Merry Christmas with Mean-Variance-Analysis

By Wesley Gray, PhD|December 20th, 2012|Video Learning Series, Tactical Asset Allocation Research|

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:
http://www.youtube.com/watch?v=dAymGgOVY1k
http://www.youtube.com/watch?v=dAymGgOVY1k

And here is the latest video on understanding mean-variance-analysis, which is a fundamental concept in asset allocation:
[youtube url=”http://youtu.be/Xz3FIW6-7co” fs=”1″]

Here is the accompanying spreadsheet:

MVA_Lesson

Click to enlarge

Have fun!

About the Author: Wesley Gray, PhD

After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia 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 firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.