Can Mutual Funds become Hedge Funds? No.
Investment Restrictions and Fund Performance Clifford, Fulkerson, Hong, and Jordan A version of the paper can be found here. Want a summary of academic papers with [...]
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.A Surprising Way to time Value and Momentum: Updated Analysis
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Interesting Tactical Asset Allocation Tool: Value portfolios
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
20 Quant Value Books @ Liquidation Prices
We've got a box of books (20 copies) in the office that we want to share with our readers at a discount. We posted them to Amazon.com [...]
Tactical Asset Allocation During Cheap Markets
In our last post, we looked at tactical allocation using valuation metrics and trend-following measures. Our conclusion from the analysis is that discerning robust trading [...]
Inspiring Market Efficiency Results…NOT!
Yes, it is true, lower risk securities have historically outperformed higher risk securities. We've seen this in a variety of academic research pieces, but sometimes [...]
Old School Academics on Moving Average Rules: Remarkable.
Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Brock, Lakonishok, and LeBaron A version of the paper can be found here. Want a [...]
Using Utilities to Time the Market
Strategy Background Beta Rotation strategy (BRS) is discussed by Charles Bilello and Michael Gayed in their new paper, “An International Approach to Beta Rotation: The [...]
Mythbuster: Are women more talkative than men?
Using sociometers to quantify social interaction patterns Note: this is not related to finance, but a fun study we found while perusing economic and behavioral [...]
A Simulation Study on Simple Moving Average Rules
The mention of technical analysis in the halls of academia can cause serious angst. The disdain for technical analysis likely stems from a firm belief that [...]
Momentum Investing: Ride Winners and Cut Losers. Period.
Momentum has historically been a great strategy. Although counter-intuitive to many value investors, buying stocks with rising prices has been a great investment approach--arguably better than value investing. Moreover, the approach is robust between the 2 samples analyzed. The lesson is clear: Let your winners ride and cut your losers short.
Timing the Market with Mean Reversion Indicators
Mean Reversion, Momentum and Return Predictability Huang, Jiang, Tu, Zhou A version of the paper can be found here. Want a summary of academic papers with [...]
How to Build Expected Return Forecasting Models
Investors are enamored with various investment houses and personalities who claim insight into the prospects for long-term expected market returns. Some classic examples include Nouriel Roubini, John Hussman, David Rosenberg, or Jeremy Grantham. All really smart people. But have you ever asked "How" these folks came to their conclusions? In most cases, the answer is probably "No" and the reason is because there is a lack of transparency from the author(s) and/or a lack of knowledge/understanding on behalf of the reader. We also want to highlight that one can develop incredibly complex return forecasting models -- super sexy, super interesting, super compelling, etc. -- but that still doesn't mean they are any good at forecasting much of anything.
Walmart delivers Low Prices…and High Home Prices
When Walmart Comes to Town: Always Low Housing Prices? Always? Devin Pope and Jaren Pope A version of the paper can be found here. Want a [...]
Using Div Yield to Predict Returns: A lesson in Predictive Regressions
Filip Lacerda and Pedro Santa-Clara have an interesting paper that investigates the use of dividend growth to predict future returns. Here is the abstract: The [...]
Does the Small-cap “size” effect exist? Probably.
The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years [...]
Value Investing: Never Buy Expensive Stocks. Period.
We did a recent internal simulation study on the performance of cheap and expensive stocks based on a variety of valuation metrics. We looked at [...]
Summer–A Time to Learn!
Readers: We exist to empower investors through education. Typically, we cover source academic literature and other topics that require an intermediate to advanced level of [...]
Recent Resarch on Predicting Bubbles
Fulcrum Asset Management has an interesting overview piece related to some recent research that attempts to predict bubbles: http://www.fulcrumasset.com/files/frn201401.pdf The source article is below: http://cowles.econ.yale.edu/P/cd/d19a/d1914.pdf [...]
Own the Stock and Sell Calls: Guaranteed Win, Right?
Covered Calls and Their Unintended Reversal Bet Israelov and Nielsen A version of the paper can be found here. Want a summary of academic papers with [...]