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.

Dissecting Goldman’s 99 percentile Market-Timing Signal

By | 2017-08-18T17:06:48+00:00 February 26th, 2015|Research Insights, Tactical Asset Allocation Research, $SPY|

Investors have been worrying, at least for the last several years, that the market is overvalued. By some measures this is undoubtedly true. Just yesterday we highlighted that the Shiller CAPE is in the 94th percentile as of [...]

Can you Predict Stock Market Returns with Short Interest?

By | 2017-08-18T17:08:21+00:00 February 23rd, 2015|Research Insights, $SPY|

Short Interest and Aggregate Market Returns Rapach, Ringgenberg and Zhou 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: We show [...]

Our Asset Allocation Backtest Tool (a how to guide)

By | 2017-08-18T16:59:39+00:00 February 16th, 2015|Tool How-To-Guides|

Our Asset Allocation Backtesting Tool is Live! You can build and backest your own asset allocation portfolio using our "Allocation Architect" tool. How to Access the Tool? Step 1: Click "Our tools" tab from our [...]

The Wrong Way to Pick Value Investing Funds

By | 2017-08-18T16:55:05+00:00 February 16th, 2015|Research Insights, Value Investing Research, $SPY|

US News laundry lists their top 10 "Value Investing Funds," or Value Investing ETFs, in their recent article: http://money.usnews.com/funds/etfs/rankings/value-funds The criteria (and weighting) for selecting so-called "Value" ETFs are outlined below: Expense Ratio (30%) Tracking Error [...]

Quant Geek Weekend Finance Homework

By | 2017-08-18T16:58:37+00:00 February 15th, 2015|$SPY|

Recently Discovered Research You Might Have Missed: To Hedge or Not to Hedge? (Morningstar.com) The Very Cheapest Stocks (P/B) Do Very Badly (Millennial Invest) Exploring Social Media Analytics (The Behavioural Quant) Retirement Planning of Younger Baby-Boomers: Who [...]

A Tactical Asset Allocation Horserace Between Two Thoroughbreds

By | 2017-08-18T17:11:14+00:00 February 13th, 2015|Research Insights, Tactical Asset Allocation Research, $SPY|

Executive Summary: Dual Momentum, a concept pioneered by Gary Antonacci, intelligently combines elements of two types of momentum investing strategies -- absolute and relative momentum -- into a comprehensive asset allocation system. His paper shows that [...]

Overnight Momentum vs. Intraday Momentum

By | 2017-08-18T16:59:32+00:00 February 12th, 2015|Research Insights, Momentum Investing Research, $SPY|

A Tug of War: Overnight Versus Intraday Expected Returns Lou, Polk and Skouras A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

For an Auditor, Intuition Might Matter!

By | 2017-08-18T17:04:50+00:00 February 6th, 2015|Research Insights, Behavioral Finance|

Thinking Fast versus Thinking Slow: The Effect on Auditor Skepticism Wolfe, Christensen and Vandervelde A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]

Fundamental Investors Following Insider Filings–Beware!

By | 2017-08-18T17:04:44+00:00 February 2nd, 2015|Research Insights|

Run EDGAR Run: SEC Dissemination in a High-Frequency World Rogers, Skinner and Zechman A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

Does “Sharpe Parity” work better than “Risk Parity?”

By | 2017-08-18T17:06:15+00:00 January 27th, 2015|Research Insights, Tactical Asset Allocation Research|

Strategies employing risk parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies are two-fold: 1) the great story associated with the approach and [...]

Insights on ETMFs and ETFs from an ETF Service Provider

By | 2017-08-18T17:02:59+00:00 January 26th, 2015|Research Insights, Interviews, Investor Education|

Our firm mission is to empower investors through education. One area of the marketplace where education is lacking is in the ETF, or exchange-traded-fund arena. ETFs are a relatively new delivery mechanism through which investors can [...]