Quant Geek Weekend Finance Homework

Quant Geek Weekend Finance Homework

February 22, 2015 Uncategorized
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(Last Updated On: January 18, 2017)

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Definitions of common statistics used in our analysis are available here (towards the bottom)




About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, 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 that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.


  • Michael Milburn

    Hi Wes, I saw your interview on the fivegoodquestions podcast, and enjoyed it quite a bit – even from just a pure entertainment standpoint. http://fivegoodquestions.co/season-1/s1e14 Your investing approach/thinking/personality comes across well. Maybe if CNBC calls again, give them some of that and you’ll be a regular!

    I wanted to pass along this link I saw on abnormal returns regarding stop losses in case you were interested – it might fit in well with your research on asset allocation/timing strategies. The link advocates a trailing monthly stop of around 20% based on empiricals to reduce risk, enhance return. (I haven’t seen you write about stops, but you may have already written about this. In my limited work with stops I can’t tell if they’re any better than just using a simple market based stop like 200 or 220 MA, but I found it interesting that the data presented indicates that a trailing stop worked better than stop based on entry price.)
    http://www.quant-investing.com/blogs/general/2015/02/16/truths-about-stop-losses-that-nobody-wants-to-believe