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.

Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability

By | 2017-08-18T16:56:17+00:00 September 22nd, 2016|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

The prospect of being able to successfully anticipate and predict future market returns is irresistible to practitioners and academics alike, although success has proven elusive. Many have fallen short while seeking this "holy grail" of investing. [...]

From Physics to Finance: Adam Tkaczuk Joins Alpha Architect

By | 2017-08-18T17:04:45+00:00 September 19th, 2016|Business Updates|

We wanted to formally welcome the newest addition to the Alpha Architect team, Adam Tkaczuk, who joins us as Director of Portfolio Services. Adam started off in physics, transitioning his quantitative skills to assist family [...]

Comments Off on From Physics to Finance: Adam Tkaczuk Joins Alpha Architect

Value investing is quite possibly the worst idea…EVER

By | 2017-08-18T16:53:51+00:00 September 14th, 2016|Research Insights, Behavioral Finance, Value Investing Research|

We believe deeply in the value philosophy as first described by Ben Graham: view stocks as ownership in a firm; buy with a margin of safety; avoid stories; think independently; and so forth. In fact, [...]

Is momentum investing dead? Or is it just painful?

By | 2017-08-18T17:01:41+00:00 September 7th, 2016|Momentum Investing Research|

Sometimes even the best evidence-based active investment strategies can create a formidable challenge to investors seeking to exploit them. Case in point -- momentum investing.  On the one hand, stock-selection momentum strategies (here is a [...]

DIY Asset Allocation Weights: September 2016

By | 2017-08-18T17:06:29+00:00 September 2nd, 2016|Tool Updates|

Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Strategy Date Domestic Value Domestic Mom Int'l. Value [...]

Comments Off on DIY Asset Allocation Weights: September 2016

Time Series Momentum and Volatility Scaling

By | 2017-08-18T16:54:59+00:00 August 31st, 2016|Momentum Investing Research, Tactical Asset Allocation Research, Managed Futures Research|

There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series Momentum" paper (some background here). The paper is behind a [...]

March for the Fallen. Come Join the Alpha Architect Team!

By | 2017-08-18T17:01:05+00:00 August 26th, 2016|Business Updates, Uncategorized|

Looking for a great challenge on a Saturday morning on September 24th? Come join some members of the Alpha Architect team and our tribe of friends/clients when we take part in the “March for the Fallen” on Saturday, September [...]

Comments Off on March for the Fallen. Come Join the Alpha Architect Team!

Dealing with Delistings: A Critical Aspect for Stock-Selection Research

By | 2017-08-18T17:06:59+00:00 August 19th, 2016|Research Insights|

Eric Crittenden was recently on Meb Faber's podcast  and he tells a compelling story about the perils of survivor bias in backtesting. Eric's story begins when he is an undergraduate working on a project for a [...]

Comments Off on Dealing with Delistings: A Critical Aspect for Stock-Selection Research

Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs

By | 2017-08-18T16:56:32+00:00 August 17th, 2016|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following: "size," or a portfolio of [...]

Asset Pricing with–and without–garbage.

By | 2017-08-18T17:09:57+00:00 August 12th, 2016|Uncategorized, Macroeconomics Research|

If you are into consumption-based asset pricing theory and the associated empirical attempts to reconcile the theory with the data from the realized equity premium, garbage is a fascinating subject. So let's talk about asset pricing both with--and [...]

Comments Off on Asset Pricing with–and without–garbage.

Alpha Architect 2 for 1 book deal — cheap summer reading!

By | 2017-08-18T17:10:43+00:00 August 9th, 2016|Tool Updates, Book Reviews|

Readers: We know a lot of you are out on vacation in August and probably having the time of your life (eg., see below). But just because you are on vacation, doesn't mean you should stop [...]

Can Investors Replicate the Dorsey Wright Focus 5 ETF Strategy?

By | 2017-08-18T17:08:26+00:00 August 9th, 2016|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

A long-time reader asked that we examine the performance and process associated with the Dorsey Wright Focus Five ETF (ticker: FV). For those who are unfamiliar with the product, FV is a $3B+ sector rotation fund. The fund [...]

DIY Asset Allocation Weights: August 2016

By | 2017-08-18T17:06:40+00:00 August 2nd, 2016|Tool Updates|

Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Full exposure to domestic equities. Full exposure to [...]

Comments Off on DIY Asset Allocation Weights: August 2016

Evidence-Based Investing Requires Less Religion and More Reason

By | 2017-08-18T17:05:23+00:00 July 27th, 2016|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant commercial hub for trade from around the world. Based on [...]

Beware of Institutional Ownership Data from 13F filings

By | 2017-08-18T17:09:19+00:00 July 22nd, 2016|Research Insights|

The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13(f) securities (e.g., stocks). Here is a link to the 13(f) [...]

Style Momentum in Australia?

By | 2017-08-18T16:56:37+00:00 July 19th, 2016|Research Insights, Momentum Investing Research|

Jegadeesh and Titman (1993) popularized a simple idea: "past winners outperform past losers." Post JT, the relative strength, or "momentum anomaly," was forever ingrained in the minds of academic researchers (which is odd, since the [...]

Comments Off on Style Momentum in Australia?

Recapping the Alpha Architect Team Building Adventure

By | 2017-08-18T16:58:04+00:00 July 15th, 2016|Business Updates|

The Alpha Architect Team & Friends took a trip to the mountains last weekend to conduct a Freedom Hike--Our unique form of team-building. We were hosted by my youngest brother who runs an elk outfitting [...]

Comments Off on Recapping the Alpha Architect Team Building Adventure