Dissecting Net-Net Returns over the past 6-months
Paul Sepulveda has an interesting guest post for us today. Paul dissects the recent performance of net-nets and identifies some interesting tidbits. Below I have [...]
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.Exploiting Option Information in the Equity Market
Exploiting Option Information in the Equity Market Guido Baltussen, Bart Van Der Grient, Wilma De Groot, Erik Hennink and Weili Zhou http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2001461 Key Points: Long/Short [...]
Are stock pickers better than Computers?
Empiritrage has a detailed research piece on the question of whether or not quantitative value can beat fundamental stock-pickers. http://empiritrage.com/2012/03/24/man-vs-machine-quantitative-value-or-fundamental-value/ Here are a few highlights: [...]
Doing well by doing good? Employee satisfaction update
A while ago we highlighted a very interesting paper by Alex Edmans: https://alphaarchitect.com/2011/04/satisfying-employees-a-satisfying-investment-strategy/ Alex has published a version of the paper that looks at the [...]
Sister-in-Law’s MOTIVATING blog: http://healthyhungryhappy.com/
http://healthyhungryhappy.com/ This is a bit of shameless promotion, but I like to support entrepreneurs--they make the world go round and have the courage to "get in [...]
How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
Wow, Turnkey Analyst and I have been buried at Turnkey Analyst working on a variety of research projects and hanging out with our families over [...]
Academic Alpha: Real Estate and Stock Returns
The following summary is from our academic alpha database at http://alpha.turnkeyanalyst.com/ideas/55. Title: Corporate Real Estate Holdings and the Cross Section of Stock Returns Authors: Selale Tuzel [...]
Magic score: Long-Term vs. Short-Term
Security Analysis, by Graham and Dodd, is a classic text on value investing. We love it. And despite our outward "quant" appearance, everything thing we [...]
Magic Formula and MA Rules: A Bad Combo!
Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related [...]
Volcker Rule and Muni-Bond Liquidity–back of the envelope opinion.
Volcker Rule May Adversely Impact Munis http://www.bondbuyer.com/issues/120_225/volcker-rule-impact-munis-1033412-1.html The municipal bond market makers are making the case that eliminating prop desks will somehow decrease liquidity and screw up [...]
Long-Term Market Return Projections
John Hussman has an interesting piece on predicting long-term market returns:http://hussmanfunds.com/wmc/wmc050222.htmThe article is a bit dated (2005), but still fascinating.In the short piece Hussman suggests [...]
Investigating Equity and Bond Allocation Models
We've been toying with models that will predict the stock market: better known as "cold fusion." There is an incredible amount of research on the [...]
Insider Trading–Congress loves it!
60 Minutes has a great segment explaining the lack of insider trading rules for Congressmen. http://www.cbsnews.com/video/watch/?id=7388130n&tag=contentBody;storyMediaBox Amazing, isn't it? You can sit on the healthcare [...]
Risk-Managed Momentum
Last week we discussed the possibility that "momentum is finished." Astute readers of the blog generally agreed with the concept, but also pointed out that [...]
Momentum Finished?
CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This [...]
Shorting the Magic Formula
I just got back from the Value Investing Congress--http://www.valueinvestingcongress.com/. The event was exceptional and very thought-provoking. While Einhorn's annihilation of Green Mountain Coffee was impressive [...]
Real-Time Market Efficiency
Market Efficiency in Real-Time Jeffrey Busse and Clifton Green A recent version of the paper can be found here. Abstract: The Morning Call and Midday Call [...]
Academic Alpha vs. Practical Alpha
WARNING: After reading this you will no longer believe money grows on trees. I love working on this blog--great outlet to discuss cool research, share [...]
Debunking Semi-Strong Market Efficiency
Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar Gur huberman and Tomer RegevA recent version of the paper can [...]
Screen Backtest during the 2008 debacle
Turnkey Analyst showed me a very interesting article from ZeroHedge this morning: http://www.zerohedge.com/news/some-fun-analogies-rhyming-history-and-repeating-futures The main point of the article? History almost repeated itself! Oct [...]