ETF Market Making–Very Cool Insider Insights
Have you ever wondered how ETF trading actually works? Most people think ETFs trade "just like stocks." These people are wrong. While there are similarities between individual [...]
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.Diversification Matters: IVY 5 Year-To-Date
It pays to be diversified! SPXT = S&P 500 ==> win NDDUEAFE = EAFE ==> Loss FNERTR = REIT ==> huge win SPGSSCITR = GSCI ==> huge loss [...]
Earnings Seasonality and Stock Returns
Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns Chang, Hartzmark, Solomon and Soltes A version of the paper can be found here. Want a [...]
CNBC @ 5am–I know you were all watching!
They kicked me; they heckled me; they drug me out of bed at 4am... ...and all I told them was that market returns going forward [...]
Mission Impossible: Beating the Market Forever
A quick glance at the most recent Berkshire Hathaway annual report (PDF) highlights an amazing data point: Warren Buffett has compounded at 19.7% a year from 1965 through 2013; the S&P 500 Total Return Index has compounded at 9.8% a year from 1965 through 2013. The immediate reaction to these figures is predictable: “Warren Buffett is an investing god, so we should buy Berkshire Hathaway and throw away the keys.” The gut reaction is that Buffett can continue to beat the market forever. Unfortunately, as this post highlights, this is an impossible feat.
Does Doubling Down Work?
Doubling Down Jonathan Rhinesmith A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]
Quantitative Value Research: NCAV/MV Factor
Testing Benjamin Graham's Net Current Asset Value Strategy in London Xiao and Arnold A version of the paper can be found here. Want a summary of [...]
Does Option Implied Volatility Predict Stock Returns?
The Joint Cross Section of Stocks and Options An, Ang, Bali and Cakici A version of the paper can be found here. Want a summary of [...]
Meb Faber’s Affordable Global Momentum Fund
Anyone reading this blog is probably familiar with Meb Faber. Before getting into a review of his newest project and ETF offering, I wanted to [...]
Do Financial Experts Make Better Investment Decisions?
Do Financial Experts Make Better Investment Decisions? Bodnaruk and Simonov A version of the paper can be found here. Want a summary of academic papers with [...]
The Secret to Momentum is the 52-Week High???
The 52-Week High and Momentum Investing Thomas J. George and Chuan-Yang Hwang A version of the paper can be found here. Want a summary of academic [...]
Quantitative Value Research: Long-term P/E Ratio
The Long-Term Price-Earnings Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Does Benchmarking Affect Asset Prices?
The FT has a great piece called the "Risk-Return relationship has been upended." The premise is that benchmarking distorts markets. The article inspired me to [...]
Stock Anomaly Smorgasbord–Wow!
Digesting Anomalies: An Investment Approach Hou, Xue, and Zhang A version of the paper can be found here Want a summary of academic papers with [...]
Mind the Gap: A Way to Enhance Momentum Profits
The Momentum Gap and Return Predictability Simon Huang A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Quantitative Value Research: Weighted P/E Bracket
Decomposing the Price-Earning Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Predicting Bonds with Stock Characteristics
Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors? Chordia, Goyal, Nozawa, Subrahmanyam and Tong A version of the paper can be [...]
Quantitative Value Research: A Summary of Various Value Metrics!
Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years Gray and Vogel A version of the paper can be found here and here. Want a [...]
Avoid CEOs that Golf like Tiger Woods
FORE! An analysis of CEO shirking Biggerstaff, Cicero and Puckett A version of the paper can be found here. Want a summary of academic papers with [...]
Digging into the Enterprise Multiple Value Factor
New Evidence on the Relation Between the Enterprise Multiple and Average Stock Returns Loughran and Wellman A version of the paper can be found here. (Also described [...]