Timing Value and Momentum with Valuation-Spreads
We were recently passed along an article suggesting that valuation spreads, or the spread in a valuation metric across the most expensive and least expensive stocks, matters [...]
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.Buffett and Hedge Funds Share a Trait: No Alpha
Aaron Seager, a portfolio manager at Arbor Hill Advisors, offered up the following charts showing alpha over the past 15 years for Warren Buffett and an [...]
Did Warren Buffett Move the Goalposts in the Latest Letter?
It appears even the Oracle of Omaha may be vulnerable to short term performance pressures. The Berkshire report came out today, and it has magically [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: What is Social Data? (MKTSTK) A Model of Cognitive Dissonance and Information (Matthew Kovach) Insider Trading in Commodities Markets [...]
Dissecting Goldman’s 99 percentile Market-Timing Signal
Investors have been worrying, at least for the last several years, that the market is overvalued. By some measures this is undoubtedly true. Just yesterday we highlighted that [...]
Top 5 Geeky, Yet Funny, Economic Paper Titles
As many are aware, economists aren't the funniest group in the crowd. Here are some sample jokes from the funniest economists out there--Yoram Bauman. Here [...]
Can you Predict Stock Market Returns with Short Interest?
Short Interest and Aggregate Market Returns Rapach, Ringgenberg and Zhou A version of the paper can be found here. Want a summary of academic papers with [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: An R Tutorial for Microsoft Excel Unsers (Revolutions) Backtesting A Basic ETF Rotation System in Excel (System Trader Success) [...]
How-To-Guide: DIY Investing Tool
Our DO-IT-YOURSELF Investing Tool is Live! You can build your own stock selection and asset allocation models using our DIY Investing tools. How to Access the Tool? [...]
Our Asset Allocation Backtest Tool (a how to guide)
Our Asset Allocation Backtesting Tool is Live! You can build and backest your own asset allocation portfolio using our "Allocation Architect" tool. How to Access [...]
The Wrong Way to Pick Value Investing Funds
US News laundry lists their top 10 "Value Investing Funds," or Value Investing ETFs, in their recent article: http://money.usnews.com/funds/etfs/rankings/value-funds The criteria (and weighting) for selecting so-called [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: To Hedge or Not to Hedge? (Morningstar.com) The Very Cheapest Stocks (P/B) Do Very Badly (Millennial Invest) Exploring Social Media [...]
A Tactical Asset Allocation Horserace Between Two Thoroughbreds
Executive Summary: Dual Momentum, a concept pioneered by Gary Antonacci, intelligently combines elements of two types of momentum investing strategies -- absolute and relative momentum -- [...]
Overnight Momentum vs. Intraday Momentum
A Tug of War: Overnight Versus Intraday Expected Returns Lou, Polk and Skouras A version of the paper can be found here. Want a summary of [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Price Momentum Key For Tactical ETF Investor (ETF.com) Trading Google Trends with Logistic Regression (MKTSTK) Driven by Fear? [...]
For an Auditor, Intuition Might Matter!
Thinking Fast versus Thinking Slow: The Effect on Auditor Skepticism Wolfe, Christensen and Vandervelde A version of the paper can be found here. Want a summary [...]
Another Wall Street Scheme: “Juicers”
Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends Harris, Hartzmark and Solomon A version of the paper can be found here. Want a [...]
Fundamental Investors Following Insider Filings–Beware!
Run EDGAR Run: SEC Dissemination in a High-Frequency World Rogers, Skinner and ZechmanA version of the paper can be found here.Want a summary of academic papers [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: For Passive Funds, a Stronger Link Between Fees and Performance (Morningstar) A Revelation For Small-Cap Investing Strategies (The Capital [...]
Manliness implies Misreporting?
Masculinity, Testosterone, and Financial Misreporting Jia, Van Lent and Zeng A version of the paper can be found here. Want a summary of academic papers with [...]