Socially Irresponsible Investing–A Path to Profits?
Can it be Good to be Bad? Anders Karlen Sebastian Poulsen A version of the paper can be found here. Want a summary of academic papers [...]
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.Ben Bernanke as a GDP forecaster–UGLY!
Fed Chairman Ben Bernanke delivered his testimony on July 18, 2007. "Overall, the U.S. economy appears likely to expand at a moderate pace over the [...]
Payrolls, Bonds, and Gold–can someone figure this out?
Payrolls rose by 195,000 workers in June; much higher than expected... ...10 yr bond yield soars up to 2.70%, nearly a two-year high. Inflation and/or [...]
Gold and the Dollar
An interesting relationship: Thoughts?
Assessing which Risk Parity Funds Blew up
Back in March I posted about "Which Risk Parity Pension Will Blow Up First:" https://alphaarchitect.com/2013/03/which-risk-parity-based-pension-will-blow-up-first/ Now we can see where the pieces ended up: http://online.wsj.com/article/SB10001424127887323689204578572050047323638.html [...]
Taxes, Fees, and Liquidity–What Really Matters!
http://www.marketwatch.com/story/retirement-savers-its-not-too-late-for-stocks-2013-06-22 The real meat and potatoes: To be sure, investors are facing a world of low returns and higher than average volatility. And the traditional [...]
Trading the Equity/Future Spread
Dividend swaps as synthetic equity Joseph Clark A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Focusing on Yahoo Finance Too Much? That’s what the evidence says…
Online Search and Return Comovement Alvin Chung Man Leunga, Ashish Agarwala, Prabhudev Konanaa and Alok Kumar A version of the paper can be found here. Want [...]
Profiting from Bust Pension Funds?
Pension Plan Funding and Stock Market Efficiency Francesco Franzoni and Jose M. Marin A version of the paper can be found here. Want a summary of [...]
No Real Fear in this Market–Yet…
Pretty ugly across the Core 6 asset classes: Domestic Equity Emerging Equity Developed Equity REITs Bonds Commodities No real fear out there. VIX up a [...]
Aleph Blog Book Review
We post all reviews we come across on the web (let us know if we are missing any): https://alphaarchitect.com/reviews/ A recent review caught my attention: [...]
Pairs Trading Kicks Butt!
Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev, William N. Goetzmann, and K. Geert Rouwenhorst A version of the paper can be found here. [...]
Woodstock for Finance Geeks
I'll be in Lake Tahoe from June 17-19th soaking in the latest and greatest in finance research. If you are in the area, let me [...]
Quantitative Value Video Snippet
[youtube url="http://youtu.be/lG_064_XvfY"]
Why aren’t you a slave to an algorithm?
http://www.aeonmagazine.com/world-views/steven-poole-can-algorithms-ever-take-over-from-humans/ A great article by Steven Poole. He highlights what Turnkey readers are slowing learning via our Models vs. Experts series: Speaking to the evidence [...]
Cheap Stocks Win…EVERYWHERE
Value Around the World Nilufer Caliskan and Thorsten Hens A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Simple Moving Averages vs. Exponential Moving Averages
We've seen a few cool posts comparing different moving average rules. Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/ Below are the results of different [...]
Market Reaction to Missed ADP
ADP looks ugly relative to consensus: Bonds rally; commodities weaken; the rest of the bunch blow up.
Picking Managers Based on the FACTS
Used car salesmen are everywhere -- including the asset management business. My experience working with family offices in the dual role of consultant and investment [...]
Do REITs blow up if interest rates spike?
Depends on the time period analyzed... Positive correlation between rates and REIT returns prior to 2000 Negative correlation post 2000. Extreme positive interest rate moves [...]