Academic Factor Portfolios are Extremely Painful. Unless you are an Alien.
Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a [...]
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.Looking at Alternatives? Avoid Complexity and Magical Backtests
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper [...]
The Best Research Paper Ever Written on Trading Costs
Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via [...]
An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges
Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read [...]
A Q&A Discussion with Vanguard Researchers on the “Fair Value CAPE Ratio”
As everyone who's been invested for the last ten years knows, post-financial crisis stock returns have been incredible. The chart below highlights the total returns [...]
DIY Asset Allocation Weights: August 2018
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 [...]
Podcast: Factor Investing with Vanguard Factor Fund PM Liqian Ren (Wes & Jack)
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets host Wes Gray talks factor investing as [...]
March for the Fallen 8-Week Training Program for Busy Professionals
The March for the Fallen event is quickly approaching (sign up if you haven't and Please notify us if you are attending.). I've locked in space [...]
Factor Investing Insights You Won’t Hear from Fama and French
Factor investing research has a long storied past. Fama and French's 1992 and 1993 papers arguably put factor investing "on the map," but truth be [...]
Investment Performance of Female CEOs
Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our [...]
Artificial Intelligence and Value Investing
Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our summaries [...]
#Women in Finance Know Stuff: A Conversation with Lauren Simmons
After a 226 year dry spell (!), a woman will finally serve as the president of the NYSE (article). Stacey Cunningham, the new NYSE president, [...]
DIY Asset Allocation Weights: July 2018
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 [...]
Podcast: Momentum in Theory, Momentum in Practice (Jack)
Here is a link to our podcast on Flirting with Models. Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. [...]
Podcast: Corporate Bankruptcy with Kate Waldock (Wes)
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets Jeremy and Wes talk to Kate Waldock, [...]
Financial Constraints Generate a 6.5% 5-Factor Fama-French Alpha?
Are Financial Constraints Priced? Evidence from Textual Analysis Matthias Buehlmaier and Toni Withed Review of Financial Studies, forthcoming A version of this paper can be found here [...]
Fund of Funds Selection of Mutual Funds: Are Managers Skilled At It?
Fund of Funds Selection of Mutual Funds Edwin Elton, Martin Gruber and Andre de SouzaCritical Finance Review, forthcomingA version of this paper can be found hereWant to [...]
Commodities for the Long Run
Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here [...]
DIY Asset Allocation Weights: June 2018
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 [...]
Sharpening the Arithmetic of Active Management
For many investors, the superiority of passive investing over active investing is axiomatic (Earth to passive investors; Lunch is never free!) And why not? Study [...]