Quandl: Democratizing Data
There are two components to DIY quantitative investing. The first is know-how in building models and systems. The second is data to fuel the analysis, model or [...]
Go Long…Make Money. Go Short…Make Money. All Good.
Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners David Aboody, Reuven Lehavy, and Brett Trueman A version of the paper can [...]
Don’t Follow the Institutional Herds over the Long-Term?
Institutional Trade Persistence and Long-term Equity Returns Amil Dasgupta, Andrea Prat, and Michela Verardo A version of the paper can be found here. Want a summary [...]
Random Tactical Asset Allocation–A Gut Check!
I spend way too much time thinking about tactical asset allocation (TAA). I estimate we have tested around a 1000 perturbations of TAA models (maybe [...]
Follow the Trend AND the Sell-Side!
Large Price Changes and Subsequent Returns Suresh Govindaraj, Joshua Livnet, Pavel G. Savor, and Chen Zhao A version of the paper can be found here. Want [...]
Which Risk-Parity-Based Pension will Blow up First?
A real basic question: Is risk parity driven by the long-bond? Yes. Another real basic question: Which pension following risk parity will blow up first? [...]
Insider Trading via Sell-Side Analysts? Welcome to the Jungle!
Tipping Paul Irvine, Marc Lipson, and Andy Puckett A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Do Fund of Funds add value? Depends on which version of the paper you read…
Version 1 (Version for FoF GP owners) The Value of Funds of Hedge Funds: Evidence from their Holdings Adam Aiken, Chris Clifford, and Jesse Ellis [...]
More Thoughts on Investing in Gold–includes chart porn!
We've chattered a bit on gold recently: https://alphaarchitect.com/2013/03/thinking-about-gold-investments/ Cam Harvey and Claude Erb have chattered a lot more on gold: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2078535 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2148691 We went ahead [...]
Practice what you preach…
Even at the range we rock our true love for quant.
Thinking about gold investments
Many investors believe the financial system is a ponzi scheme. At some level, I can't disagree. But how does one protect against total meltdown of [...]
Maximum Drawdown Excel VBA Code
TKA readers, I've been thinking a lot about drawdowns recently. In fact, I was thinking so hard about them I wrote a paper with Jack [...]
Dean Williams: Maybe you’re “Trying Too Hard”
Matt Zuck, a Turnkey Analyst reader and long-time investment professional, sent a wonderful speech by Dean Williams (with notes and all!). The speech is 30+ [...]
Graham Quantitative Value Tool–New FREE Feature
Our goal is to democratize quant and help retail investors utilize quantitative tools to make better investment decisions. To this end, we have added our [...]
Chart Porn: Daily Vix moves from 1/1/1990 to 2/25/2013
Yesterday's VIX move was fairly epic. We mapped out the histogram of VIX moves--the chart is surprisingly well behaved. Stare at the chart for a [...]
Straddle Earnings Announcements and Win!
Anticipating Uncertainty: Straddles Around Earnings Announcements Yuhang Xing and Xiaoyan Zhang A version of the paper can be found here. Want a summary of academic papers [...]
Private Equity–Where Has All the Alpha Gone?
Limited Partner Performance and the Maturing of the Private Equity Industry Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach A version of the paper [...]
Troy Shu is the man: A Free TAA Tool!
I've followed Troy's blog for a while now--it is excellent! http://troyshu.wordpress.com/2013/02/24/adaptivwealth-the-new-web-app-that-i-made-to-bring-adaptive-asset-allocation-to-the-masses/ Troy is a student at my alma mater--The University of Pennsylvania--so I am naturally [...]
Why Limit the Screener to 15 names above $10B?
Many Turnkeyanalyst.com users and book readers have pointed out that the screening tool is limited to 15 names above $10B, but the book outlines a system [...]
The Best Valuation Metric
Pitching EBIT/TEV on the Fool.com http://www.fool.com/investing/general/2013/02/24/is-pe-really-the-best-tool-for-picking-an-underval.aspx The Journal of Portfolio Management article is available here: http://www.iijournals.com/doi/abs/10.3905/jpm.2012.39.1.112