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 [...]
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 [...]
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 [...]
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 [...]
Short Selling Bans Generally Don’t Work!
Public Service Announcement: To all the free-market pro-competition haters of the world that believe government regulation solves all our problems, please read the following paper. Short-Selling [...]
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 [...]
Reviews of Volatility-Based Allocation
My research team at Empiritrage, LLC posted an interesting idea--very new and in need of further R&D--on volatility-based allocation: When Empiritrage released the initial report [...]
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 [...]
Merry Christmas with Mean-Variance-Analysis
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 [...]
Projected 15-year S&P 500 Returns
Prediction stock market returns--a fascinating concept. A true magical talent. Of course, we've put some of our brainpower (a limited resource!) on the subject [...]
News and Google Hits: A Path to 20% Alpha?
Media and Google: The Impact of Information Supply and Demand on Stock Returns by Yanbo Wang Yanbo identifies information into two buckets: News releases (supply) and [...]
CEO Voice Pitch–Deeper Voice; deeper pockets
Just when you thought academics were not wasting their time doing incredibly useless research, along comes this intriguing research: Voice Pitch Predicts Labor Market Success [...]