Systematically Executing a Value Investment Philosophy

/Systematically Executing a Value Investment Philosophy

Systematically Executing a Value Investment Philosophy

By | 2017-08-18T16:56:27+00:00 December 11th, 2013|Value Investing Research|10 Comments

The story of our quantitative value algorithm as told at the Nantucket Project:

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About the Author:

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,, 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.


  1. Tactical Allocation December 18, 2013 at 12:33 am

    Tried to add a comment to this page but there is no place to log in.

    Why is this not the last chapter of your book? Why not after doing the screening add in these factors to improve performance? Momentum, Variance, moving average added to the Quant value results would seem to be better. No?

    • Wes Gray December 18, 2013 at 9:30 am

      We wanted to keep the core focus on the stock selection algorithm. If you mix and mingle other ideas it can often confuse the central message. Obviously, folks can add other bells and whistles and we encourage readers to share any insights they come across.

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