Book Review: Your Complete Guide to a Successful and Secure Retirement
If you are looking for an applied framework for tackling the topic of financial planning, you should read Your Complete Guide to a Successful and [...]
About Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia 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 firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.Women In ETFs Fireside Chat: Event Video Footage
We were honored when Lauren Davis asked if we would host the Women in ETFs event at AA Global Headquarters (i.e. my house). The event [...]
Industry Insiders Can Outperform the Market
Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders Itzhak Ben-David, Justin Birru and Andrea Rossi Journal of Financial Economics, forthcoming A version [...]
Factor Investing in Practice
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art [...]
Day of the Week Matters for Some Anomalies
Day of the Week and the Cross-Section of Returns Justin BirruJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our [...]
Live in Portland, Calgary, Kansas City, or Chicago? Holla!
Readers: We'll be visiting the following locations in the near future: 2/26 to 3/1: Portland/Calgary area Wes/Ryan/Brandon Wes is speaking at a small conference: Sign [...]
Public Hedge Funds and Their Performance
Public Hedge Funds Lin Sun and Melvyn TeoJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic [...]
Is There a Size Effect in the Stock Market?
One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in [...]
Manager Sentiment and Stock Returns
Manager Sentiment and Stock Returns Fuwei Jiang, Joshua Lee, Xiumin Martin, Guofu Zhou Journal of Financial Economics, forthcoming A version of this paper can be [...]
DIY Asset Allocation Weights: February 2019
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The [...]
Size and Value in China
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What [...]
Rankings and Risk-Taking in the Finance Industry
Rankings and Risk-Taking in the Finance Industry Michael Kirchler, Florian Lindner, and Utz WeitzelThe Journal of Finance, Fall 2018A version of this paper can be [...]
Quarterly Analysis and Commentary: Q4 2018
We've posted our quarterly attribution materials on our performance site.[ref] Click on the links under attribution and/or webinar [/ref] We enjoyed putting the materials together [...]
Herding and Mutual Fund Performance
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Hao Jiang and Michela VerardoThe Journal of Finance, Fall 2018A version of this paper [...]
#Women in Finance Know Stuff: A Conversation with Paola Cerchiello
Today, we are interviewing someone from my country and a pioneer of data science education in Italy: Paola Cerchiello, Senior Assistant Professor of Data Science [...]
DIY Asset Allocation Weights: January 2019
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The [...]
Book Blowout for Christmas
Our three quant finance books are up on Amazon at cost ($19.99, 2-day shipping included). If you know someone looking to improve their knowledge of [...]
Data Science is Revolutionizing Investment Practice
Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this [...]
A Protocol to Prevent “Quants Gone Wild”
A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to [...]
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of [...]