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? [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
Quantitative Value is now available on Kindle–finally!
Sorry about the delay!
Herbalife (HLF): Is it a Fraud? Not likely.
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 [...]
Simple Models Beat Experts: Even in Investment!
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 [...]
Flexible Asset Allocation
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 [...]
Low Beta/Vol Outperformance
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 [...]
Make 24bps a week trading skewness?
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 [...]
Dividing Value into “Priced” and “Mispriced”
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 [...]
Applied Quantitative Value (Part 4 of 4)
I sat down with Wes Gray--who also contributes frequently on this blog under the title Wesley Gray, Ph.D.--and Toby Carlisle--who runs the great blog over [...]
How to Identify High Quality Stocks, Continued (Part 3b of 4)
Suppose you had to sail across the Atlantic and were given a choice between making the crossing in either an 8 foot sailing dinghy, or [...]
How to Identify High Quality Stocks (Part 3a of 4)
What does it mean to measure a business’ “quality” in the context of investing in common stocks? We try to answer this question in Part [...]
How to Identify the Cheapest Stocks (Part 2 of 4)
This is the next installment in our series covering Turnkey Analyst’s approach to the holy grail of investing – how to identify low risk, high [...]
Risk Premia Harvesting Through Momentum
Risk Premia Harvesting Through Momentum Gary Antonacci A version of the paper can be found here. Abstract: "Momentum is the premier market anomaly. It is [...]
Will My Risk Parity Strategy Outperform?
Will My Risk Parity Strategy Outperform? Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg A version of the paper can be found here. Abstract: [...]