Skip to Content
ETF Specialist

A Deep-Value Quantitative Hedge Fund Strategy

A look at finance professor Wesley Gray's new exchange-traded fund.

Mentioned: ,

This article was published in the November 2014 issue of Morningstar ETFInvestor. Download a complimentary copy of ETFInvestor here.

ValueShares US Quantitative Value (QVAL) has an unusual history. Its creator, Drexel University finance professor Wesley Gray, began his career as a money manager while studying for his Ph.D. at the University of Chicago under Eugene Fama. Friends and family gave Gray around $3 million to run in a systematic value strategy. Gray also wrote the Empirical Finance Research blog. Eventually, he began providing free stock screeners based on academic research. He graduated to publishing his own research on stock-picking rules. It culminated in a brick of a book fittingly called Quantitative Value, coauthored with value investor Tobias Carlisle and published in late 2012. In it, the two survey the literature on stock-picking signals and synthesize their own strategy. Around the time the book was published, Gray's firm began offering tax-managed separate accounts implementing the strategy. Gray soon realized there was an even more tax-efficient vehicle: the exchange-traded fund.

Samuel Lee does not own (actual or beneficial) shares in any of the securities mentioned above. Find out about Morningstar’s editorial policies.

Transparency is how we protect the integrity of our work and keep empowering investors to achieve their goals and dreams. And we have unwavering standards for how we keep that integrity intact, from our research and data to our policies on content and your personal data.

We’d like to share more about how we work and what drives our day-to-day business.

We sell different types of products and services to both investment professionals and individual investors. These products and services are usually sold through license agreements or subscriptions. Our investment management business generates asset-based fees, which are calculated as a percentage of assets under management. We also sell both admissions and sponsorship packages for our investment conferences and advertising on our websites and newsletters.

How we use your information depends on the product and service that you use and your relationship with us. We may use it to:

  • Verify your identity, personalize the content you receive, or create and administer your account.
  • Provide specific products and services to you, such as portfolio management or data aggregation.
  • Develop and improve features of our offerings.
  • Gear advertisements and other marketing efforts towards your interests.

To learn more about how we handle and protect your data, visit our privacy center.

Maintaining independence and editorial freedom is essential to our mission of empowering investor success. We provide a platform for our authors to report on investments fairly, accurately, and from the investor’s point of view. We also respect individual opinions––they represent the unvarnished thinking of our people and exacting analysis of our research processes. Our authors can publish views that we may or may not agree with, but they show their work, distinguish facts from opinions, and make sure their analysis is clear and in no way misleading or deceptive.

To further protect the integrity of our editorial content, we keep a strict separation between our sales teams and authors to remove any pressure or influence on our analyses and research.

Read our editorial policy to learn more about our process.