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 [...]
About 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.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
Pay Attention to Friday Earnings Announcements!
Investor Inattention and Friday Earnings Announcements Steffano Dellavigna and Joshua M. Pollet A version of the paper can be found here. A formal write-up can be [...]
Fool.com Interviews
Mumbling, bumbling, and stumbling on a last minute interview with The Motley Fool, but there are few coherent bits in this interview. I've also got [...]
Reflections on Overconfidence.
The most therapeutic way I want to address overconfidence (probabilities associated with outcomes are bias. For example, I am "90% confident the market will be at 1000 [...]
Paying Attention in Geography Class…Pays!
Geographic Momentum Quoc H. Nguyen A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our free Academic [...]
Quant Value Book Excerpt
Tadas Viskanta was kind enough to share an excerpt from out book with his blog audience. If you want to check it out, click the [...]
For-Profit Education…became Profitable?
How cool would you have been yesterday if you walked into a cocktail party or a gaggle of investment professionals and told the group: I [...]
Should Diamonds be in Your Portfolio?
The Return Characteristics of Diamonds Kenneth Small, Jeffrey Smith, and Erika Engel Small A version of the paper can be found here. Want a summary of [...]
Improving Commodity Strategies with Momentum and Term Structure
Tactical allocation in commodity futures markets: Combining momentum and term structure signals Ana-Maria Fuertes, Joelle Miffre, and Georgios Rallis A version of the paper can [...]
Do Speculators Create Buying Opportunities?
Stock Duration and Misvaluation Martijn Cremers, Ankur Pareek, and Zacharias Sautner A version of the paper can be found here. Abstract: We study whether the presence [...]
Kitesurfing and Investing
I've been away the past few days drowning in saltwater trying to learn a new sport--kitesurfing. How did this all start? My younger brother lives [...]
Correlation-Based Allocation Review
Sanz Prophet has a very detailed and interesting review of an idea we proposed recently: Correlation-Based Allocation. We propose a model that is designed to [...]