Last Updated: 4/1/2023
Wesley Gray Portfolio Strategy Explanation Video
Wesley Gray is the founder of Alpha Architect and the author (along with co-author Jack Vogel) of "Quantitative Momentum A Practitioner's Guide to Building a Momentum-Based Stock Selection System". He is also the author (along with co-author Tobias Carlisle) of "Quantitative Value: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors". He is an industry recognized expert in the application of quantitative investing strategies. Wes is also a former Marine and has his Phd from the Univerisity of Chicago, where he studied under Nobel Prize winner Eugene Fama.
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Since 2005, this portfolio has returned 286.9%, outperforming the market by 57.8% using its optimal monthly rebalancing period and 20 stock portfolio size.
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Validea used the investment strategy outlined in the book Quantitative Momentum written by Wesley Gray to create our Quantitative Momentum Investor portfolio.
There are many momentum strategies out there, but most do not stand up when subjected to academic scrutiny. This strategy starts with academic theory as its foundation. It is based on extensive testing that looked at what really works in momentum investing. In his testing, Gray found that momentum works best over the intermediate-term vs. the short or long-term. He also found that momentum is more predictive of future returns when it is consistent. The resulting strategy focuses on stocks with strong one year momentum (excluding the most recent month) and looks for stocks with the least volatility within that high momentum group.