Wesley R. Gray, Ph.D.

//Wesley R. Gray, Ph.D.

About Wesley R. Gray, Ph.D.

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.

An Up-and-Coming Behavioral Finance Pro: Casey Dougal, Ph.D.

By | 2017-08-18T17:10:34+00:00 August 14th, 2015|Business Updates|

We are proud to welcome Casey Dougal, Ph.D. to our advisory team. We were colleagues at Drexel and after engaging in multiple discussions on research and new ideas, we decided to formalize the relationship. Many [...]

Avoiding the Big Drawdown with Trend-Following Investment Strategies

By | 2017-08-18T17:09:50+00:00 August 13th, 2015|Research Insights, Key Research, Tactical Asset Allocation Research|

Simple timing rules, focused on absolute and trending asset class performance, seem to be useful in a downside protection context. Our analysis of the downside protection model (DPM), applied on various market indices, indicates there is a possibility of lowering maximum drawdown risk, while also offering a chance to participate in the upside associated with a given asset class. Important to note, applying the DPM to a portfolio will not eliminate volatility and the portfolio will deviate (perhaps wildly) from standard benchmarks. For many investors, these are risky propositions and should be considered when using a DPM construct.

Expensive Junk Stocks are Killing High-Quality Value Stocks, YTD

By | 2017-08-18T17:05:18+00:00 August 4th, 2015|Value Investing Research, $vlue, $iwd, $qual|

In general, investors focused on affordable stocks with strong fundamentals have been taken to the cleaners year-to-date. Meanwhile, expensive stocks with poor fundamentals have been rocking! Some Basic Statistics: Below we  document some core performance [...]

Daily Academic Alpha: Warren Buffett Market Predictions

By | 2017-08-18T17:07:03+00:00 August 3rd, 2015|Tactical Asset Allocation Research|

Last week we had a fairly long post on a valuation based asset allocation strategy that might actually work. This post followed a couple of other research projects on the issue, which showed limited evidence [...]

Betting Against Days to Cover

By | 2017-08-18T17:09:20+00:00 July 30th, 2015|Research Insights, Tactical Asset Allocation Research|

Days to Cover and Stock Returns Hong, Li, Ni, et al. A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: The [...]

P/E “Attention” Strategies Earn Monthly Excess Return of 1%!

By | 2017-08-18T16:59:31+00:00 July 23rd, 2015|Research Insights, Behavioral Finance|

Rankings of Published Pricing-earnings Ratios and Investor Attention Jordan Moore A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: Active investors [...]

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Eureka! A Valuation-Based Asset Allocation Strategy that Might Work

By | 2017-08-18T17:05:25+00:00 July 21st, 2015|Tactical Asset Allocation Research|

We've had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up in disappointment... Can market Valuations Be Effective Market-Timing Signals? Dissecting [...]

Our Free Tools Are Updated: Do-It-Yourself Investors Unite

By | 2017-08-18T16:59:38+00:00 July 13th, 2015|Tool How-To-Guides|

Readers: We've updated the technology behind our free tools for financial professionals. Unfortunately, this took a long time, but now that we've developed the framework, we'll be able to launch new and better tools in the [...]

Daily Academic Alpha: International 5-Factor Evidence from Fama and French

By | 2017-08-18T17:07:32+00:00 July 13th, 2015|Uncategorized|

About a month ago we posted on the robustness of the Novy-Marx profitability factor, which is embedded in the Fama-French 5-factor. We also highlighted potential weaknesses in the 5-factor model across international markets. Fama and French have responded [...]

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A Live Lesson in Value-Investing: The Energy Meltdown

By | 2017-08-18T17:11:21+00:00 July 10th, 2015|Value Investing Research, $xle, $xlv|

We sat down and did a quick and dirty analysis of the S&P sector ETFs on a YTD basis and over the past 2 months. Here are the sector portfolios we used for our analysis: [...]

Book Review: A Wealth of Common Sense by Ben Carlson

By | 2017-08-18T17:09:02+00:00 July 8th, 2015|Book Reviews, Tactical Asset Allocation Research|

Ben Carlson splashed onto the blog scene a few years ago with his hit website, aptly named, "A Wealth of Common Sense." My initial reaction was, "Oh great, here we go again. Some kid trying to pretend [...]

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Value Investing Research: O-Score and Distress Risk

By | 2017-08-18T16:53:50+00:00 July 7th, 2015|Value Investing Research, Yahoo Tickers, $vlue, $syld, $iwd|

Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk.  There are two schools of thought on the value premium, or [...]

The First Academic Paper with a Shotgun Picture in it

By | 2017-08-18T16:55:36+00:00 July 2nd, 2015|Tactical Asset Allocation Research|

Here is one of the figures in a Journal of Finance paper published in 2013 by N. Garleanu and L Pedersen. The figure depicts various portfolio optimizations under different assumptions and then has a visualization [...]

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Long/Short Hedge Fund Factors: Low-Cost Downside Protection?

By | 2017-08-18T17:01:21+00:00 July 1st, 2015|Uncategorized, Tactical Asset Allocation Research, $qual, $qai|

The holy grail of financial markets is finding strategies that have misaligned risk and reward characteristics. In the traditional view, investors try to do the following: Identify strategies that have high returns, then... find ways [...]