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.

Can Twitter Predict the Market’s Reaction to Fed FOMC Decisions?

By | 2017-08-18T17:08:23+00:00 April 12th, 2016|Research Insights|

Twitter seems to be a favorite dataset for financial researchers. Researchers keep trying to map tweets to profits. For example, we covered an idea related to this almost 5 years ago: Is trading with twitter [...]

Comments Off on Can Twitter Predict the Market’s Reaction to Fed FOMC Decisions?

Smart Beta: Data Mining, Arbitraged Away, Or Here To Stay?

By | 2017-08-18T16:56:52+00:00 April 7th, 2016|Research Insights|

Large institutional investors have had access to low-cost "smart beta" for many years. But for retail investors and their financial advisors, "smart beta" ETFs are a welcome innovation. Instead of trying to identify an expensive manager who can [...]

Update on the Valuation Metric Horserace: 2011-2015

By | 2017-08-18T16:54:00+00:00 April 6th, 2016|Research Insights, Value Investing Research|

Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a summary of the research paper on our own blog. The [...]

Smart Beta Analysis: Know What You Own

By | 2017-08-18T16:56:52+00:00 March 30th, 2016|Investor Education|

In collaboration with Pete Hecht (a fellow Chicago finance PhD and friend), we published an article with the CFA Institute today. https://blogs.cfainstitute.org/investor/2016/03/30/wheres-the-beef-is-your-low-fee-smart-beta-product-ripping-you-off/ The toolkit for assessing smart beta products is critical for investor understanding. Here is the [...]

Comments Off on Smart Beta Analysis: Know What You Own

Why do academic researchers avoid behavioral finance?

By | 2017-08-18T16:52:14+00:00 March 11th, 2016|Behavioral Finance|

Charlie Munger, Warren Buffett's right-hand-man and Vice Chairman of Berkshire Hathaway, has said the following regarding behavioral economics: How could economics not be behavioral? If it isn’t behavioral, what the hell is it? Apparently, academic researchers [...]

Comments Off on Why do academic researchers avoid behavioral finance?

Has the Value Investing Pain Train Ended?

By | 2017-08-18T17:03:56+00:00 March 8th, 2016|Value Investing Research|

Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a recap of the carnage. In many respects, value investing is [...]

Why We Built An Active Robo-Advisor and Why You Should Too.

By | 2017-08-18T16:52:05+00:00 March 3rd, 2016|Key Research, Robo Advisor, Business Updates|

Assuming you haven't been living under a rock, you've almost certainly heard something about robo-advisors. Millenials seem to love them while "old school" advisors are dismissive at best or terrified at worst. Some even believe they [...]

Predicting Anomalies with politics, weather, global warming, sunspots, and the stars

By | 2017-08-18T16:59:16+00:00 February 25th, 2016|Research Insights|

We've discussed the use of predictive regressions in the past. Here is an article to learn a bit more about the technique. And while the idea sounds cool, and could even be relabeled a low-tier [...]

Warnings: Savers should NOT get excited if the Fed Raises Rates

By | 2017-08-18T16:52:49+00:00 February 17th, 2016|Research Insights|

The Deposits Channel of Monetary Policy Drechsler, Savov and Schnabl 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 propose [...]

Shocking: Your Experience in the Uterus May Influence Your Investment Decisions!

By | 2017-08-18T16:57:00+00:00 February 16th, 2016|Research Insights, Behavioral Finance|

The Fetal Origins Hypothesis in Finance: Prenatal Environment, the Gender Gap, and Investor Behavior Cronqvist, Previtero et al. A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]

Dual Momentum on Individual Stocks. Wow.

By | 2017-08-18T17:05:58+00:00 February 11th, 2016|Momentum Investing Research, $mtum|

Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years This [...]

Media Coverage and Stock Returns

By | 2017-08-18T17:00:55+00:00 February 9th, 2016|Research Insights, Behavioral Finance, Momentum Investing Research|

Ninety Years of Media Coverage and the Cross-Section of Stock Returns Hillert and Ungeheuer A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]

Comments Off on Media Coverage and Stock Returns

Can A Brutal Stock Market Make You Physically Sick?

By | 2017-08-18T17:08:32+00:00 February 6th, 2016|Research Insights, Behavioral Finance|

Worrying About the Stock Market: Evidence from the Hospital Admissions Engelberg and Parsons A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]

Loosening Short Sale Constraints Makes Markets More Efficient

By | 2017-08-18T17:01:19+00:00 February 4th, 2016|Research Insights|

The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies Chu, Hirshleifer and Ma A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]

Even God Would Get Fired as an Active Investor

By | 2017-08-18T17:05:24+00:00 February 2nd, 2016|Research Insights, Key Research, Tactical Asset Allocation Research|

Empirical asset pricing research can sometimes get monotonous because you end up circling back relentlessly to the same conclusions: value, momentum, trend-following are all interesting, and yet, markets are remarkably competitive (perhaps not efficient). But, sometimes, research [...]

The most concise explanation of behavioral finance I’ve ever seen

By | 2017-08-18T16:55:27+00:00 January 29th, 2016|Research Insights, Behavioral Finance|

One of the most overused-- and misunderstood -- terms I've seen used by finance practitioners is "behavioral finance." Many professionals consider themselves to be "behavioral finance experts" because they identify irrational investors.1 Newsflash: Identifying irrational investors is not [...]

Mega-Cap Valuations Relative to the Broader Market

By | 2017-08-18T17:00:54+00:00 January 28th, 2016|Uncategorized|

Meb Faber's twitter feed is a great source to find new research ideas -- his followers are very curious. Today, someone asked about the P/E of mega-cap firms relative to the broader market. Yang fired up [...]

Comments Off on Mega-Cap Valuations Relative to the Broader Market