Jack and I were reading a classic academic paper on value investing the other day: Contrarian Investment Extrapolation and Risk. In this paper Lakonishok, Schleifer [...]
On July 19th we highlighted the quant value pain associated with Microsoft. Today we have some good news from a quantitative value type stock--Apple! A low [...]
We post all reviews we come across on the web (let us know if we are missing any): https://alphaarchitect.com/reviews/ A recent review caught my attention: [...]
[youtube url="http://youtu.be/lG_064_XvfY"]
Value Around the World Nilufer Caliskan and Thorsten Hens A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Cambria Funds is out with an interesting ETF. http://www.cambriafunds.com/syld/ Here is the fact sheet: At 59bps, this fund is low-cost, tax-efficient, and likely to produce [...]
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? [...]
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+ [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
Sorry about the delay!
Herbalife is currently a highly debated stock. On one side you have Bill Ackman claiming the firm is a ponzi scheme. On the other side [...]
One of the more fascinating findings from psychology research is the empirical finding that simple models often beat experts. In other words, insights from your [...]
Generalized Momentum and Flexible Asset Allocation (FAA) An Heuristic Approach Wouter J. Keller and Hugo S.van Putten A recent version of the paper can be [...]
There are many blogs/funds/research promoting low beta stocks as a way to get rich: A blog example --Falken A fund example --AQR Defensive Fund A [...]
That is what Amaya, Christofferson, Jacobs, and Vasquez find. We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and [...]
Gerakos and Linnainmaa have a new paper out: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2083166 and http://www.asb.unsw.edu.au/schools/bankingandfinance/Documents/J.Gerakos,%20J.T.%20Linnainmaa%20-%20The%20Unpriced%20Side%20of%20Value.pdf Here is code to perform the decomposition: http://faculty.chicagobooth.edu/juhani.linnainmaa/ValueDecomposition.do Summary Book-to-market (BE/ME) ratios explain variation [...]
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