The only fair fight in finance: Joel Greenblatt versus himself. In this instance, it’s the 250 best special situations investors in the US on Joel’s special situations site valueinvestorsclub.com versus his Magic Formula. Wes Gray and crew at Empiritrage have pumped out some great papers over the last few years, and their Man vs. Machine: Quantitative [...]
Archive for the ‘Quantitative investment’ Category
Man versus Magic Formula: Joel Greenblatt’s Value Investors’ Club vs his Little Book
Posted in Quantitative investment, Stocks, Strategy, tagged Joel Greenblatt, Magic Formula, The Little Book That Beats The Market on May 22, 2012 | 1 Comment »
How To Beat Most Active Managers: A Performance Analysis of Fundamental Indexation With Different Price Ratios
Posted in Behavioral economics, Quantitative investment, Stocks, Strategy, tagged Equal-Weight Index, Joel Greenblatt, Market Capitalization-Weight Index on May 21, 2012 | 1 Comment »
The rationale for a value-weighted index can be paraphrased as follows: Most investors, pro’s included, can’t beat the index. Therefore, buying an index fund is better than messing it up yourself or getting an active manager to mess it up for you. If you’re going to buy an index, you might as well buy the best one. An index based on the market capitalization-weighted [...]
Equal Weight and Fundamental Indexing Beats The Market
Posted in About, Behavioral economics, Quantitative investment, Stocks, Strategy, Value Investment, tagged Dylan Grice, Joel Greenblatt, Magic Formula, Value investing on May 16, 2012 | 3 Comments »
Joel Greenblatt’s rationale for a value-weighted index can be paraphrased as follows: Most investors, pro’s included, can’t beat the index. Therefore, buying an index fund is better than messing it up yourself or getting an active manager to mess it up for you. If you’re going to buy an index, you might as well buy the best one. An index based [...]
Joel Greenblatt’s solution to value investors’ behavioral errors
Posted in About, Behavioral economics, Quantitative investment, Stocks, Strategy, tagged James Montier, Joel Greenblatt, Value investing on May 14, 2012 | 2 Comments »
Last week I looked at James Montier’s 2006 paper The Little Note That Beats The Market and his view that investors would struggle to implement the Magic Formula strategy for behavioral reasons, a view borne out by Greenblatt’s own research. This is not a criticism of the strategy, which is tractable and implementable, but an observation on how pernicious our [...]
An examination of the “Profit and Value” strategy
Posted in About, Quantitative investment, Stocks, tagged Book value, Joel Greenblatt, Magic Formula, Quant Investing on June 21, 2011 | 25 Comments »
The excellent Empirical Finance Blog has a superb series of posts on an investment strategy called “Profit and Value” (How “Magic” is the Magic Formula? and The Other Side of Value), which Wes describes as the “academic version” of Joel Greenblatt’s “Magic Formula.” (Incidentally, Greenblatt is speaking at the New York Value Investors Congress in October [...]
Quant funds don’t perform like a good quant fund should
Posted in About, Quantitative investment, Stocks, tagged Quantitative investment on August 5, 2010 | 5 Comments »
I burned some digital ink on these pages discussing the utility of quantitative investment processes over more qualitative approaches. The thesis was, in essence, as follows: Simple statistical models outperform the judgements of the best experts Simple statistical models outperform the judgements of the best experts, even when those experts are given access to the simple [...]
A tide in the affairs of men
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Quantitative investment, Value Investment on March 31, 2010 | 11 Comments »
In A Crisis In Quant Confidence*, Abnormal Returns has a superb post on Scott Patterson’s recounting in his book The Quants of the reactions of several quantitative fund managers to the massive reversal in 2007: In 2007 everything seemed to go wrong for these quants, who up until this point in time, had been coining profits. This inevitably [...]
How P/E juices P/B returns
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Price-to-book Value, Quantitative, Value Investment on March 1, 2010 | 3 Comments »
As I’ve discussed in the past, P/B and P/E are demonstratively useful as predictors of future stock returns, and more so when combined (see, for example, LSV’s Two-Dimensional Classifications). As Josef Lakonishok, Andrei Shleifer, and Robert Vishny showed in Contrarian Investment, Extrapolation, and Risk, within the set of firms whose B/M ratios are the highest (in other [...]
Dreaming of electric sheep
Posted in About, Behavioral economics, Quantitative investment, Stocks, tagged Quant, Quantitative on February 25, 2010 | 2 Comments »
One of the most interesting ideas suggested by Ian Ayers’s book Super Crunchers is the role of humans in the implementation of a quantitative investment strategy. As we know from Andrew McAfee’s Harvard Business Review blog post, The Future of Decision Making: Less Intuition, More Evidence, and James Montier’s 2006 research report, Painting By Numbers: An Ode To Quant, in context [...]
Quantifying qualitative factors
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Quant, Quantitative, Value Investment on February 23, 2010 | 7 Comments »
I’ve just finished Ian Ayres’s book Super Crunchers, which I found via Andrew McAfee’s Harvard Business Review blog post, The Future of Decision Making: Less Intuition, More Evidence (discussed in Intuition and the quantitative value investor). Super Crunchers is a more full version of James Montier’s 2006 research report, Painting By Numbers: An Ode To Quant, providing several [...]
-
Twitter Updates
- @jasonzweigwsj Is Warren Buffett skilled or lucky? Yes? 18 hours ago
- How to estimate the long-term return on stocks: What does the future hold? wp.me/pnq1T-1uD 21 hours ago
- How to estimate the long-term return on stocks wp.me/pnq1T-1um 1 day ago
- Buffett buys newspaper division of Media General $MEG wp.me/pnq1T-1ui 2 days ago
- The next Srinivasa Ramanujan? Humble 16-yr-old Shouryya Ray solves 350-year-old maths problem set by Sir Isaac Newton bit.ly/LEt2On 4 days ago
-
Top Posts
- How to estimate the long-term return on stocks: What does the future hold?
- How to estimate the long-term return on stocks
- Man versus Magic Formula: Joel Greenblatt's Value Investors' Club vs his Little Book
- Active versus passive value investing: Does spending time researching a company’s fundamentals generate higher returns?
- About
Seeking Alpha Contributor
Blogroll
- Abnormal Returns
- Breakout Performance
- Calculated Risk
- Cheap Stocks
- Compounding Machines
- Controlled Greed
- Dealbook
- Distressed Debt Investing
- Empirical Finance Research
- footnoted.org
- Graham NCAV Screen
- GuruFocus
- Hedge Fund Jobs
- Insider Monkey
- Manual of Ideas
- Official Activist Investing Blog
- Old School Value
- Oozing Alpha
- Shadowstock blog
- Simoleon Sense
- Stingy Investor
- Street Capitalist
- SumZero
- Value Investing Blog
- Value Uncovered
- Yes and Not Yes
Archives
- May 2012
- April 2012
- February 2012
- December 2011
- November 2011
- July 2011
- June 2011
- December 2010
- November 2010
- October 2010
- September 2010
- August 2010
- July 2010
- June 2010
- May 2010
- April 2010
- March 2010
- February 2010
- January 2010
- December 2009
- November 2009
- October 2009
- September 2009
- August 2009
- July 2009
- June 2009
- May 2009
- April 2009
- March 2009
- February 2009
- January 2009
- December 2008
