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.

Trend Following and Momentum Strategies for Global REITs

By | 2017-08-18T16:54:24+00:00 November 20th, 2015|Research Insights, Tactical Asset Allocation Research|

Trend Following and Momentum Strategies for Global REITs Moss, Clare, Thomas and Seaton A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

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Daily Academic Alpha: Solving the Idiosyncratic Volatility Puzzle

By | 2017-08-18T17:07:25+00:00 November 19th, 2015|Uncategorized|

Kewei Hou and Roger Loh have a fun paper on the idiosyncratic volatility puzzle, which is set to be published in the Journal of Financial Economics. The idiosyncratic volatility puzzle is associated with the empirical [...]

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Bond Performance when Interest Rates Spike

By | 2017-08-18T17:09:13+00:00 November 18th, 2015|Research Insights, Tactical Asset Allocation Research|

The prediction of higher interest rates has been ongoing since the government went all-in on a variety of so-called "inflationary" efforts.  Inflation hasn't happened and rates are still low across the yield curve. So-called "bond vigilantes," having [...]

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The World’s Longest Trend-Following Backtest

By | 2017-08-18T16:55:06+00:00 November 9th, 2015|Key Research, Tactical Asset Allocation Research|

Were in the middle of an academic research project and we ran a simple long-term trend-following model from January 1, 1801 to September 30, 2015. Recently, there has been some research on the performance of trend-following rules [...]

An interesting look at the size anomaly

By | 2017-08-18T17:10:36+00:00 November 4th, 2015|Uncategorized, Size Investing Research|

Many of you are probably aware of the paper from AQR entitled, "Size Matters: When you control for your junk." We loved the title so much we considered it one of our Top 5 Geeky, [...]

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Why I Don’t Invest in Momentum Stocks…Yet!

By | 2017-08-18T16:52:12+00:00 October 30th, 2015|Guest Posts, Value Investing Research, Momentum Investing Research|

Confirmation bias is the tendency to cling to research/ideas that confirm with what you already believe. This behavioral bias leads to overconfidence and can impede our search for the truth. So in the spirit of healthy debate and [...]

All firms can benefit from the positive influence of women

By | 2017-08-18T17:10:44+00:00 October 29th, 2015|Behavioral Finance|

Marisa Mayer’s recent announcement that she is again pregnant, and does not plan to take maternity leave after her twins arrive, has once again raised the age-old question about how far women have really come [...]

Robo-Advisor Webinar Tomorrow: Oct. 28 at 12pm EST

By | 2017-08-18T16:57:17+00:00 October 27th, 2015|Uncategorized|

I'll be discussing robo-advisors tomorrow via an Interactive Brokers webinar. Details below: Wednesday, October 28, 2015 12:00 pm, Eastern Daylight Time (New York) Event Number: 718 610 108 Event Entrance for Attendees: https://interactivebrokers.webex.com/interactivebrokers/onstage/g.php?MTID=e42f3112554c5252697cdfe5d84c3a880 Teleconference: Call-in [...]

How to Pick Smart Beta ETFs

By | 2017-08-18T17:03:18+00:00 October 24th, 2015|Research Insights, Key Research, Tactical Asset Allocation Research, Active and Passive Investing|

Investors are probably unaware of the price they are paying for the "active" piece of Smart Beta. Using a simple framework, we show that buying a Smart Beta product at 45bps is equivalent to paying 5bps for a generic passive exposure and 138.33 bps for the active exposure! How many investors are aware that "low-cost" smart beta products might be implicitly charging fees that are equivalent to many active mutual fund fees?

Turn Off Your Chief Economist: GDP Growth Doesn’t Predict Stock Returns

By | 2017-08-18T16:54:16+00:00 October 22nd, 2015|Macroeconomics Research|

In a sustained effort to try too hard, investors are constantly analyzing and assessing the growth rates of various markets around the world. The key assumption behind this analysis is that knowledge of these growth [...]

Insider Trading During the 8-K Trading Gap

By | 2017-08-18T17:03:06+00:00 October 21st, 2015|Research Insights|

SEC rules allow companies to delay the public disclosure of significant corporate events for up to 4 business days. This information is reported on an 8-K. This 4-day gap between an event and the disclosure [...]

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Surprise…Trading More is Profitable for Active Funds!

By | 2017-08-18T16:56:32+00:00 October 16th, 2015|Uncategorized|

Warren Buffett make it clear why frequent trading damages one's wealth: "Wall Street makes its money on activity. You make your money on inactivity." (source) But is activity always a bad thing? Implicit in Buffett's [...]

Ben Graham Would be Proud: Fundamental Analysis Works

By | 2017-08-18T17:09:26+00:00 October 15th, 2015|Value Investing Research|

Here is an interesting working paper on the use of fundamental analysis in stock selection. The authors take a dynamic regression "machine learning-esque" approach to building out statistical fair-value Ben Graham  and David Dodd would be proud. [...]

Value Investing: The Pain Train has Arrived and it Sucks.

By | 2017-08-18T16:53:44+00:00 October 12th, 2015|Value Investing Research|

A few months ago we highlighted a surprising result: cheap high-quality stocks were getting crushed by expensive junk stocks. The spread at the end of June was around 18%. Here is the chart from the old [...]

Daily Academic Alpha: Momentum Investing and Asset Allocation

By | 2017-08-18T17:07:29+00:00 October 12th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

The results in this paper won't surprise most who are regular readers, but the paper below does a nice job explaining things in a simple way. For more advanced asset allocation methods that use momentum [...]

Commodity Investing 101: Basic Insights Most Advisors Don’t Know

By | 2017-08-18T17:07:58+00:00 October 7th, 2015|Tactical Asset Allocation Research, Managed Futures Research, $dbc, $xle|

Unlike equity and bond investing, investing in commodities is a less familiar undertaking for many. Commodities behave differently than stocks and bonds, pose different risks, and can be taxed differently. And let's be blunt: few retail [...]