Masters in Business At The Money: Finding Alpha via Unique ETF Strategies
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Mar 11, 2026 
Wes Gray, quantitative investor and CEO of Alpha Architect with a background in military intelligence and academia. He discusses factor-based and option-based ETF strategies. Topics include how alpha differs from beta, factor-driven ETF returns, risks of overfit backtests, and innovative ETFs like momentum/value, box spread vehicles, and option-based tail-risk and inflation hedges.
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Poor Man's Alpha Defined
- Alpha in ETF wrappers means offering differentiated, public strategies that reshape portfolio outcomes beyond broad-cap-weighted beta.
- Wes Gray calls this "poor man's alpha": scalable, low-cost, tax-aware exposures that aren't 2-and-20 hedge fund alpha.
ETF Alpha Is Essentially Factor Exposure
- Nearly all ETF "alpha" is factor exposure and transparent ETFs let factors explain performance.
- Gray expects new factors to be invented to describe any persistent pattern in a transparent product.
Behavior Explains Why Factors Persist
- Known factors persist because humans don't follow the obvious long-term rules consistently; discipline and horizon matter.
- Using value as an example, Gray notes 10–20 year underperformance stretches deter investors despite long-run edges.