Short Selling Bans Generally Don’t Work!
Public Service Announcement: To all the free-market pro-competition haters of the world that believe government regulation solves all our problems, please read the following paper. Short-Selling [...]
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.Quantitative Value is now available on Kindle–finally!
Sorry about the delay!
Herbalife (HLF): Is it a Fraud? Not likely.
Herbalife is currently a highly debated stock. On one side you have Bill Ackman claiming the firm is a ponzi scheme. On the other side [...]
Reviews of Volatility-Based Allocation
My research team at Empiritrage, LLC posted an interesting idea--very new and in need of further R&D--on volatility-based allocation: When Empiritrage released the initial report [...]
Simple Models Beat Experts: Even in Investment!
One of the more fascinating findings from psychology research is the empirical finding that simple models often beat experts. In other words, insights from your [...]
Ben Graham: Skill or Luck?
Toby has a great post on his blog: http://greenbackd.com/ http://greenbackd.com/2013/01/09/examining-benjamin-grahams-record-skill-or-luck/
Flexible Asset Allocation
Generalized Momentum and Flexible Asset Allocation (FAA) An Heuristic Approach Wouter J. Keller and Hugo S.van Putten A recent version of the paper can be [...]
New Tax Bill
Always fun to read the source document: http://www.gpo.gov/fdsys/pkg/BILLS-112hr8eas/pdf/BILLS-112hr8eas.pdf Amazing how many carve outs and special interest deductions there are in the tax code. Would anyone [...]
Quantitative Value Book released
Today is the first day our book is available via all outlets where books are sold. Toby, a co-author, has a great post on the [...]
Merry Christmas with Mean-Variance-Analysis
We are going to try and post a video once every month. The intent is to democratize quant and train our audience to harness basic [...]
Good Timing, Meb
I spent a few hours writing up a post mapping out the likelihood of 2-3% real returns over the next 15 years... Then Meb posts [...]
Projected 15-year S&P 500 Returns
Prediction stock market returns--a fascinating concept. A true magical talent. Of course, we've put some of our brainpower (a limited resource!) on the subject [...]
News and Google Hits: A Path to 20% Alpha?
Media and Google: The Impact of Information Supply and Demand on Stock Returns by Yanbo Wang Yanbo identifies information into two buckets: News releases (supply) and [...]
CEO Voice Pitch–Deeper Voice; deeper pockets
Just when you thought academics were not wasting their time doing incredibly useless research, along comes this intriguing research: Voice Pitch Predicts Labor Market Success [...]
Low Beta/Vol Outperformance
There are many blogs/funds/research promoting low beta stocks as a way to get rich: A blog example --Falken A fund example --AQR Defensive Fund A [...]
January 8-9 Investor Conference: Systematic Value Investing Discussion
Readers, The manual of ideas has a great concept cooking--web-based investor conferences. The same value as the expensive conferences at a fraction of the costs. [...]
Tactical Asset Allocation Series: Part 3 (Equal-Weight with Moving Averages)
This is the third part in our series on tactical asset allocation. In the series we highlight the equal-weight with moving average tactical asset allocation [...]
Predicted 10-Year returns from the Shiller P/E
A quick update on the Shiller P/E predictions--been a slew of articles/research on this recently: CXO Advisory Summary http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2172164 We've written fairly extensively on the [...]
Make 24bps a week trading skewness?
That is what Amaya, Christofferson, Jacobs, and Vasquez find. We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and [...]
Tactical Asset Allocation Series: Part 2 (Equal-Weight)
This is the second part in our series on tactical asset allocation. Our initial pieces outlined the basics of tactical asset allocation and offered some [...]