On Monday I presented an expanded version of my white paper “Simple But Not Easy: The Case For Quantitative Value” to the UC Davis MBA value investing class.
Click the link to be taken to the UC Davis video:
Presentation to UC Davis Value Investing Class
A special thank you to the instructors Jacob Taylor, and Lonnie Rush, and UCD value investing class. Go Aggies!
[…] For more of my research, see my white paper “Simple But Not Easy: The Case For Quantitative Value“ and the accompanying presentation to the UC Davis MBA value investing class. […]
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Thanks again, Toby, for making the trip up and giving us a great presentation. We really appreciated it!
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My pleasure. Thank you for having me.
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Hi Toby,
Great blog and thanks for making your presentation(s) available! You discussed in the Q&A the accounting differences globally. I have three questions on the topic US vs. Global:
1. do you include emerging markets in your global model? On a recent behavioral finance workshop a princeton academic and hedgefund adviser in Brazil, said there is no value premium in Brazil. He told me that this probably was caused by the erroneous accounting data, so general fundamental screens don’t work.
2. Considering Bill Browder’s experience in Russia, doesn’t the same hold for the Russian stock market?
3. Your backtest is done on US stock (couldn’t see the PPT well)? The most successful stock market in recent history. If you had included china, germany and russia wouldn’t you have different premia? So is there a selection bias in your backtest?
Keep up the good work!
Kind regards, Matthias
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Thank you for your comment, Matthias.
1. No.
2. N/A.
3. Yes. Yes.
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[…] Quant Value Investing: https://greenbackd.com/2012/08/31/presentation-to-uc-davis-mba-value-investing-class-on-quantitative-… […]
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[…] Carlisle (Greenbackd blog) lecture about how to beat the magic […]
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A must watch!!
Quantitative value works not only with investing but proven with building a sports team (money ball my fav value investing book), critiquing wine, predicting court decision, medical diagnosis. the video succinctly teaches the best published value research into practical applications. the over used ROIC to forecast, how cherry picking stocks from a screen like the magic formula will leave you underperforming the market. How Joel Greenblatt tried to cherry pick with his magic formula screens and underperformed the screen.
I will watch again and buy his new book projected to be released by end of this year or beginning of next year.
John
http://shadowstock.blogspot.com/
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Thanks for the kind words, John!
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