Keep pulling the thread on Wes Gray.
According to Greg Zuckerman's book, the Medallion Fund, managed by Jim Simons, generated 62% in annual returns for 30 years.
The Alpha Architect BOXX ETF, which utilizes a box spread strategy, is approaching $10 billion in assets under management.
The Alpha Architect CAOS ETF increased in value by approximately 25-30% during the Q1 2020 pandemic-driven market crash.
The Medallion Fund did not scale beyond a few billion dollars and eventually only managed money for its founding partners.
Wes Gray's benchmark for a credible investment backtest is that it must not only show strong performance but also clearly demonstrate periods of significant underperformance and career risk.
Wes Gray asserts that backtests produced by asset management firms that sell the corresponding product should be discounted by nearly 99% due to inherent incentive bias.
Alpha Architect's factor ETFs, such as QMOM and QVAL, are designed to be highly concentrated by typically buying the top 5-10% of stocks based on a given factor from a universe of the top 1000 stocks.
Alpha Architect's factor ETFs are intentionally designed with high active share and are not "closet indexers," contrasting with typical factor funds that only make small tilts away from a benchmark like the S&P 500.
Wes Gray believes that investors in Alpha Architect's concentrated factor funds need to have at least a 10-year investment horizon to successfully implement the strategies.
The Alpha Architect BOXX ETF has successfully delivered excess returns, net of fees and taxes, compared to equivalent 1-3 month duration Treasury bills.
The Alpha Architect CAOS tail risk ETF is structured to profit from a major market crash but funds this protection by selling put spreads, which causes the fund to lose money during small, slow drawdowns in the 0-20% range.
The Alpha Architect HIDE ETF is designed to provide exposure similar to a managed futures strategy at a cost of 29 basis points.