How to Calculate Volatility in Excel
Wild-swinging oil prices have caused some chaos, or "volatility," in the financial markets recently. We've also heard a lot in the financial media regarding 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.Hard to Fire Yourself; Easy to Fire Your Manager
Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect Chang, Solomon, Westerfield A version of the paper can be found here. Want a [...]
Value Investing: Digging Manager Graveyards Since 1963.
Following value strategies can be hazardous to one's wealth in the short run. Oil stocks are a great example of the challenge value investors face: The stocks [...]
Oil Stocks: A Real-Time Case Study in Value Investing
I just took a snapshot of the front page of Yahoo Finance, CNBC.com, and Bloomberg.com: Bloomberg.com @ 1725 EST CNBC.com @ 1725 [...]
Investor Attention: Advertising Targets Customers and Investors?
Is Investor Attention for Sale? The Role of Advertising in Financial Markets Madsen and Niessner A version of the paper can be found here. Want a [...]
Uncle Sam: The Highest Paid Hedge Fund Manager
Uncle Sam and affiliates have the greatest fee structure in the world: 23.8% to 43.40%+ carried interest, or a "performance" fee on all positive performance: [...]
Where are the Focused Active Managers?
We highlighted a few weeks ago that Smart Beta is More Expensive Than You Think. Smart Beta and other closet-indexers are everywhere, but what happened to [...]
Avoid the Experts: A Lesson in CFO Overconfidence
Managerial Miscalibration Ben-David, Graham and Harvey A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Understanding How ETFs Trade in the Secondary Market
An ETF's liquidity has everything to do with the underlying liquidity of the positions the ETF holds. This has a few implications: Pay attention to the liquidity on the holdings of your ETF--this will explain the spreads in the secondary market; Trade ETFs when the underlyings are liquid--avoid trading ETFs at the open or when overall market volume is lackluster; Avoid huge market orders, and stick to limit orders; Moreover, for huge trades, communicate directly with the market maker or your ETF trading desk.
The Robust Asset Allocation (RAA) Index
Robust asset allocation solutions should be relatively simple, minimize complexity, and be robust across different market regimes. Simultaneous to these requirements, the solution must be affordable, liquid, simple, tax-efficient, and transparent, otherwise, many of the benefits of the solution will flow to the croupiers and Uncle Sam. We recommend that investors explore our robust asset allocation framework and go for the do-it-yourself solution. You'll be paying yourself 1%+ a year via saved RIA fees. Is this the only solution? No. But any solution must be robust, simple, tax-manageable, and low-cost. This is our best effort to develop a simple model. Developing a complicated model is easy; simple is difficult.
Insights from an ETF Strategist: Brad Thompson, CFA
We've been interviewing various movers and shakers in the industry to help everyone understand the "inside baseball" in financial services. Brad and I met last [...]
Cyber Monday–Quant Value @ $19.99 is back ON!!!
We posted last week that we lost our entire inventory of books we had at Amazon. Quant Value $19.99 Book Deal is Over... But... due to [...]
Quant Value $19.99 Book Deal is Over
Wow. We blew out 300+ books in a few weeks. There are a lot more quant geeks out there than I originally suspected. Holy mackerel! [...]
E.F. Shumacher on Complexity
E.F Schumacher has a great book I've been exploring: Small is Beautiful: Economics as if People Mattered. To be completely honest, the reason I stumbled [...]
An Educational Piece on the Appraisal Ratio…
Peter Hecht, Ph.D., a fellow Chicago Finance PhD and vice president of Evanston Capital Management, recently published an interesting white paper: How to evaluate hedge [...]
Exploring the Performance of Chinese ADRs–Watch out Below!
Due to the recent IPO craze associated with ALIBABA, we received increased interest from investors wanting to learn more about Chinese stocks. To get a sense for [...]
Why My Chinese Employees are Leaving…
WSJ recently published an interesting article named "The Self-Inflicted U.S. Brain Drain:" Every year, tens of thousands of disappointed tech workers and other professionals give [...]
We are Alive at Channel 111! Join us on Sirius Radio
OK...so not the greatest photo of yours truly, but having a great chat with Dr. Jeremy Siegel and Jeremy Schwartz on Sirius XM Business Radio! [...]
Are Mutual Funds Short-Seller Whipping Boys?
Do Short-Sellers Profit from Mutual Funds? Evidence from Daily Trades Arif, Ben-Rephael and Lee A version of the paper can be found here. Want a summary [...]
Chatting Quant Value @ Wharton Today–Business Radio
http://businessradio.wharton.upenn.edu/programs/behind-the-markets-with-jeremy-siegel/ I'll be chatting with the "Jeremys" on Sirius Radio on Business Radio Channel 111. @ 1pm EST Hosts Jeremy Siegel Professor Jeremy Siegel is [...]