Rebalancing: Less is More?
We did a quick study on monthly vs. annual rebalancing for the IVY5 asset allocation portfolio. We did buy and hold and moving average rule [...]
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.Trading with Algorithms in the Environment
Trading on Algos Johannes Atle Skjeltorp, Elvira Sojli, Wing Wah Tham A version of the paper can be found here. Want a summary of academic papers [...]
Finance Mythbuster: Is Economic Growth Good for Investors?
Is Economic Growth Good for Investors? Jay R. Ritter A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
A Compilation of Evidence-Based Trading Ideas
We get constant emails asking us: Where is there a one-stop shop" for different trading ideas? And I always have the same answer: Our Academic [...]
Calling All Python Developers…
Master Shenglan, our former resident programming genius who has since left us for the riches of Wall Street, is in need of some help... [...]
Equity Term Structure and Option Returns
Equity Volatility Term Structures and the Cross-Section of Option Return Aurelio Vasquez A version of the paper can be found here. Want a summary of academic [...]
Insider Trading via Your Kid’s Accounts?
Informed Trading through the Accounts of Children Henk Berkman, Paul D. Koch and P. Joakim Westerholm A version of the paper can be found here. Want [...]
Sovereign Bonds Spreads: Your Politics Matter.
Political Risk Spreads Bekaert, Harvey, Lundblad, and Siegal A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Confirmation Bias Strikes Again…
http://www.cnn.com/2014/01/17/travel/southwest-wrong-airport The pilots of Southwest flight 4013 say that Branson Airport was correctly programmed into their on-board computer Sunday, but that they "mistakenly identified" another [...]
Having Your Cake and Eating it Too: Tax Efficiency and Performance
Tax efficient asset management: Evidence from Equity Mutual Funds Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their [...]
Fama Doesn’t Deserve a Nobel Prize?
Marty Whitman makes a bold statement in his recent letter: “I am disappointed that a Nobel Prize was awarded to Eugene Fama, who studies only markets and [...]
Making Fun of Quantitative and Fundamental Investors
A video I made a few years ago, which pits an uber quantitative propeller-head geek against an overconfident ego-maniac fundamental investor. [youtube url="http://youtu.be/PaaBuZUeWfo"]
Is the Chronic Unemployment Here to Stay?
The famous (perhaps infamous to some folks) John Maynard Keynes has a great quote related to technological unemployment from his essay, "Economic Possibilities for our [...]
ETF and Mutual Fund Taxation: Remind Me Again Why Mutual Funds Exist?
Many mutual funds will be sending you a very special gift in the coming weeks -- their annual capital gains distributions. Mutual fund investors get [...]
How many times has the S&P 500 been over 32%?
What's your guess? Seriously, before looking at the answer below... And the answer is... scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. [...]
Speaking on Behavioral Finance near Cleveland, OH
Would love to see everyone. http://www.aaii.com/localchapters/pdfs/Cleveland%20140115.pdf
DeLong and Krugman: Legitimate BitCoin Bashers or Political Punditry?
Brad DeLong and Paul Krugman have joined in the bitcoin conversation: Watching Bitcoin, Dogecoin, Etc... http://equitablegrowth.org/2013/12/28/1466/watching-bitcoin-dogecoin-etc Bitcoin is Evil: http://krugman.blogs.nytimes.com/2013/12/28/bitcoin-is-evil/?_r=0 DeLong starts his tirade with [...]
Economic Calendar 12/30 to 1/03
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87,337th ranked blog in the United States
Well, it doesn't like such an achievement if you never pay attention to website rankings, but an Alexa rank of < 100,000 is a sign [...]
Weekly Economic Calendar 12/23 to 12/27
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