Merry Christmas with Mean-Variance-Analysis

/Merry Christmas with Mean-Variance-Analysis

Merry Christmas with Mean-Variance-Analysis

We are going to try and post a video once every month. The intent is to democratize quant and train our audience to harness basic financial technology.

In case you missed it, here was our inaugural video on how to calculate 3 or 4 factor alpha:

And here is the latest video on understanding mean-variance-analysis, which is a fundamental concept in asset allocation:

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Here is the accompanying spreadsheet:


Click to enlarge

Have fun!

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About the Author:

Wes Gray
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,, 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.

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