Can We Make Money off of Investors’ Limited Attention?
Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies Click to get the pdf. Steve Crawford, Wesley Gray (me!), and Shastri Sandy [...]
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.Tax Party–and EVERYONE is invited!
http://www.treasury.gov/resource-center/tax-policy/Documents/General-Explanations-FY2014.pdf What exactly is "fair share?" Don't worry, private equity already has workarounds...public equity folks are toast. I guess we'll all be HFT traders now [...]
S&P 500 10-Year Nominal Return Forecasts
We've outlined the fundamentals of long-term return projection models in a recent post: https://alphaarchitect.com/2012/12/projected-15-year-sp-500-returns/ Butler|Philbrick|Gordillo and Associates have a great post that focuses on the [...]
Clone Endowment Asset Allocations
Getting access to what the top asset allocation brains are thinking is easy-- "Google it." For example, I googled "yale endowment asset allocation filetype:pdf" and [...]
More Information=More Confidence=More Problems
Effects of amount of information on judgment accuracy and confidence Claire I. Tsai, Joshua Klayman, Reid Hastie A version of the paper can be found here. [...]
Are Stocks Expensive? Yes, but…
Are stocks expensive? On an absolute basis, yes. As Greenbackd.com and Mebanefaber.com have recently pointed out, the Shiller P/E, or cyclically-adjusted P/E (CAPE), is at a historical [...]
Tournament Trading Competitions–A New Way to Attract Capital
The investment management business is a major Catch-22: On one hand you need a track record; but to get a track record you need assets. [...]
Momentum-Based Allocation
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay Gary Antonacci A version of the paper can be found here. Want a summary of academic [...]
Battle of the Quants
I'll be kicking, screaming, and fighting for the Quants. Wish me luck... http://battleofthequants.net/wesley-gray/ Come join the party on April 23 and 24! http://battleofthequants.net/agenda/
Quandl: Democratizing Data
There are two components to DIY quantitative investing. The first is know-how in building models and systems. The second is data to fuel the analysis, model or [...]
Go Long…Make Money. Go Short…Make Money. All Good.
Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners David Aboody, Reuven Lehavy, and Brett Trueman A version of the paper can [...]
Don’t Follow the Institutional Herds over the Long-Term?
Institutional Trade Persistence and Long-term Equity Returns Amil Dasgupta, Andrea Prat, and Michela Verardo A version of the paper can be found here. Want a summary [...]
Random Tactical Asset Allocation–A Gut Check!
I spend way too much time thinking about tactical asset allocation (TAA). I estimate we have tested around a 1000 perturbations of TAA models (maybe [...]
Follow the Trend AND the Sell-Side!
Large Price Changes and Subsequent Returns Suresh Govindaraj, Joshua Livnet, Pavel G. Savor, and Chen Zhao A version of the paper can be found here. Want [...]
Which Risk-Parity-Based Pension will Blow up First?
A real basic question: Is risk parity driven by the long-bond? Yes. Another real basic question: Which pension following risk parity will blow up first? [...]
Insider Trading via Sell-Side Analysts? Welcome to the Jungle!
Tipping Paul Irvine, Marc Lipson, and Andy Puckett A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Do Fund of Funds add value? Depends on which version of the paper you read…
Version 1 (Version for FoF GP owners) The Value of Funds of Hedge Funds: Evidence from their Holdings Adam Aiken, Chris Clifford, and Jesse Ellis [...]
More Thoughts on Investing in Gold–includes chart porn!
We've chattered a bit on gold recently: https://alphaarchitect.com/2013/03/thinking-about-gold-investments/ Cam Harvey and Claude Erb have chattered a lot more on gold: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2078535 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2148691 We went ahead [...]
Practice what you preach…
Even at the range we rock our true love for quant.
Thinking about gold investments
Many investors believe the financial system is a ponzi scheme. At some level, I can't disagree. But how does one protect against total meltdown of [...]