AlphaBet ETFs
Vanguard's attempt at satire. Vanguard is expanding its ETF lineup with the introduction of the AlphaBet series of ETFs, an innovation in the ever-growing ETF [...]
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.What is Behavioral Finance?
Behavioral finance means a lot of things to a lot of people. In this short piece I'll outline what "behavioral finance" means to academic researchers. [...]
Understanding the Relationship between Stock Prices and Earnings
Stock Prices and Earnings: A History of Research Patricia M. Dechow, Richard G. Sloan, and Jenny Zha A version of the paper can be found here. [...]
Systematically Executing a Value Investment Philosophy
https://www.nantucketproject.com/wes-gray-from-concept-to-reality The story of our quantitative value algorithm as told at the Nantucket Project: [youtube url="http://youtu.be/3I9y2D5-Ol4"]
International Shareholder Yield is Live!
Meb and team launched an international version of his shareholder yield ETF. Very cool. I'm most impressed with the logo--last time I saw an elephant [...]
Weekly Economic Calendar 12/9 to 12/13
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Are NFL Betting Markets Inefficient?
An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC Thomas W. Miller Jr. and David E. Rapach A version of the paper can [...]
Quant Jocks and Tire Kickers
I just love the title of this paper... A job market paper for a PhD student (Jane Zhao) who was on the market a few [...]
Ben Graham Cigar Butt Hunting–Size Matters
Interesting paper: https://faculty.biu.ac.il/~lauteb/data_794/Ben_Graham.pdf Abstract: The study demonstrates how size controls can alter the outlook of an investment strategy. The Ben Graham net current asset value rule [...]
Formula Investing SMA Transition
Dear Readers: Joel Greenblatt has attracted a lot of followers based on the success of his book, “The Little Book that Beats the Market,” and [...]
Weekly Economic Calendar 12/2 to 12/6
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Happy Thanksgivukkah!
Thanksgiving. Hanukkah. Why not Thanksgivukkah? Below, one of my partners hopped on his Bloomberg and plotted out some interesting time series: Turkey spot prices. Hanukkah [...]
Follow the (Confident) Smart Guys?
I was at Grant's Interest Rate Observer a couple years ago listening to the end of the world. Seriously, EVERYONE was ultra bearish. And EVERYONE [...]
Why Exclude Financial Firms from Quantitative Studies?
I often get insightful questions from readers. A recent question was as follows: ...applied works most often exclude Financials and Utilities in their universe under [...]
Predicting Stock Returns with Investor Sentiment
Market participants often claim that investor sentiment matters for stock returns. This premise was formally studied by Malcolm Baker and Jeffrey Wurgler in their landmark [...]
Charlie Munger Translation: Taxes and Alpha are the Shiznit!
Compounding My Interests has a great post highlighting some wisdom from Charlie Munger--a TRULY great investor. The money shot: Another very simple effect I very [...]
Polish Size, Value, and Momentum
Momentum, Value, and Size and Liquidity Factors in the Polish Market Adam Zaremba and Przemyslaw Konieczka A version of the paper can be found here. Want [...]