Reviews of Volatility-Based Allocation

January 14, 2013 Architect Academic Insights
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My research team at Empiritrage, LLC posted an interesting idea–very new and in need of further R&D–on volatility-based allocation:

[image_frame style=”framed_shadow” align=”center”]http://blog.alphaarchitect.com/wp-content/uploads/2013/01/PowerPoint-Presentation-Google-Chrome_2013-01-14_08-56-12.png[/image_frame]

When Empiritrage released the initial report we were hoping others in the blogosphere would continue to work on the idea.

Our dream came true:

If you’ve done any work on the system, please share and I’ll post. I know there are multiple ways in which investors can improve upon the VBA system Empiritrage originally explored.

 




About the Author

Wesley R. Gray, Ph.D.

Dr. Gray has been an active participant in financial markets for over 15 years. His experience includes positions as a Captain in the United States Marine Corps, as a finance professor at Drexel University, and as a portfolio manager for a special-situations hedge fund. Education and entrepreneurship has been the focus of his professional endeavors and his research interests are focused on the performance of portfolio managers and behavioral finance. Dr. Gray is currently the Executive Managing Member of Alpha Architect, an SEC-Registered Investment Advisor. Dr. Gray has published two books: EMBEDDED: A Marine Corps Adviser Inside the Iraqi Army and QUANTITATIVE VALUE: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors. His work has been highlighted on CNN, NPR, Motley Fool, WSJ Market Watch, CFA Institute, Institutional Investor, and CBS News. 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.