart Beta” ETFs?
Many consider smart beta to be a revolution in the asset management industry. For example, Bloomberg ran an article, "Funds Run by Robots Now Accounts for $400 [...]
International Value Investing: Looks Like a Reasonable Bet
A Value Investing Premium, Everywhere? A rich body of literature has shown that value investing, or buying stocks that are "cheap" based on a variety of valuation [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: Asset Allocation: Is it better to allocate portfolios to factors rather than to assets? (Cocoma, Czasonis, and [...]
Are Value Investing and Momentum Investing Robust Anomalies?
Beating a Dead Horse: Value investing and momentum investing work At this stage in our lives we've essentially memorized the CRSP/Compustat database. Name an anomaly and [...]
Daily Academic Alpha: Out-of-Sample Testing
Quantitative Value: Seeking Excess Returns on the Stock Market The objective of this thesis is to develop and back-test an investment strategy created by professors [...]
Attention Value Investors: How to Predict Accounting Trickery
Predicting Material Accounting Misstatements Dechow, Ge, Larson and Sloan A version of the paper can be found here. Want a summary of academic papers with alpha? [...]