Reviews of Volatility-Based Allocation

/Reviews of Volatility-Based Allocation

Reviews of Volatility-Based Allocation

By | 2017-08-18T16:57:53+00:00 January 14th, 2013|Research Insights|3 Comments

My research team at Empiritrage, LLC posted an interesting idea–very new and in need of further R&D–on volatility-based allocation:

[image_frame style=”framed_shadow” align=”center”]https://alphaarchitect.com/wp-content/uploads/2013/01/PowerPoint-Presentation-Google-Chrome_2013-01-14_08-56-12.png[/image_frame]

When Empiritrage released the initial report we were hoping others in the blogosphere would continue to work on the idea.

Our dream came true:

If you’ve done any work on the system, please share and I’ll post. I know there are multiple ways in which investors can improve upon the VBA system Empiritrage originally explored.

 


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About the Author:

Wes Gray
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.