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.

Morningstar 2014 ETF Conference Slides

By | 2017-08-18T17:00:06+00:00 September 23rd, 2014|Investor Education, Tactical Asset Allocation Research|

Many of you have asked for the slides I presented at the ETF conference on tactical asset allocation. Note, the 2nd slide is an animation slide that doesn't translate to PDF. Slides are below: https://alphaarchitect.com//wp-content/uploads/2014/09/Asset_Allocation_Facts_and_Fiction_v03.pdf

Mixing Momentum and Value: A Winning Combination?

By | 2017-08-18T17:00:46+00:00 September 23rd, 2014|Value Investing Research, Momentum Investing Research|

Combining Value and Momentum Fisher, Shah and Titman (2014) 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: This paper considers [...]

Flexible Asset Allocation: Dethroning Moving Average Rules?

By | 2017-08-18T17:04:58+00:00 September 18th, 2014|Research Insights, Tactical Asset Allocation Research|

Strategy Summary The flexible asset allocation strategy was first proposed by Keller and Putten (2012), in their paper "Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach". The flexible asset allocation strategy, hereafter, FAA, incorporates [...]

Surprising Facts on Post-Earnings Announcement Drift

By | 2017-08-18T16:56:31+00:00 September 17th, 2014|Research Insights, Behavioral Finance|

Recency Bias and Post-Earnings Announcement Drift Qingzhong Ma, David Whidbee, and Wei Zhang A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

A Framework for Investment Manager Selection: Stick to the FACTS

By | 2017-08-18T17:11:23+00:00 September 16th, 2014|Key Research|

Used car salesmen types are everywhere, especially in the asset management business. What defines the used car salesman? Used car salesmen are often focused on selling something—anything on their lots that has four wheels—rather than identifying the right vehicle for the client. The same holds true with the asset management business. Some asset management salesmen just want to sell something—anything, regardless of its suitability. Alpha Architect’s experience working with family offices in the dual role of consultant and investment manager has given us the opportunity to see a lot of indecipherable marketing materials and esoteric investment strategies over the years, neither of which appear to be in the best interest of the investor. We’ve always sought a simple framework that would facilitate a quick evaluation of any strategy that came through the door, but nothing really existed. Necessity is indeed the mother of invention: We developed our own framework for determining strategy selection and assessment. Our method is based on a few simple concepts, which should be clearly understood within the context of any investing approach, regardless of objective. In the end, choosing investment opportunities simply comes down to the FACTS.

Behavioral Bias Bingo — Availability Heuristic

By | 2017-08-18T17:09:43+00:00 September 16th, 2014|Behavioral Finance|

If you can recall something, you think it's important From 1990 through 2000 there were 1.4 deaths per 10 million passengers on U.S. scheduled airlines. Flying understandably feels dangerous. But we have actually been less [...]

Our Value Proposition: Affordable Alpha

By | 2017-08-18T16:59:34+00:00 September 16th, 2014|Key Research|

Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday. But this mission is not our product. Our product is Affordable Alpha: We seek to delivers alpha (highly differentiated risk/reward profiles) at low costs, thereby giving sophisticated (taxable) investors a higher chance of winning net of fees and taxes.

Valuation Spreads Over Time: A Unique Market Timing Signal?

By | 2017-08-18T16:53:55+00:00 September 12th, 2014|Value Investing Research, Uncategorized, Tactical Asset Allocation Research, Macroeconomics Research|

The blogosphere is spammed with commentary related to the current high market valuations and the inevitable crash that "must" ensue. We've even been involved in the conversation at different points, trying to add some depth [...]

Attention Shareholders: Get Your CEO in Shape!

By | 2017-08-18T17:09:55+00:00 September 11th, 2014|Research Insights|

CEO Fitness and Firm Value Limbach and Sonnenburg 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 provide evidence for [...]

How many stocks should you own? The costs and benefits of Diversification

By | 2017-08-18T17:03:37+00:00 September 9th, 2014|Research Insights, Key Research, Tactical Asset Allocation Research|

In this post we explore the trade-off between diversification and alpha generation. Here is a high level summary of the situation: Owning more stocks in a portfolio lowers "idiosyncratic" risk, or risk that can be eliminated through diversification...however...Owning more stocks dilutes performance of an "alpha" generating process. (e.g., forcing Warren Buffett to hold a 500 stock equal-weighted portfolio would dampen his alpha). In summary, fewer stocks in a portfolio imply more expected alpha and more idiosyncratic risk; more stocks in a portfolio imply less expected alpha and less idiosyncratic risk. But what is the optimal trade-off between alpha and idiosyncratic risk? Do we want to own a 1 stock portfolio? A 50 stock portfolio? A 1000 stock portfolio?

Can Mutual Funds become Hedge Funds? No.

By | 2017-08-18T17:08:24+00:00 September 2nd, 2014|Research Insights|

Investment Restrictions and Fund Performance Clifford, Fulkerson, Hong, and Jordan 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 examine [...]

Interesting Tactical Asset Allocation Tool: Value portfolios

By | 2017-08-18T17:02:54+00:00 August 26th, 2014|Research Insights, Value Investing Research, Momentum Investing Research|

Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Remark:  The Fama-French [...]

Tactical Asset Allocation During Cheap Markets

By | 2017-08-18T16:56:25+00:00 August 22nd, 2014|Key Research, Tactical Asset Allocation Research|

In our last post, we looked at tactical allocation using valuation metrics and trend-following measures. Our conclusion from the analysis is that discerning robust trading signals based on  market valuations is difficult at best. This [...]

Old School Academics on Moving Average Rules: Remarkable.

By | 2017-08-18T16:59:43+00:00 August 13th, 2014|Research Insights, Tactical Asset Allocation Research|

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Brock, Lakonishok, and LeBaron A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research [...]