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