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.

Quantitative Value Research: Cyclically-adjusted B/M (CA-BM) Factor

By | 2017-08-18T16:58:18+00:00 October 15th, 2014|Research Insights, Value Investing Research|

On the Performance of Cyclically Adjusted Valuation Measures Gray and Vogel A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Core Idea: [...]

The Fascinating Relationship Between Low Volatility and Value

By | 2017-08-18T16:55:37+00:00 October 14th, 2014|Key Research, Low Volatility Investing|

A week ago, we posted an article that presented simulation performances of low-volatility strategies. The results illustrated that low-volatility portfolios do have higher returns and lower risks than high-volatility portfolios. The point of this research piece is to [...]

Low-Volatility Investing: Avoid High Beta Stocks. Period.

By | 2017-08-18T17:01:16+00:00 October 9th, 2014|Key Research, Low Volatility Investing|

We've posted simulation and research-based studies on value and momentum. The evidence was pretty clear: never buy expensive stocks (Value) and ride winners and cut losers (Momentum). Another common "anomaly" is the low volatility anomaly. [...]

The Quantitative Value Investing Philosophy

By | 2017-08-18T16:55:18+00:00 October 7th, 2014|Research Insights, Key Research, Value Investing Research, Introduction Course|

Benjamin Graham, who first established the idea of purchasing stocks at a discount to their intrinsic value more than 80 years ago, is known today as the father of value investing. Since Graham’s time, academic research has shown that low price to fundamentals stocks have historically outperformed the market. In the investing world, Graham’s most famous student, Warren Buffett, has inspired legions of investors to adopt the value philosophy. Despite the widespread knowledge that value investing generates higher returns over the long-haul, value-based strategies continue to outperform the market. How is this possible? The answer relates to a fundamental truth: human beings behave irrationally. We are influenced by an evolutionary history that preserved traits fitted for keeping us alive in the jungle, not for optimizing our portfolio decision-making ability. While we will never eliminate our subconscious biases, we can minimize their effects by employing quantitative tools.

How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha

By | 2017-08-18T17:03:27+00:00 October 6th, 2014|Value Investing Research, Investor Education|

We've had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?) We're here to help! Below is a an old video (note the TurnkeyAnalyst reference) I [...]

Quantitative Value Research: E/P or Size Effect?

By | 2017-08-18T16:58:16+00:00 October 6th, 2014|Research Insights, Value Investing Research|

Earnings Yields, Market Values, and Stock Returns Jaffe, Keim and Westerfield A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Core Idea: [...]

Quantitative Value Research: Cyclically-adjusted P/E (CAPE) Factor

By | 2017-08-18T16:58:18+00:00 October 3rd, 2014|Research Insights, Value Investing Research|

Stock Prices, Earnings, and Expected Dividends Campbell and Shiller A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Core Idea: Price-earnings ratios [...]

Quantitative Value Research: Low P/E

By | 2017-08-18T16:58:15+00:00 October 2nd, 2014|Research Insights, Value Investing Research|

For the next 30-60 days we'll be posting a recap research report on classic research related to quantitative value investing. This is the first part of the series. Stay tuned for a whole lot more! Investment Performance [...]

Interesting Finding: Professors aren’t Totally Useless!

By | 2017-08-18T17:02:55+00:00 October 1st, 2014|Research Insights|

Professors in the Boardroom and Their Impact on Corporate Governance and Firm Performance Bill Francis, Iftekhar Hasan, Qiang Wu A version of the paper can be found here. Want a summary of academic papers with alpha? [...]

A New Take on SEC Comment Letters: Positive Drift!

By | 2017-08-18T17:11:20+00:00 September 30th, 2014|Research Insights|

Textual Classification of SEC Comment Letters James P. Ryans 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: SEC Comment letters [...]