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.

Momentum Finished?

By | 2017-08-18T17:00:17+00:00 November 2nd, 2011|Research Insights, Momentum Investing Research|

CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This work inspired me to run the Size, Value, and Momentum [...]

Screen Backtest during the 2008 debacle

By | 2017-08-18T16:57:12+00:00 October 4th, 2011|Research Insights|

Turnkey Analyst showed me a very interesting article from ZeroHedge this morning: http://www.zerohedge.com/news/some-fun-analogies-rhyming-history-and-repeating-futures The main point of the article? History almost repeated itself! Oct 3, 2008: SPX=1099.23; VIX=45.14 Oct 3, 2011: SPX=1099.23; VIX=45.45 Since the [...]

Market Chaos Review

By | 2017-08-18T17:01:04+00:00 August 8th, 2011|Research Insights|

Meb has some great analytics and perspective on the recent turmoil in the markets: http://www.mebanefaber.com/2011/08/04/gaining-some-perspective/ Meb's post inspired me to churn out some quick research. I analyzed the monthly returns from Jan 1, 1963 to [...]

How to use the Fama French Model

By | 2017-08-18T17:03:14+00:00 August 1st, 2011|Research Insights, Value Investing Research, Investor Education, Introduction Course|

The CAPM is prolific, but doesn't appear to work! (Note: see here for our epic post on the history of factor investing.) For example, in the figures below I've plotted the Fama-French 25 (portfolios ranked [...]