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.

How to Make Money in Markets: Understanding Expectation Errors

By | 2017-08-18T17:03:19+00:00 June 24th, 2015|Behavioral Finance, Value Investing Research, $SPY, Yahoo Tickers|

A new working paper from Gennaili, Ma, and the one-the-only Andrei Shleifer. Expectations and Investment Using micro data from Duke University quarterly survey of Chief Financial Officers, we show that corporate investment plans as well [...]

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Daily Academic Alpha: Corporate Loan Momentum Alpha

By | 2017-08-18T17:07:41+00:00 June 19th, 2015|$IEF|

The Cross-Section of Expected Returns in the Secondary Corporate Loan Market We examine the pricing of characteristics and betas in the cross-section of expected corporate loan returns. Expected loan returns decrease with default beta. Default [...]

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Sobering 10-Year Market Predictions from CFOs

By | 2017-08-18T16:56:49+00:00 June 15th, 2015|Tactical Asset Allocation Research, $SPY, Macroeconomics Research|

The Graham-Harvey survey is complete and the expectations of CFOs are available for review. As the figure below highlights, expected returns on the S&P 500 have been gradually decreasing over time. As of Q1 2015, [...]

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A Glimpse of the Financial Entrepreneurs of the future

By | 2017-08-18T17:11:22+00:00 June 9th, 2015|Uncategorized|

This last quarter I taught an advanced seminar at Drexel University (Finance 698). I love running my seminar for the following reasons: I get to meet new and exciting young minds. I learn new things from my [...]

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Behavioral Finance: Part Behavior, Part Market Frictions

By | 2017-08-18T17:09:30+00:00 June 8th, 2015|Behavioral Finance|

The baseline theory for understanding asset prices is the Efficient Market Hypothesis (the “EMH”), pioneered by Eugene Fama. Of particular interest is semi-strong market efficiency, which claims that markets prices reflect all publicly available information about [...]

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Did Ben Graham Value Investing Work in the Recent Bull Market?

By | 2017-08-18T17:06:53+00:00 June 2nd, 2015|Uncategorized|

Forbes outlines one of Ben Graham's basic value investment strategies and analyzes how it has performed from 1949 through 2012. Even with all of the fiscal cliff and European debt drama in 2012, the Graham-based [...]

Value Investing in a Honda Civic–and proud of it…

By | 2017-08-18T16:53:52+00:00 May 29th, 2015|Value Investing Research, Yahoo Tickers, $syld, $iwd|

Last week I had the privilege of being on CNBC to talk about value investing. A big shout out to Josh Brown, who introduced me to the Halftime Report producer. (video is below). [iframe src="http://player.theplatform.com/p/2E2eJC/nbcNewsOffsite?guid=c_qualitysto_150522" [...]

Basic Factor Analysis: Simple Tools to Understand What Drives Performance

By | 2017-08-18T17:09:45+00:00 May 28th, 2015|Research Insights, Investor Education, Introduction Course, $SPY|

Investors should know what they are buying and why they are buying it. Unfortunately, more often than not, investment products are jammed down the throats of unsuspecting victims who are either ignorant, easy to influence, [...]

From the Frontlines to Finance: How the Marines Shaped Our Investment Philosophy

By | 2017-08-18T17:04:45+00:00 May 25th, 2015|Research Insights, Key Research, $SPY|

Serving in the Marine Corps was an unforgettable experience. Civilians often tell us “thank you for your service”; however, the real “thanks” is due to the Corps for giving us valuable life lessons. The not-so subtle teachings bestowed upon us by heavily muscled, insanely aggressive Marine Corps Drill Sergeants are still, literally, ringing in our ears: “Listen here, pond scum, you better run faster, shoot straighter, and decide quicker if you are going to win in battle!” Years later, we would test that theory in real-time, battling insurgents in Iraq. As we trade in our flak jackets for laptops and neckties, the lessons learned in combat and are not only relevant, but vital on the battlefield of high finance. Four core lessons apply to frontlines and finance: Humans Are Emotional: Systematic processes beat behavioral bias; Rambo isn't Realistic: Act based on evidence, not on stories; Complacency Kills: Focus on fundamentals and never stop learning; Integrity is Everything: Do things right and do the right thing.

Where are the Cheap High Quality Value Stocks?

By | 2017-08-18T16:52:23+00:00 May 20th, 2015|Tactical Asset Allocation Research|

Here is a snapshot of a model portfolio built on the Quantitative Value philosophy. Note: we exclude financials in our analysis, so by construction they have a 0% allocation May 2017 Update on sector allocations Consumer [...]

Tactical Asset Allocation: Beware of Geeks Bearing Formulas

By | 2017-08-18T16:56:15+00:00 May 19th, 2015|Research Insights, Key Research, Tactical Asset Allocation Research, $GMOM|

How Should I Tactically Allocate my Assets? A lot of investors ask this question as their wealth grows and the number of financial products grows exponentially. In order to generate a response, investors pay money to [...]

What Drives the S&P 500 Equal-Weight Return Premium?

By | 2017-08-18T16:52:29+00:00 May 18th, 2015|Research Insights, $SPY, $rsp|

A recent academic paper, Equal or Value Weighting? Implications for Asset-Pricing Tests, highlights two methods of weighting: Equal-weight and Value weight. As the paper states: With monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of total mean [...]